Investment manager characteristics, strategy, top management changes and fund performance

The present study examines the performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds, Australian share funds and Australian bond funds. For balanced mandates, performance is evaluated with respect to the investment strategy adopted, the experience and qualifications held by investment professionals, and the tenure of the key investment professionals. The present study examines the performance of top management and the impact on returns when turnover arises. The research documents that a significant number of active Australian equity managers earned superior risk-adjusted returns in the period, however, active managers perform in line with market indices for balanced funds and Australian bond funds. A number of manager characteristics are also found to predict risk-adjusted returns, systematic risk and investment expenses for balanced funds.     

Trading performance and market efficiency: Evidence from algorithmic trading

In India, National Stock Exchange directly identifies algorithmic trading participation. Algorithmic traders possess intraday market timing skills. Results are not motivated by extreme short-term signals or transitory price trading. Magnitude of market timing performance in cross-sectional group of traders shows that they earn profit across all the cases, and maximize while providing liquidity. Volume-weighted-average-price decomposition analysis reports algorithmic traders earn profits through intraday market timing performance for five-minute and one-minute intervals, and it is higher compared to short-term market timing performance across all trader groups. Order imbalance and price delay regressions show that algorithmic trading significantly improves price efficiency.     

惯性投资策略对股票收益惯性影响的实证研究——基于证券投资基金经理投资行为

选取沪深两市2003年6月至2007年6月共55只封闭式基金与18只开放式基金及其重仓持有的126支股票为研究对象,通过构建MT指标考察中国证券投资基金经理惯性投资策略对股价惯性的影响.研究表明,中国开放式基金经理大多倾向于采取追涨杀跌的惯性投资策略,并且惯性收益随MT值的上升而上升,说明证券投资基金经理的惯性投资策略影响了重仓股股票的惯性收益.     

Trading frequency and the efficiency of price discovery in a non-dealer market

The increasing popularity of non-dealer security markets that offer automated, computer-based, continuous trading reflects a presumption that institutionally-set trading sessions are economically obsolete. This theoretical paper investigates the effect of the trading frequency, a key feature of the trading mechanism, on the efficiency of price discovery in a non-dealer market. By tracing the market pricing error to the correlation structures of arriving information and pricing errors of individual traders, the effect of diverging expectations on error-based and overall return volatility is isolated. The analysis reveals that, due to a portfolio effect, an increase in the trading time interval has contradictory effects on the portion of return volatility stemming from pricing errors. The greater accumulation of information increases error-based return volatility, but the greater volume and number of traders per session have the opposite effect. The net effect on overall return volatility can go either way. It is found that the return volatility of heavily traded securities is likely to be minimized under continuous trading, but that of thinly traded securities may be minimized under discrete trading at moderate time intervals. The latter is more likely to occur the greater is the divergence of expectations among traders. These findings challenge the presumption that automated continuous trading in a non-dealer market is more efficient than discrete trading for all securities, regardless of trading volume. The findings are applicable to all economies, but have special importance for developing countries where typically a single market is dominated by small issues and a low volume of trade. As a by-product of the analysis, it is shown how to correct the biased estimate of inter-session price volatility when observations are less frequent than the trading sessions themselves.     

The type of corporate announcements and its implication on trading behaviour

I report the empirical evidence to show how firms’ expected and unexpected announcements affect investors’ trading behaviour. I find that trading volume decreases before expected announcements, either scheduled or unscheduled, consistent with models that predict that discretionary liquidity traders may postpone their trading until after an anticipated news release. I also find that the magnitude of pre-announcement trading reactions is negatively associated with the level of pre-disclosure information asymmetry. I further find that trading volume is boosted before unexpected announcements, and the relation between the magnitude of pre-announcement trading reactions and the pre-disclosure information asymmetry is weakly significant or insignificant.     

台湾证券柜台交易市场结构及其混合交易模式研究

台湾证券柜台交易市场在促进台湾中小型高科技企业的快速成长和规范非上市公开发行公司的股权报价转让等方面发挥着不可替代的重要作用。本文详细考察了台湾证券柜台交易市场上柜股票和兴柜股票的交易模式,研究表明兴柜市场实行的以分散报价、集中成交的竞争性做市商交易模式具有内在的制度优势,是适宜个人投资者为主的柜台交易市场。台湾柜台交易中心取得成功的关键在于,以满足柜台交易市场交易性需求、流动性需求、波动性需求和透明度需求为基础,通过构建合理的市场结构创造性地引入包括竞价交易机制在内、与市场功能和交易对象的风险特性相适应的混合交易模式。     

Corporate social performance, financial performance and institutional ownership in Canadian firms

This study examines the relationship of corporate social performance (CSP) to financial performance (FP) and institutional ownership. We perform our empirical analyses on a large-sample of publicly held Canadian firms and use a novel independent measure of CSP. Based on tests utilizing four years of panel data, we found no significant relationship between a composite measure of firms’ CSP and FP. However, we found significant relationships between individual measures of firms’ CSP regarding environmental and international activities and FP. Our findings indicate a significant relationship between firms’ composite CSP measure and the number of institutions investing in firms’ stock. In addition, we found significant relationships between firms’ CSP ratings regarding their international activities and product quality and the number of institutions investing in firms’ stock. These findings, while subject to the limitations inherent in the use of specific CSP measures, provide mixed support for the business case for CSP.     

评深圳市碳排放权交易相关规定之进步与不足

碳排放管控制度、配额管理制度、抵消制度、交易制度和第三方核查制度是《深圳经济特区碳排放管理若干规定》的基本制度。深圳市与国内其它碳排放权交易试点的相关规定相比较,其进步主要体现在：“四种类型、三个板块”的独特交易体系的设计,企业碳排放核查制度的开启,初始分配方式的灵活化,政府对碳排放市场价格的调控。但在交易主体的界定以及无偿分配的配额量方面还是存在着一定的缺陷。     

Order price clustering,size clustering,and stock price movements: Evidence from the Taiwan Stock Exchange

This paper examines order price clustering, size clustering, and stock price movements in an active emerging country’s equities market, the Taiwan Stock Exchange (TWSE). We first explore the relationships between investor types and order price/size clustering. Next, we investigate the joint determinants of the round-price and round-size orders based on daily and intraday data analyses. Finally, we look at the relationships among investor types, round prices/sizes, and stock price movements. The findings reveal that all investor types exhibit price and size clustering phenomena. After controlling for other factors, institutional investors have a relatively lower level of size clustering when compared with individuals. Our results confirm the price resolution hypothesis, whereby the levels of daily price and size clustering increase with firm risk, and the probability of a round-price or round-size order increases as transitory volatility rises. Partially consistent with the negotiation hypothesis, the probability of a round-price or round-size order increases when order competition turns fiercer. Mutual funds exhibit stronger quarter-end and session-end effects than do other investors. We also detect strategic trading behaviors, showing that the probability of an order with a tail price of one (nine) increases when buy (sell) order competition is fiercer. Lastly, stocks with mutual funds’ round-price or round-size buy (sell) orders experience rising (falling) future stock returns.     

期权交易策略的构造与运用

本文通过总结、梳理各种期权交易策略与市场观点的关系,使得投资者能够根据自己个性化的投资需要而设计差异性的期权策略,并且能够严格详细地评估投资的风险和回报。     

Venture capital investment and institutional factors: Evidence from China

This paper examines how venture capital (VC) investment and institutional factors affect the performance of VC-backed companies in China. Compared with non-VC-backed companies, we find that VC-backed companies slightly underperform in profitability but have considerably higher market value. Furthermore, VC investment does not help companies mitigate the negative impact of institutional factors on profitability; however, it conveys beneficial effects that help companies moderate the negative impact on market value. We also provide evidence that the impact of VC investment and institutional factors is more pronounced for non-state-owned companies, companies with poor corporate governance, and companies with higher research and development investment.     

Investment trust IPOs: Issuing behaviour and price performance Evidence from the London Stock Exchange

In this paper, we document an average first day return of 1.91 percent for the population of 105 investment trust IPOs during the period from January 1984 through August 1992 on the London Stock Exchange. This is the first study that finds evidence of significant first day returns for a sample of closed-end fund IPOs. The results also suggest that investment trust IPOs are subject to ‘hot’ issue periods. These tend to occur when there is a marked narrowing in the discounts of seasoned investment trusts. Initial gains are, however, short lived; by the end of their first year, investment trust IPOs substantially underperform a number of relevant benchmarks and, on average, trade at discounts to their underlying net asset values.     

A股市场新版停牌制度实施效果的实证研究

论文使用沪深A股市场2008年10月1日-2011年11月1日的停复牌和交易数据,通过事件研究法分析了不同类型停牌的异常收益率,以信息释放和价格发现效率为标准评价新版停牌制度.研究表明：例行停牌信息含量偏少且阻碍了交易的连续性;异常波动停牌有效地降低了股票的平均异常收益率,但坏消息复牌后价格调整速度相对较慢;重大事项停牌存在严重的“消息泄露”,仅能起到事后警示的作用,同时坏消息复牌后的价格发现效率较低,重大事项停牌并不理想.     

期货交易活跃度、波动性与投资者结构关系的实证研究

本文将期货市场上的投资者分为个人与机构两类,基于白糖、优质强筋小麦和PTA三个期货品种的样本数据,探讨了交易结构和持仓结构对期货交易活跃度和期货价格波动性的影响规律。研究结果表明:期货交易活跃度主要受交易结构的影响,而期货价格波动大小主要受持仓结构的影响;根据最优的弹性二次模型结果,两者的弹性均呈现出边际递减的经济学变化规律。     

Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets

This paper discusses the possibility of recovering normality of asset returns through a stochastic time change, where the appropriate economic time is determined through a simple parametric function of the cumulative number of trades and/or the cumulative volume. The existing literature argues that the re-centred cumulative number of trades could be used as the appropriate stochastic clock of the market under which asset returns are virtually Gaussian. Using tick-data for FTSE-100 futures, we show that normality is not always recovered by conditioning on the re-centred number of trades. However, it can be shown that simply extending the approach to a nonlinear function can provide a better stochastic clock of the market.     

Constructing institutional performance: a multi-level framing perspective on performance measurement and management

Research on performance measurement and management (PMM) informed by institutional theory has proliferated over the past two decades. Much of this research has concentrated on the institutional effects on organisational PMM practices and their consequences for organisational behaviour and has only recently started to pay more focussed attention to the effects of such practices on the construction of the very conceptions of performance that come to dominate institutional fields. To further integrative theory development, I pull these strands of research together into an analytical framework pivoting on the concept of institutional performance. Institutional performance is defined as the socially constructed conceptions of organisational performance that become firmly institutionalised as legitimate aspects of achievement in institutional fields. Adopting a multi-level framing perspective, I develop a set of research propositions reflecting how contradictory PMM practices, emerging in response to the institutional complexity attributable to heterogeneous and competing constituency demands, shape such conceptions of performance and how this contributes to reducing or reinforcing institutional complexity over time. I discuss the implications of applying this framework in empirical research and the contributions to institutional research on PMM as well as institutional theory, more generally, that may emerge from such research.     

Size and investment performance: a research note

This article examines the performance of actively managed Australian equity funds and the extent to which both fund size and manager size are related to risk-adjusted returns. Larger investment managers, by definition, engage in higher trade volume. The literature documents that transaction costs and trade difficulty increase with trade size, given difficulties associated with 'large' trades and their potential market impact on security prices. Therefore, ceteris paribus , large orders are consistent with lower levels of efficiency in trade execution and higher transaction costs. While larger investment managers may experience material disadvantages relative to their smaller counterparts, the Australian literature to date has largely ignored the issues of asset size and the long run performance of investment offerings. This article, employing returns and fund size data that control for survivorship bias, documents that while large retail active equity funds earn higher risk-adjusted returns (after expenses) than small funds, the difference in mean performance is not significantly different. In the institutional sphere, the study also finds no statistically significant performance differences (net of expenses) between funds on the basis of portfolio size. These findings suggest the hypothesis that performance declines with fund size is not supported empirically.     

Very fast money: High-frequency trading on the NASDAQ

This paper provides evidence regarding high-frequency trader (HFT) trading performance, trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes that directly identifies HFT participation. I find that HFTs engage in successful intra-day market timing, spreads are wider when HFTs provide liquidity and tighter when HFTs take liquidity, and prices incorporate information from order flow and market-wide returns more efficiently on days when HFT participation is high.     

美国抑制股市内幕交易的经验及对我国的启示

股市内幕交易是证券市场的毒瘤,抑制内幕交易是维护市场公平和效率、保护中小投资者利益的有效途径.本文以美国作为样本,在借鉴美国证券交易委员会经验的基础上,提出了我国构建抑制股市内幕交易制度的路径选择.     

Meta-analysis of the impact of financial constraints on firm performance

A large number of studies have investigated the relationship between financial constraints and firm performance. However, due to heterogeneity in study design factors, such as choice of measures for constraints and performance, control variables, estimation methods and study sample, the empirical results have been mixed. To mitigate this issue, this paper reports a meta-analysis of the association between financial constraints and firm performance. To assess the overall direction of the relationship and the sources of heterogeneity, we apply meta-analytic methods to 26 studies (providing 189 effect sizes) on the association between financial constraints and financial performance in listed companies. Our result shows that, overall, there is a positive relationship between financial constraints and firm performance. In addition, meta-regression results suggest that return on assets (ROA) and return on equity (ROE) as measures of financial performance, and external finance and size as measures of financial constraints, have a significant negative impact on the relationship between financial constraints and firm performance relative to the mean impact on effect size. Similarly, all of North America and Asia as regional differences, control of size and corporate governance as control variables, and journal quality as strength of results, also have a significant negative impact. On the other hand, market value as a measure of financial performance, and the Whited & Wu index as a measure of financial constraints, have significant positive impact relative to the mean impact. Similarly, cross-country and Europe as regional differences, and publication status as strength of results, all have significant positive impact. Given that firm performance is of fundamental importance to investors, this study therefore helps researchers and policymakers to understand the variation in the empirical results on the impact of financial constraints.