Mutual Fund Family Size and Mutual Fund Performance: The Role of Regulatory Changes

We examine whether the previously documented positive association between fund family size and fund performance is affected by significant regulatory changes (i.e., Regulation Fair Disclosure (Reg FD), the Global Settlement (GS), and increased scrutiny as a result of trading scandals) that have occurred in the last decade. Using Reg FD as a beginning point for these structural changes, we find that, while fund family size was positively associated with fund performance in the period prior to the regulatory changes, this advantage is significantly weaker in the period subsequent to the regulatory changes. Consistent with the weakened advantage of fund family size in fund performance, we find that the greater stock‐picking skill of larger fund families, measured using the earnings announcement returns of the stocks they trade, also weakened subsequent to the regulatory changes. Using narrower event windows around the regulatory changes, we find that the previously documented superior return of large fund families was partly attributable to selective disclosure. We also find that fund families implicated in the trading scandals experienced a decline in their performance during the scandal period. Finally, we examine the role of large investment banks in providing an advantage to large fund families. Family size was positively associated with the extent to which funds traded in the same direction as forecast revisions by analysts from large investment banks in the period prior to Reg FD and the GS and this association declined significantly after the two regulatory events.     

Herding in the German Mutual Fund Industry

This paper analyses the trading activity of German mutual funds in the 1998–2002 period to investigate whether German mutual fund managers are engaged in herding behaviour. Another objective of the study is to determine the impact of this herd‐like trading on stock prices. Our results provide evidence of herding and positive feedback trading by German mutual fund managers. We show that a significant portion of herding detected in the German market is associated with spurious herding as a consequence of changes in benchmark index composition. Investigating the impact of mutual fund herding on stock prices, we find that herding seems to neither destabilise nor stabilise stock prices.     

Short-Term Persistence in Mutual Fund Performance

We estimate parameters of standard stock selection and markettiming models using daily mutual fund returns and quarterlymeasurement periods. We then rank funds quarterly by abnormalreturn and measure the performance of each decile the followingquarter. The average abnormal return of the top decile in thepost-ranking quarter is 39 basis points. The post-ranking abnormalreturn disappears when funds are evaluated over longer periods.These results suggest that superior performance is a short-livedphenomenon that is observable only when funds are evaluatedseveral times a year.     

XBRL、代理成本与绩效水平——基于中国开放式基金市场的证据

从2010年开始,中国证监会强制要求所有基金公司采用XBRL在唯一指定的官方网站上披露年报等信息,同时提供在线XBRL阅读器以方便投资者查阅相关信息。基于此,本文考察XBRL的采用对于开放式基金代理成本及其相关经济后果的影响,研究发现,强制采用XBRL,降低了开放式基金的代理成本,同时提升了开放式基金的绩效水平。研究表明这一新的披露方式,减少了投资者的信息搜索成本以及投资者与基金经理之间的信息不对称,从而促进了投资者作为委托人对于代理人行为的有效监督。     

公司型基金:中国基金业发展的战略选择

公司型基金现已成为世界基金组织模式的主流形式，而我国到目前为止全是单一的契约型基金。相对于契约型基金的固有缺陷而言，公司型基金有契约型基金无可比拟的制度优势。基于此，公司型基金应该成为我国未来基金业发展的主要政策取向。为此，必须在法律上明确界定公司型基金的法律性质以及处理好公司型基金与契约型基金的税负均衡问题。     

Portfolio Manager Ownership and Mutual Fund Performance

This paper examines the association between a mutual fund manager's personal fund investment and mutual fund performance. From a data set of newly released managerial ownership disclosures, I find that fund ownership levels are diverse and, in many instances, quite large. Mutual fund returns are increasing in the level of managerial investment, consistent with personal ownership realigning decision-maker and shareholder interests. Also consistent with the reduction of agency costs, I find that managerial ownership is inversely related to fund turnover. However, there is no evidence of an association between managerial ownership and a mutual fund's tax burden.     

Mutual Fund Performance: Evidence from the UK

This paper uses a large sample containing the complete return histories of 2300 UK open-ended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistence of performance and the existence of a substantial survivor bias. Similar findings have been reported for US equity mutual funds. New findings not previously documented for other markets include evidence that mutual fund performance varies substantially across different asset categories, especially foreign asset categories. We also identify some new patterns in performance related to the funds' distance from their inception and termination dates: underperformance intensifies as the fund termination date approaches, while, in contrast, there is some evidence that funds (weakly) outperform during their first year of existence.     

Dedicated REIT Mutual Fund Flows and REIT Performance

This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industry-level REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our dynamic model produces estimates of the short-run relationships, long-run relationships, impulse response functions, and forecast variance decompositions. We find evidence that REIT mutual fund flows are positively and significantly related to prior returns, while prior REIT mutual fund flows do not significantly influence REIT returns. However, contemporaneous flows do appear to have an initial positive effect, which is partially reversed one period later. The positive contemporaneous effect, however, is the result of unexpected REIT mutual fund flows, while the expected portion is insignificant.     

Mutual Fund Performance: Measurement and Evidence1

The paper provides a critical review of empirical findings on the performance of mutual funds, mainly for the US and UK. Ex‐post, there are around 0‐5% of top performing UK and US equity mutual funds with truly positive‐alpha performance (after fees) and around 20% of funds that have truly poor alpha performance, with about 75% of active funds which are effectively zero‐alpha funds. Key drivers of relative performance are, load fees, expenses and turnover. There is little evidence of successful market timing. Evidence suggests past winner funds persist, when rebalancing is frequent (i.e., less than one year) and when using sophisticated sorting rules (e.g., Bayesian approaches) ‐ but transactions costs (load and advisory fees) imply that economic gains to investors from winner funds may be marginal. The US evidence clearly supports the view that past loser funds remain losers. Broadly speaking results for bond mutual funds are similar to those for equity funds. Sensible advice for most investors would be to hold low cost index funds and avoid holding past ‘active’ loser funds. Only sophisticated investors should pursue an active ex‐ante investment strategy of trying to pick winners ‐ and then with much caution.     

投资者保护和基金投资业绩

本文从基金持仓股特征出发,研究了上市公司投资者保护与基金投资业绩的关系。由于投资者保护影响公司的盈利能力以及投资者获取信息的难易程度,基金在投资时更加偏好于投资者保护好的上市公司的股票。使用我国上市公司基金持股比例的数据,本文证实了这一结论。更为重要的是,本文发现对于有能力的基金,他们会投资于投资者保护比较差的上市公司的股票,从而获得更高的投资业绩。     

Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows

We examine a sample of 294 mutual funds that are advertised in Barron's or Money magazine. The preadvertisement performance of these funds is significantly higher than that of the benchmarks. We test whether the sponsors select funds to signal continued superior performance or they use the past superior performance to attract more money into the funds. Our analysis shows that there is no superior performance in the postadvertisement period. Thus, the results do not support the signaling hypothesis. On the other hand, we find that the advertised funds attract significantly more money in comparison with a group of control funds.     

Performance Chasing,Fund Flows and Fund Size in Real Estate Mutual Funds

Real estate mutual funds have grown dramatically in number, size, scope and assets under management over the last 15 years, but little assessment is evident. The present study addresses this limitation. Better prior period performance is associated with greater shares of fund inflows for a period. Returns, however, are negatively associated with increased fund flows and fund size. Investors chase past performance limiting fund managers’ ability to optimize investments. Under normal market conditions, but departing from typical mutual fund performance, real estate mutual fund returns generally exceed relevant benchmarks on a before expenses basis and match benchmark returns after expenses. The ability to meet and exceed benchmark returns, however, does not hold during the financial crisis period. Overall, more established funds are shown to have higher returns while fund turnover is not a determinant of returns.     

Outsourcing in the International Mutual Fund Industry: An Equilibrium View

We study outsourcing relationships among international asset management firms. We find that, in companies that manage both outsourced and in‐house funds, in‐house funds outperform outsourced funds by 0.85% annually (57% of the expense ratio). We attribute this result to preferential treatment of in‐house funds via the preferential allocation of IPOs, trading opportunities, and cross‐trades, especially at times when in‐house funds face steep outflows and require liquidity. We explain preferential treatment with agency problems: it increases with the subcontractor's market power and the difficulty of monitoring the subcontractor, and decreases with the subcontractor's amount of parallel in‐house activity.     

我国信托业市场结构与绩效关系研究

我国信托业的经营绩效与市场份额之间存在显著的正相关关系,与市场集中度存在弱性的负相关关系。现阶段我国信托市场还处于垄断程度较低的低中占寡型市场,信托业绩效水平的提升有赖于市场份额、营业费用率、资产负债率等影响因素的进一步优化。     

社会责任基金：海外发展及其在中国的前景

从基金产业角度看，SRI基金以独特的投资标准，突破了传统单一的金融目标，追求金融与社会、环境目标的高度统一，实现了基金来源、基金投资、基金效果最广泛的社会性和长期性，为基金产业开辟了更广阔的发展空间。……     

Business Networks, Corporate Governance, and Contracting in the Mutual Fund Industry

Business connections can mitigate agency conflicts by facilitating efficient information transfers, but can also be channels for inefficient favoritism. I analyze these two effects in the mutual fund industry and find that fund directors and advisory firms that manage the funds hire each other preferentially based on the intensity of their past interactions. I do not find evidence that stronger board-advisor ties correspond to better or worse outcomes for fund shareholders. These results suggest that the two effects of board-management connections on investor welfare—improved monitoring and increased potential for collusion—balance out in this setting.     

An Intertemporal CAPM Approach to Evaluate Mutual Fund Performance

Merton (1973) and Campbell (1993) have demonstrated that if an investor anticipates information shifts, he will adjust his portfolio choice today in an attempt to hedge these shifts. Exploiting these insights, we construct a new performance measure to evaluate fund managers' hedging ability. This new measure is different from two widely adopted performance evaluation measures: securities selectivity and market timing. Moreover, an econometric methodology is developed to simultaneously estimate the magnitudes of these three portfolio performance evaluation measures. The results show that mutual fund managers are on average with positive security selection and negative market timing ability. Furthermore, the mutual funds with investment style classified as Asset Allocation generally have positive hedging timing ability.     

On the Use of Multifactor Models to Evaluate Mutual Fund Performance

We show that multifactor performance estimates for mutual funds suffer from systematic biases and argue that these biases are a result of miscalculating the factor premiums. Because the factor proxies are based on hypothetical stock portfolios and do not incorporate transaction costs, trade impact, and trading restrictions, the factor premiums are either over- or underestimated. We argue that factor proxies based on mutual fund returns rather than on stock returns provide better benchmarks to evaluate professional money managers.     

Mandatory Portfolio Disclosure,Stock Liquidity,and Mutual Fund Performance

We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors.