Harmony,Justice, Confusion,and Conflict in Family Firms: Implications for Ethical Climate and the “Fredo Effect”

In this study, we analyze the financial performance and the managerial abilities of religious mutual fund managers, implementing a comparative analysis with conventional mutual funds. We use a broad sample, free of survivorship bias, of religious equity mutual funds from the US market, for the period from January 1994 to September 2010. We build a matched-pair conventional sample in order to compare the results obtained for both kinds of mutual fund managers. We analyze stock-picking and market timing abilities, topics widely neglected for the specific case of religious mutual fund managers. We also study style timing abilities. As far as we are aware, this aspect has not been studied previously for religious mutual fund managers. Our results indicate that religious mutual fund managers underperform both the market and their conventional counterparts. This result is driven by negative stock-picking ability which could be generated by excluding “Sin” stocks from their portfolios. Moreover, they are not able to time the market or any of the following styles: size, book-to-market, and momentum.     

Leaders and followers: emerging market fund behavior during tranquil and turbulent times

Recent episodes of capital market volatility and contagion have brought up many questions about the behavior of international investors. We address some of these questions, exploring the behavior of different types of emerging market equity funds with monthly data on individual country holdings. Consistent with the notion that fund behavior can largely be traced to redemptions by individual investors, we find that open-end funds withdraw more from vulnerable countries around crises than their closed-end counterparts. We show that open-end funds’ flows Granger-cause closed-end funds investments, possibly because the closed-end funds are forced to follow their more fickle open-end counterparts. Single-country fund flows precede those of global funds, suggesting an informational advantage of the former. The evidence does not support the notion that small funds are at a disadvantage in gathering country information.     

基于分形维的基金投资风格识别及漂移量化研究

有效市场假说已受到越来越多的现实挑战,文章在分析我国股市风格呈分形特征的基础上,把分形市场理论探索性地引入到基金投资风格领域,提出了基于分形维数的投资风格识别方法,并以我国79只开放式股票型基金为样本进行实证研究。结果表明：该方法能较好对基金投资风格进行准确性识别,大部分基金具有风格错配现象,比现有的两种主流风格识别方法更符合目前分形市场的现实背景,为基金经理与投资者提供了一种更加贴近现实市场的投资风格识别方法,使识别效果更加准确客观;并借鉴基尼系数的思想构建了风格一致性指标(CIS)来量化投资风格漂移程度,结果发现78.5%的基金发生了一定程度的风格漂移现象,风格一致性与风格漂移较严重的基金较少,这与证券市场非完全有效呈分形特征有关。     

Stock picking,market timing and style differences between socially responsible and conventional pension funds: evidence from the United Kingdom

As far as we are aware, this study presents the first comparative analysis of the stock picking and market timing abilities of managers of conventional and socially responsible (SR) pension funds, and of their use of superior information. For the United Kingdom, the results obtained show a slight stock picking ability on the part of SR pension fund managers (although it disappears if multifactorial models are considered), and a negative market timing ability on the part of both SR and conventional pension fund managers (these results hold for multifactorial models controlled by home bias). In relation to the management styles, both conventional and SR pension funds usually invest in small cap and growth values, although it is the SR pension funds that are the most exposed to these styles. We also observed that, while conventional pension fund managers make certain use of superior information to follow stock picking strategies, managers of SR pension funds use superior information to follow market timing strategies.     

On the stability of domestic financial market linkages in the presence of time-varying volatility

We analyze the stability of domestic financial linkages between periods of calm and turbulent market conditions. Our model develops a simultaneous test of shift contagion and bi-directional pure contagion, which is applied to the equity and currency markets of a group of East Asian emerging economies. Our results show a great deal of instability in these markets with widespread evidence of pure contagion in both directions. There is less evidence of shift contagion with the transmission of common shocks unchanged between regimes for the majority of countries.     

Dependence dynamics of stock markets during COVID-19

Stock markets have exhibited increased returns connectedness during the COVID-19 period. We examine the returns dependence among 42 stock markets classified under various emerging and developed groupings. We apply several dependence measures to examine the returns connectedness among the markets. Our results show that stock markets from the G-7 and Emerging Frontier and Asian (EFA) region exhibit high connectedness with other international markets, while Middle East and North African (MENA) and Latin American (LA) stock markets offer high diversification opportunities through low returns connectedness. The returns coherence of Central and East European (CEE) and G-7 markets increase significantly during the COVID-19 period which supports the hypothesis of contagion. However, during the pandemic MENA stock markets (excluding Greece) and most EFA markets (excluding China, Singapore and Korea) remain less cointegrated with other international equity markets. Our results have implications for individual and institutional investors, fund managers and other financial market stakeholders.     

Choosing two business degrees versus choosing one: What does it tell about mutual fund managers' investment behavior?

We analyze what a second business degree reveals about the investment behavior of mutual fund managers. Specifically, we compare the investment risk and style of managers with both a CFA designation and an MBA degree to managers with only one of these qualifications. We document that managers with both degrees take fewer risks, follow less extreme investment styles, and achieve less extreme performance outcomes. Our results are consistent with the explanation that managers with a certain personal attitude that makes them take fewer risks and invest more conventionally choose to gain both qualifications. We rule out several alternative explanations: our results are not driven by the respective contents of the MBA and the CFA program, by the manager's skill, or by the fund family's investment policy.     

Response style corrected market segmentation for ordinal data

Survey data collected for market segmentation studies is typically ordinal in nature. As such, it is susceptible to response styles. Ignoring response styles can lead to market segments which do not differ in beliefs, but merely in how segment members use survey answer options and which possibly occur in addition to the belief segments. We propose a finite mixture model which simultaneously segments and corrects for response styles, permits heterogeneity in both beliefs and response styles, accommodates a range of different response styles, does not impose a certain relationship between the response style and belief segments, and is suitable for ordinal data. The performance of the model is tested using both artificial and empirical survey data.     

Why Consumers Choose Managed Mutual Funds Over Index Funds: Hypotheses from Consumer Behavior

Much evidence exists which suggests that the vast majority of equity mutual fund managers do not possess differential information (or skills) which allow them to achieve above average market returns for their investors. Thus, when investors pay fees to equity mutual fund managers for investment advice and management, the very probable outcome is that they are reducing the return that they would otherwise achieve by investing in a nonmanaged index fund that tracks the total stock market (e.g., Wilshire 5000) or some significant portion of it (e.g., the Standard & Poor's 500). The long-term negative consumer welfare implications are large, very possibly in the hundreds of thousands of dollars for individual consumer investors. Drawing largely on insights from the psychology, consumer behavior, and behavioral finance literatures, we offer a series of hypotheses that may partially account for such consumer choices. We conclude with a call for increased government- and employer-sponsored education programs aimed at creating a more informed consumer investor.     

基于风格层面的开放式基金反馈交易行为的实证研究

文章通过结合Sharpe模型的参数构造一个基于风格层面的基金反馈交易检验模型,对我国在2004年之前成立的开放式股票型基金的反馈交易行为进行实证研究,结果发现：基金普遍采取正反馈交易策略,价值型基金比成长型基金具有明显的正反馈交易特征;在熊市时期,债券型基金的正反馈交易特征最为突出;在牛市时期,成长型基金和债券型基金则表现出明显的负反馈交易特征;历史业绩突出的基金更容易在随后时期内采取正反馈交易策略,这种策略在熊市中会恶化业绩,而在牛市中往往会提高其随后的业绩。     

基金经理个人特征与投资能力研究

基金经理作为特定群体,其价值逐步显露,买"基金"买"基金经理"的理念已深入人心。通过系统检查经理个人特征与选股风格、选股能力以及基金业绩的关系,发现基金经理的从业经验、海外教育等影响基金经理选股风格,从而改善选股能力和基金业绩。     

浅谈有限合伙型私募股权投资基金税务筹划

本文首先从我国现阶段私募基金占资管业务总规模的比重说明私募基金在我国资本市场的重要性,由此介绍有限合伙型私募股权基金定义和运作环节,通过详细阐述私募股权基金各环节的涉税业务及税收优惠政策,深入分析私募股权基金的税务筹划现状,并提出优化有限合伙型私募股权基金税务筹划策略,以期促进私募股权基金的长远发展。     

The persistence of emerging market equity flows

The portfolio flows of institutional investors have been found to be highly persistent across countries and individual investment funds. This paper investigates the source of this persistence in emerging market equities. We employ the decomposition methodology in NBER Working Paper no. 9079 (July 2002), which decomposes the persistence of flows into four components: (i) own-country, own-fund persistence (which might arise from informed trading within each country by individual funds); (ii) own-country, cross-fund persistence (which might arise from asynchronicities across funds); (iii) cross-country, own-fund persistence (which might arise from asynchonicities within a fund) and (iv) cross-country, cross-fund persistence (which might arise from other reaction lags—such as contagion—across both countries and funds). We find evidence that all four components are positive in emerging markets. Our results differ from those in developed countries, in that we attribute approximately 10–20% of total persistence to cross-country effects (iii) and (iv). These findings are consistent with stories of contagion, which suggest that demand shifts move predictably from one country to another. They cannot easily be explained by informed trading alone or by wealth effects.     

私人股权基金投资业绩研究

私人股权投资已经成为近几年资本市场上最具争议的投资明星,然而在本轮东亚地区尤其是中国的私人股权投资的热潮中,并非所有的私人股权基金都取得了满意的业绩。利用来自Private Equity Intelligence的基金业绩数据,对目前投资于中国及周边地区的私人股权基金的表现进行实证分析,研究影响私人股权基金业绩的主要因素,并对其中的因素之——投资期和退出期的划分情况进行确定。     

The Changing Role of Financial Stress,Oil Price,and Gold Price in Financial Contagion among US and BRIC Markets

The objective of this paper is to explore the determining factors behind financial contagion between US and BRIC (Brazil, Russia, India, and China) equity markets. To this end, we investigate the effects of global macroeconomic factors on the time‐varying correlations among these markets obtained by asymmetric dynamic conditional correlation method. Utilizing quantile regression analysis, we examine the determinants of financial contagion at different levels of time‐varying correlations. The results of quantile regression analyses reveal that global financial crisis (GFC) (2008) leads to changes in the dependence structure between dynamic conditional correlations among equity markets and global macroeconomic factors, such as global financial stress, oil prices, and gold prices. Following the GFC, monetary, and fiscal policy changes in the BRIC markets and hence changing macroeconomic risks of these markets are conducive to these changes. Our findings also demonstrate the importance of cross‐market rebalancing channel for information transmission across US and BRIC markets.     

风格漂移与基金绩效

基于收益率的风格分析模型,对国内36支开放式基金进行动态分析,将基金的实际投资风格和宣称的投资风格进行比较。研究发现绝大多数的基金在此研究期间发生了"风格漂移"现象,牛市行情中发生"风格漂移"的基金绩效要优于固守宣称风格的基金绩效,熊市行情中发生"风格漂移"的基金绩效要低于未发生"风格漂移"的基金绩效。     

Equity-worthiness and equity-willingness: Key factors in private equity deals

While access to private equity funds (PEFs) provides a unique opportunity for firms to set up sturdy growth paths, how PEFs select companies is an unknown process to entrepreneurs and business owners. This study aims to offer insights regarding the private equity market to entrepreneurs searching for external capital. We analyzed a novel dataset of 240 pre-deal negotiations between small- and medium-sized Italian companies and a closed-end fund. Results indicate that the successful closing of a deal depends on more than just the target firm's equity-worthiness (i.e., the company's ability to meet the expectations of a private equity investor). In fact, there is another dimension: the target firm's equity-willingness (i.e., the company's motivations to accept an outside equity investor). We summarize the results of our study by building a 2x2 positioning matrix on the basis of the target firm's equity-worthiness and equity-willingness. This matrix enables entrepreneurs to grasp how private equity investors evaluate their firms.     

股票市场周日历效应传导关系研究

以上证综指、深证成指、恒生指数、日经225指数四种指数为研究对象,实证研究四个股市的周日历效应及其传导关系。研究发现,上证综指在一周中有三天存在周日历效应,周二负效应和周三、周五正效应;深证成指在周三和周五两天存在正效应;恒生指数和日经225指数则分别在周五和周一存在正效应和负效应。上证综指的周三、周五正效应与深证成指的周三、周五正效应互相传导;上证综指与恒生指数的周五正效应互相传导;深证成指与恒生指数的周五正效应亦互相传导;日经225指数与其他三种指数的周日历效应却不存在传导关系。     

顾客参与风格对企业品牌资产的影响机制——基于关系联结的视角

随着移动互联技术与虚拟经济的高速发展,虚拟品牌社区成为消费者参与企业活动,与企业沟通的重要窗口,并在品牌营销中发挥着日益重要的作用,成为企业与消费者建立持久、和谐关系联结的重要工具以及企业品牌资产提升的重要载体和手段。依据风格特征视角,虚拟品牌社区中的顾客参与可以划分为任务型参与、社交型参与和贡献型参与,三种风格的顾客参与是企业品牌资产形成和提升的重要前置因素,并通过关系联结的中介机制影响企业品牌资产。顾客任务型参与、社交型参与和贡献型参与能够正向影响企业的品牌知名度、顾客感知质量和顾客忠诚度;关系联结在顾客参与风格和企业品牌资产的关系中起中介作用,在顾客任务型参与和品牌资产的关系中起完全中介作用,在顾客社交型参与/贡献型参与和品牌资产的关系中起部分中介作用;社区意识在不同顾客参与风格和关系联结关系中发挥的调节作用不同,正向调节顾客任务型/社交型参与对财务联结的正向影响,正向调节顾客社交型/贡献型参与对社会联结的正向影响;竞争强度负向调节关系联结对品牌资产的影响作用,即当行业竞争强度提高时,关系联结对品牌资产的正向影响受到削弱。因此,企业应通过虚拟品牌社区平台,积极引导、掌控和规范不同风格顾客参与,拓展企业价值提升的组织外途径。     

Examining shopping mall consumer decision-making styles,satisfaction and purchase intention

Understanding consumer decision-making (CDM) styles is essential for market segmentation, positioning and crafting marketing strategies within a market. Few studies have examined the structural relationship among decision-making styles that consumers exhibit during mall shopping, level of satisfaction and purchase intention. The purpose of this study was to examine CDM styles as the antecedents and predictors of level of satisfaction and purchase intention. Based on the Consumer Styles Inventory, eight CDM styles that individual exhibit during shopping mall activities are proposed in terms of utilitarian and hedonic perspectives. We hypothesize these eight CDM styles as a set of predictors of customer satisfaction and purchase intention. A total of 327 valid paper-and-pencil questionnaires were collected from several shopping malls in Kuala Lumpur, Malaysia. Partial least squares (PLS) path modelling approach, a structural equation modelling (PLS-SEM) technique was performed to test the proposed structural relationships. The empirical assessment supports that hedonic shopping styles consumers that exhibit high level of habitual, brand consciousness, fashion consciosness, recreational conscious style have lower levels of satisfaction and purchase intention during mall shopping while novelty and fashion conscious style consumers have lower level of satisfaction but do not unveil lower purchase intention. Utilitarian shopping styles consumers that exhibit high level of price conscious, confused by overchoice and high-quality conscious style have higher levels of satisfaction while impulsive/careless shoppers do not; and while price conscious, impulsive/careless, confused by overchoice consumers have higher levels of purchase intention but the high-quality conscious consumers do not unveil higher purchase intention. Further, there is a positive relationship between satisfaction and purchase intention. The practical and managerial implications are discussed.