New evidence on the turn-of-the-year effect from closed-end fund IPOs

One of the most persistent securities anomalies is the january effect, whereby significant positive abnormal returns occur during the first few days of the calendar year, especially among small capitalization stocks. I detect a statistically significant January seasonal among a sample of closed-end stock funds that went public during the immediately preceding calendar year. However, contrary to prior research, the results indicate that the abnormal January returns are associated with year-end tax-loss-selling, but do not exhibit a small firm effect.     

The turn-of-the-year effect and tax-loss-selling by institutional investors

Prior studies attribute the turn-of-the-year effect whereby small capitalization stocks earn unusually high returns in early January to tax-loss-selling by individual investors and window-dressing by institutional investors. My results suggest that a significant portion of the effect on turn-of-the-year returns that prior studies attribute to window-dressing is actually attributable to tax-loss-selling by institutional investors. Among small capitalization stocks, I find that institutional investors with strong tax incentives and weak window-dressing incentives realize significantly more losses in the fourth quarter than in the first three quarters of the calendar year, and that their fourth quarter realized losses have a significant impact on turn-of-the-year returns. A one percentage point change in these institutional investors' fourth quarter realized losses scaled by a firm's market capitalization results in an increase of 47 basis points in the firm's average daily return over the first three trading days of January, which represents a 46 percent change for the mean firm.     

Volume and turn-of-the-year behavior

This paper studies the trading characteristics of listed companies by size, and year-end behavior. There were no transactions on nearly 25% of the days for the smallest decile even at the turn of year which is an active trading period for small companies. As a result of low levels of trading and the regulations governing exchange specialists, transaction prices and quotations of small listed companies may require several days to fully reflect equilibrium price changes. The data confirm the existence of a year-end seasonal pattern in rates of return for small companies and suggest that there may be a seasonal pattern for large companies as well.     

Investing in the size factor

This paper investigates the role of the size factor for constructing investment portfolios and proposes a dynamic extension that accommodates the risk-free asset and time-varying weights. These weights are determined by a set of state variables given by the term structure of sovereign interest rates, variables describing market risk aversion such as the VIX index and the CRB Industrial return, and indexes reflecting investor sentiment towards the economic outlook. The empirical section explores the suitability of these state variables and analyses the out-of-sample performance of size factors idiosyncratic to the US, the UK and European financial markets that are compared against the dynamic version that optimizes the weights in each period. The results provide support to the different size factors except for periods of economic distress in which the optimal dynamic strategies are clearly superior.     

投奔西北 投奔西南

贸工大臣拜尔斯2000年9月5日宣布:贸工部向地区选择扶持(RSA)部门提供570万英镑的投资资助,旨在把北美的一家光电生产商JDS Uniphase的3.32亿英镑的新投资引向普利茅斯地区.预计该项投资有双重意义:其一是可为当地新创1,000个就业机会;其二是使英国西南部地区扩大知名度,表明该地区将成为经济发展的重要地区.     

投资到南非

中国企业家的又一投资机会 南非今天经济的发展,得益于大量的外资投入.在受到国际社会的严厉制裁之前,由于南非丰富的矿藏、完备的基础设施、先进的金融体制、英国式的法律政治制度及与西方世界的历史和文化联系,加上取之不尽的黑人廉价劳动力,使得南非成为西方资本的投资天堂.二战后至20世纪70年代初,外资在南非的收益率一直在20%～27%之间,高出在非洲其他国家收益的3～4倍,比在世界其他地区多50%～80%.20世纪80年代,由于国际制裁,大量外资撤资,南非经济受到沉重打击.     

Investing in Bankrupt Firms

We examine the investment characteristics of firms electing to enter bankruptcy, between 1973 and 1982. Comparisons are made before and after the Bankruptcy Reform Act of 1978. Our results indicate that the 1978 Act had no significant impact on bankruptcy decisions or resolutions for actively traded firms. Trading in bankrupt firms' securities is becoming more common, but no abnormal returns appear to be available. Systematic risk does not change significantly with the filing of bankruptcy, but there is a significant increase in return variance. The financial markets also react to various announcements of stages in the reorganization process.     

慎投印度高铁

在日前举行的第二次中印战略经济对话中,中印双方决定设立基础设施工作组,主管两国的高铁合作项目。对印度而言,与中国开展高铁合作所带来的潜在利益不言而喻。目前印度的基础设施在全球竞争力指数中仅排名第91位,其电力、交通、通信等领域暴露出的问题早已为世人所知。     

艺术品,未来的投资之王?

“这几年艺术品投资比任何其他投资的回报都高,有的几年时间可以翻几百倍,我个人做什么都赔过钱．但投资艺术品从没赔过钱。几年前,有个台湾收藏家,给了我5张范曾的画,借了30万,后来钱没还,画就给我了,现在不到10年,这些画,一张就值80万。”     

Investing in equity mutual funds

We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill. By including both benchmark and nonbenchmark indexes, we distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperform passive indexes. Optimal portfolios exclude hot-hand funds even for investors who believe momentum is priced. Our large universe of funds offers no close substitutes for the Fama-French and momentum benchmarks.     

Investing for the Long-run in European Real Estate

We calculate optimal portfolio choices for a long-horizon, risk-averse investor who diversifies among European stocks, bonds, real estate, and cash, when excess asset returns are predictable. Simulations are performed for scenarios involving different risk aversion levels, horizons, and statistical models capturing predictability in risk premia. Importantly, under one of the scenarios, the investor takes into account the parameter uncertainty implied by the use of estimated coefficients to characterize predictability. We find that real estate ought to play a significant role in optimal portfolio choices, with weights between 12 and 44%. Under plausible assumptions, the welfare costs of either ignoring predictability or restricting portfolio choices to traditional financial assets only are found to be in the order of 150–300 basis points per year. These results are robust to changes in the benchmarks and in the statistical framework.      

21世纪投资技巧

21世纪,人们的钱逐渐多了起来,于是对未来生活、生存和发展的投资必须做出适当的选择。如今,搞投资、玩股票,已经不能再靠单纯的有钱和消息来保证不败了。中国也会有越来越多的人可以玩玩财富与投资的游戏了。那么如何实现投资收益的最大化呢?这的确需要掌握一些投资技巧。请看     

Investing in Europe Better German Stocks

As the Euro-zone strives for stabilizing and recovering, there＇s no better time to invest in German stock market.     

投资百度获益百倍

从100万到海外成功上市 李彦宏硅谷创业躁动 李彦宏在美国留学的时候,美国正鼓吹信息高速公路,大批互联网公司上市,以比尔·盖茨、杨致远为代表的创业英雄不断出现,人们创业的热情澎湃。     

投资香港值得选择

随着内地的不断开放,香港的竞争力究竟体现在何处,内地的企业怎样运用香港的优势更好地发展自己。带着这些问题,本刊记者采访了香港投资推广署助理署长胡达辉先生(JohnRutherford)     

投资欧洲需先了解欧洲

在江泰国际合作联盟主办的2016中国企业“走出去”风险发布会暨“一带一路”风险管理论坛上,史特博律师事务所合伙人埃索·温欣格、风克集团大客户主管彼得·施耐德、裕利安怡集团高级亚洲经济学家穆罕默德·伊斯拉姆针对于中国企业投资欧洲需注意的相关问题分别提出了建议。     

ESG Investing in Emerging and Frontier Markets

The authors discuss the benefits of considering material environmental, social, and governance (ESG) factors when investing in emerging and frontier markets. Companies that operate in these markets face a myriad of operating challenges, and management teams that respond to such challenges effectively can achieve superior financial performance over time. They are able to grow faster, achieve higher profitability, reduce their cost of capital, and manage exogenous risks better than their peers. For investment managers, integrating sustainability into the analysis process provides a differentiated lens to identify companies that possess strong competitive advantages that can drive value creation over time. At the same time, it can help investment managers avoid companies that have embedded risks in their business model or operations that may not be entirely visible to the market. Finally, given the early‐stage nature of many of these markets and the sometimes uneven understanding of sustainability issues at a company level, the authors argue that active ownership can be an important driver of alpha generation by fund managers. Engaging constructively with board members and management teams to improve a company's ESG profile can help drive operational improvements, strengthen the risk management function, and upgrade investors’ perception of the quality of the management team.     

Relational Investing And Firm Performance

A substantial academic and popular literature argues that the performance of American corporations might improve if American corporations had long‐term outside investors (relational investors) who would hold large stakes, actively monitor management performance, and engage with management in setting corporate policy. Institutional investors can perhaps play this role. We provide the first large‐scale test of the hypothesis that relational investing can affect corporate performance. We consider ownership and performance data for more than 1,500 large U.S. companies over a thirteen‐year period (1983–1995). Our results provide a mixed answer to the question of whether relational investing affects corporate performance. Our data suggest that there was a period in the late 1980s—a period with a uniquely high level of hostile takeover activity—when the presence of a relational investor was associated with higher stock market returns. This cohort of relational investors may have been able to induce corporate restructuring, whose principal effect was to reduce growth rates while improving profitability. But this pattern was not found in the early 1980s or repeated in the early 1990s.     

投资天使及其投资要诀

如何使所选项目的投资回报率高达1000％?数以万计的富人如何寻找投资项目?如何判断投资项目?如何决策投资项目? 请看