论基本养老保险基金投资国债的流程重塑

本文分析了当前基本养老保险基金投资国债面临的问题。本文认为,根据我国国债市场现状和我国基本养老基金的运行特点,应取消地方社保部门的养老基金管理权,归并养老基金投资账户,由中央政府养老基金管理机构统一招标确定基金托管银行和投资机构,地方社保部门再根据资金需求申购或赎回养老基金。     

A contingent claim analysis of closed-end fund premia

We estimate contingent claims that replicate monthly net asset value (NAV) payoffs from closed-end funds. A claim's theoretical value is obtained by martingale pricing methods. The resulting net present value (NPVS) sequence is the theoretical premia sequence that is compared to the actual market premia sequence. The theoretical premia, like actual premia, are uncorrelated with NAV returns and are positively autocorrelated due to autocorrelation in the pricing information. However, there is poor correspondence between the theoretical and actual premia that seems due to the market's systematic errors in estimating a fund's management value. Risky arbitrage may be available to insiders.     

Are covered bonds different from securitization bonds? A comparative analysis of credit spreads

This study compares credit spreads and pricing determinants of securitization vis-à-vis covered bonds. Our analysis reveals that although ratings are the most important pricing determinant for asset-backed securities (ABS) and mortgage-backed securities (MBS) investors place relatively more importance on contractual, macroeconomic and banks' characteristics rather than ratings in pricing covered bonds. We find evidence of a mispricing effect in structured finance markets: ABS and MBS have higher credit spreads than similarly rated public-covered bonds and mortgage-covered bonds and security prices reflect information beyond credit ratings. We find no evidence of borrowing costs affecting banks' choice between securitization and covered bonds.     

The hazards of mutual fund underperformance: A Cox regression analysis

This paper investigates the process determining mutual funds' conditional probability of closure, i.e., their hazard function. Using a nonparametric approach to estimate the effects of a fund's age on its hazard rate, we find a distinctly non-linear, inverse U-shaped pattern in the relationship. Hence, young and very old funds are least likely to be closed down. A fund's relative performance and (less significantly) the level of return in the sector in which the fund operates are also identified as important factors in the closure decision. Results from semiparametric Cox regressions are compared with those from the discrete choice probit model used by Brown and Goetzmann [Brown, S.J., Goetzmann, W., 1995. Performance persistence, Journal of Finance. Vol. 50, pp. 679–698]. Finally, we provide a complete summary of the fund attrition process by estimating the survivor function, indicating the proportion of funds that survive up to a given age, and we identify the effect of fund attrition on standard measures of persistence of fund performance.     

Quantile regression analysis of hedge fund strategies

Extending previous work on hedge fund pricing, this paper introduces the idea of modelling the conditional quantiles of hedge fund returns using a set of risk factors. Quantile regression analysis provides a way of understanding how the relationship between hedge fund returns and risk factors changes across the distribution of conditional returns. We propose a Bayesian approach to model comparison which provides posterior probabilities for different risk factor models that can be used for model averaging. The most relevant risk factors are identified for different quantiles and compared with those obtained for the conditional expectation model. We find differences in factor effects across quantiles of returns, which suggest that the standard conditional mean regression method may not be adequate for uncovering the risk-return characteristics of hedge funds. We explore potential economic impacts of our approach by analysing hedge fund single strategy return series and by constructing style portfolios.     

A meta-analysis of mutual fund performance

The purpose of this article is to introduce the statistical technique of meta-analysis of regression results using as our example the Lee and Rahmann (1990) study of the performance of 93 mutual funds. Specifically, we derive and estimate the meta-analysis formulas, explicitly adjusted for correlated regression residuals, which quantify the effect of sampling error on their reported regression results. Our analysis of selectivity reveals some real variation around a mean risk-adjusted excess return of about 1% per year; while our analysis of market timing reveals some real variation around a negative mean value and confirms that the correction for heteroscedasticity does make a difference. An examination of the 80% probability interval for the mean selectivity value indicates that the best mutual funds can deliver substantial risk-adjusted excess returns.     

The strategic strength of weak signal analysis

Foresight can be seen as a social cognition process involving a complex set of methods and interactive processes intended to assist policy in becoming more adaptive and forward-oriented in unpredictable environments. As a form of foresight raw material, “weak signals” can be thought of as gross, unstructured, fragmented, incomplete and inadvertent environmental data that may be refined into valuable information regarding context and further be articulated into strategically actionable knowledge. As advanced indicators that precede significant discrete one-off events and/or novel developments in the rate and direction of trends, their analysis has the potential to facilitate the real-time alignment between organisational decision-making and changing external circumstances. These predictors of future change pose fundamental problems of identification and interpretation and represent a challenge to established mental models. Thus, the practical significance of weak signals is that they can be transformed into meaningful insight for policy action. Such a value, however, does not materialise automatically. Realising this potential requires a degree of tolerance and fluidity of the collective cognitive frameworks by which weak signals can be apprehended, assessed and acted upon. This paper aims at covering the scope of perceptions and actions typically involved in the tracing and tracking of this shaping process.     

Overseas equity analysis by UK analysts and fund managers

This paper examines how UK-based analysts and fund managers cope with international differences in financial reporting systems when analysing overseas equities. This subject has become increasingly important given the internationalisation and institutionalisation of equity markets. Our results indicate that there is a substantial reliance on sources other than the annual report by both groups when analysing overseas companies. We also find considerable variation in the approach to analysing equities internationally. In particular, we find evidence that there is greater reliance on alternative sources to accounting information (such as other foreign analysts) in countries characterised as having weak equity markets. Finally, we examine the coping mechanisms that analysts and fund managers employ when analysing overseas securities, including reliance on locally based analysts, use of non-accounting information, use of more familiar accounting standards and re-stating accounts to a more familiar basis.     

Evolution of a mutual fund market: Empirical analysis of simultaneous growth and decline by fund category in Indonesia

The mutual fund literature traditionally deals with the growth and decline of the funds management industry in a uni-dimensional, single equation framework. Numerous studies treat mutual fund starts, terminations, inflows, and outflows as independent phenomena. This paper investigates the role of the interdependence between mutual fund inflows and outflows and their determinants in the growth of the emerging Indonesian managed funds market. We find significant replacement and displacement effects between the outflows and inflows of fixed income, equity, and mixed funds. The evidence suggests studies of the development of mutual fund markets should take into account simultaneity between the expansion and declining of different fund categories.     

An individual level analysis of the mutual fund investment decision

This study investigates the manner in which consumers make investment decisions for mutual funds. Investors report that they consider many nonperformance related variables. When investors are grouped by similarity of investment decision process, a single small group appears to be highly knowledgeable about its investments. However, most investors appear to be naive, having little knowledge of the investment strategies or financial details of their investments. Implications for mutual fund companies are discussed.     

An analysis of the antecedents of satisfaction for superannuation fund members

The factors influencing the satisfaction of superannuation fund members are poorly understood at present, due to a paucity of research. This study looks at the relative influence that five key aspects of the superannuation offering of a mid-size Australian Superannuation Fund have on overall satisfaction. A survey of 500 members suggests that despite the long-term nature of the product and efforts to educate members to think otherwise, short-term financial performance remains a strong influence on member satisfaction levels. Furthermore, the strong focus on short-term returns mean that many of the favourable actions undertaken by this fund were comparatively unimportant to members. With financial returns varying annually and to a large degree being out of the control of fund managers, the focus of members on this aspect as the main influence on satisfaction levels is problematic. The evidence suggests that shifting the focus of members towards longer period assessments (eg returns over the past five years) and towards aspects of the funds' offering that are points of differentiation (eg enquiry handling) is the only way to prevent large, uncontrollable fluctuations in satisfaction levels and possible defections.     

A statistically robust decomposition of mutual fund performance

Previous decompositions of risk-adjusted mutual fund performance might deliver biased results. In this paper, we provide new reliable insights on the drivers of mutual fund performance by decomposing risk-adjusted performance of U.S. equity mutual funds using the Generalized Calendar Time regression model. According to our results, out of all previously considered fund characteristics, only the negative effect of lagged fund size and the positive effects of lagged performance and lagged family size remain highly significant. Our analysis further suggests that much of the variation in previous empirical results can be attributed to methodological issues.     

A behavioural theory of the fund management firm

The paper outlines a behavioural theory of the fund manager (FM) firm comprising investment decisions (at stock and portfolio levels) by teams and individuals, and of an organisation process and contextual resource factors affecting decisions. FM organisational processes interacted with resources to enhance investment team decision conditions, costs and processes. Enhanced conditions and reduced decision costs were expected to improve the chances of FM success via new information production and better-quality decisions. These dynamic elements to FM firms can be interpreted as tentative organisational means to deal with major problems of behaviour, uncertainty and information asymmetry at the heart of the valuation, investment and performance problems facing FMs. Field research was conducted in 15 FM firms during 2004–2011. A grounded theory approach was employed in processing the data. This led to improvements in empirical understanding of behaviour within FM firms and markets. The results were discussed relative to relevant literature and previous grounded theory. This created a new conceptual tool to investigate FM underperformance and variety in FM styles. The paper demonstrated an empirically rich model of hierarchy, information production, capital allocation and other resource usage in financial institutions and discussed how this created further opportunities for research.     

沪深两市基金指数协整性分析

本文运用协整分析的方法,对沪深两市基金指数的联动关系进行了实证分析,结果表明,沪深两市基金指数的变动存在长期稳定均衡关系。     

An empirical analysis of Mexican and US closed-end mutual fund IPOs

We examine 135 Mexican closed-end fund IPOs and 370 Mexican non-fund IPOs that issued between 1994 and 2003 along with 217 contemporaneous US fund IPOs and document three primary results. First, we find that Mexican IPOs in the aggregate experience no significant underpricing, unlike their US IPO counterparts. Both Mexican and US IPOs experience significantly negative long-run performance. Second, Mexican closed-end fund IPOs experience positive long-run performance, significantly better than Mexican non-fund IPOs which experience negative long-run performance. Unlike Mexican fund IPOs, US fund IPOs experience negative long-run performance. Third, we find that both Mexican and US debt-backed closed-end fund IPOs significantly outperform equity-backed closed-end IPOs. In Mexico, debt-backed funds experience positive abnormal returns, compared to negative abnormal returns for Mexican equity-backed funds, US debt-backed funds, and US equity-backed funds.     

The capital budgeting process and the energy trilemma - A strategic conduct analysis

This paper examines capital budgeting and its role in the ‘energy trilemma’. The key focus is on the role of knowledgeable agency in the analysis of strategic conduct. In particular, this study demonstrates how accounting tools can be used by executive managers, who, whilst dominant in their own organisations, are themselves subordinate to government in the United Kingdom and at the European level. The strategic conduct of actors is examined in a narrative, theorised case study setting spanning an 11-year period from 2006 to 2017. The principal contribution to knowledge from this study is the extent to which strategic investment accounting has played a role in changing regulatory and government policy in a privatised industry. Government and regulators were forced to take the generators' concerns seriously, because the generators (based on knowledge derived from capital budgets) restricted their capital expenditure rather than mobilising their resources. The generators highlighted that not only was this a problem of environmental sustainability and price for consumers, but also one of long-term supply. They argued that the government had to address all aspects of the trilemma when creating policy.     

A theory of strategic venture investing

Some venture capital investors seek purely financial gains while others, such as corporations, also pursue strategic objectives. The paper examines a model where a strategic investor can achieve synergies, but can also face a conflict of interest with the entrepreneur. If the start-up is a complement to the strategic partner, it is optimal to obtain funding from the strategic investor. If the start-up is a mild substitute, the entrepreneur prefers an independent venture capitalist. With a strong substitute, syndication becomes optimal, such that the independent venture capitalist is the active lead investor and the strategic partner a passive co-investor. The expected returns for the entrepreneur are nonmonotonic, lowest for a mild substitute, and higher for a strong substitute as well as for a complement. The paper also explains why a strategic investor often pays a higher valuation than an independent venture capitalist.     

The use of technical analysis by fund managers: International evidence

The use of technical analysis by financial market professionals is not well understood. This paper thus analyzes survey evidence from 692 fund managers in five countries, the vast majority of whom rely on technical analysis. At a forecasting horizon of weeks, technical analysis is the most important form of analysis and up to this horizon it is thus more important than fundamental analysis. Technicians are as experienced, as educated, as successful in their career and largely just as overconfident in decision-making as others. However, technical analysis is somewhat more popular in smaller asset management firms. What we find most significant is the relation of technical analysis with the view that prices are heavily determined by psychological influences. Consequently, technicians apply trend-following behavior.