Mutual Funds最新文献_第10页

Shareholder Activism Around the Globe: Hedge Funds vs. Other Professional Investors 全球股东维权主义:对冲基金与其他专业投资者

Mutual Funds Pub Date : 2021-03-08 DOI: 10.2139/ssrn.3800001

Jochen Hartmann, Matthias Pelster, Soenke Sievers

{"title":"Shareholder Activism Around the Globe: Hedge Funds vs. Other Professional Investors","authors":"Jochen Hartmann, Matthias Pelster, Soenke Sievers","doi":"10.2139/ssrn.3800001","DOIUrl":"https://doi.org/10.2139/ssrn.3800001","url":null,"abstract":"Shareholder activism has sharply increased over the past decade and spread both across countries and among different types of investors. Today, 50% of all engagements occur outside North America, with non-hedge fund investors accounting for one-third of all engagements. We investigate the effects and drivers of hedge fund and non-hedge fund activism using an international dataset of 2,689 activist engagements across 44 countries between 2008 and 2019. Activist investments in North America, on average, yield the largest immediate positive stock market returns and buy-and-hold returns, followed by engagements in Europe and the Asia-Pacific region. In North America, short-term abnormal returns for hedge funds are at a similar level as those for non-hedge funds, but in Europe and the Asia-Pacific region, they are higher for non-hedge funds. However, globally, hedge funds achieve higher buy-and hold returns and are more successful than non-hedge funds in implementing change in target firms. Over time, our results suggest unfulfilled investor expectations, as announcement returns are increasing but (abnormal) buy-and-hold returns and the impact on performance measures of target firms are decreasing for both hedge funds and non-hedge funds.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"36 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81412055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

On Cryptocurrencies as an Independent Asset Class: Long-Horizon and COVID-19 Pandemic Era Decoupling from Global Sentiments 加密货币作为一种独立的资产类别:与全球情绪脱钩的长期视界和COVID-19大流行时代

Mutual Funds Pub Date : 2021-03-08 DOI: 10.2139/ssrn.3744858

I. Sifat

引用次数: 22

Are Indian Large-Cap Equity Funds Well-Diversified? 印度大盘股基金是否分散化良好?

Mutual Funds Pub Date : 2021-03-07 DOI: 10.2139/ssrn.3799402

Rajan Raju, R. Baruah

引用次数: 0

Financial Forecasting with Machine Learning: Price Vs Return 用机器学习进行财务预测:价格Vs回报

Mutual Funds Pub Date : 2021-03-01 DOI: 10.3844/JCSSP.2021.251.264

Firuz Kamalov, Ikhlaas Gurrib, Khairan D. Rajab

引用次数: 15

Closet Active Management of Passive Funds 被动基金的封闭式主动管理

Mutual Funds Pub Date : 2021-03-01 DOI: 10.2139/ssrn.3874582

Pat Akey, Adriana Z. Robertson, Mikhail Simutin

引用次数: 11

Pursuing Multiple Premiums: Combination vs. Integration 追求多重溢价:组合与整合

Mutual Funds Pub Date : 2021-02-26 DOI: 10.2139/ssrn.3793594

Wei Dai, N. Saito, Stephen Watson

引用次数: 0

Do Accounting Information and Market Environment Matter for Cross-Asset Predictability? 会计信息和市场环境对跨资产可预测性有影响吗?

Mutual Funds Pub Date : 2021-02-25 DOI: 10.2139/ssrn.3792800

Narongdech Thakerngkiat, Harvey Nguyen, N. Nguyen, Nuttawat Visaltanachoti

引用次数: 0

Synthetic Leverage and Fund Risk-Taking 综合杠杆和基金风险承担

Mutual Funds Pub Date : 2021-02-25 DOI: 10.2139/ssrn.3810593

Daniel Fricke

引用次数: 3

Cryptoassets: The Guide to Bitcoin, Blockchain, and Cryptocurrency for Investment Professionals 加密资产:比特币，区块链和投资专业加密货币指南

Mutual Funds Pub Date : 2021-02-24 DOI: 10.2139/ssrn.3792541

Matt Hougan, David Lawant

{"title":"Cryptoassets: The Guide to Bitcoin, Blockchain, and Cryptocurrency for Investment Professionals","authors":"Matt Hougan, David Lawant","doi":"10.2139/ssrn.3792541","DOIUrl":"https://doi.org/10.2139/ssrn.3792541","url":null,"abstract":"Bitcoin, blockchain, and cryptocurrencies burst onto the world stage in 2008, when the online posting of a pseudonymous white paper provided a vision of a new way to transfer value over the internet. In the decade-plus since, the cryptoasset market has gone through all the classic phases of a disruptive technology: massive bull markets and crushing pullbacks, periods of euphoria and moments of despair, FOMO (fear of missing out), fear, and everything in between. As the cryptomarket enters its second decade, one thing is clear: Crypto is not going away. Cryptoasset markets are rallying toward new all-time highs, and many of the world’s largest investors and financial institutions are getting involved. Investors looking into crypto, however, face significant challenges. The quality of information is poor. Theories about the drivers of cryptoasset valuations are untested and often poorly designed, and they are rarely—if ever—published in peer-reviewed journals. Due diligence efforts from leading consultants are in their infancy, and few people have carefully thought through the role (if any) that cryptoassets should have in a professionally managed portfolio. More fundamentally, few people even understand what crypto really is or why it might matter. Is it an alternative currency? A technology? A venture capital investment? A specious bubble? The goal of this document is to provide the inquisitive investor with a clear-eyed guide to crypto and blockchain: what they are, what they are not, and where they might go from here.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83697237","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Clustering Commodity Markets in Space and Time: Clarifying Returns, Volatility, and Trading Regimes Through Unsupervised Machine Learning 在空间和时间上聚类商品市场:通过无监督机器学习澄清收益、波动性和交易制度

Mutual Funds Pub Date : 2021-02-23 DOI: 10.2139/ssrn.3791138

J. Chen, M. Rehman, X. Vo

{"title":"Clustering Commodity Markets in Space and Time: Clarifying Returns, Volatility, and Trading Regimes Through Unsupervised Machine Learning","authors":"J. Chen, M. Rehman, X. Vo","doi":"10.2139/ssrn.3791138","DOIUrl":"https://doi.org/10.2139/ssrn.3791138","url":null,"abstract":"Unsupervised machine learning can interpret logarithmic returns and conditional volatility in commodity markets. k-means and hierarchical clustering can generate a financial ontology of markets for fuels, precious and base metals, and agricultural commodities. Manifold learning methods such as multidimensional scaling (MDS) and t-distributed stochastic neighbor embedding (t-SNE) enable the visualization of comovement and other financial relationships in three dimensions. Different methods of unsupervised learning excel at different tasks. k-means clustering based on logarithmic returns works well with MDS to classify commodities and to create a spatial ontology of commodities trading, A strikingly different application involves k-means clustering of the matrix transpose, such that conditional volatility is evaluated by trading date rather than by commodity. This approach can isolate the two most calamitous temporal regimes of the past two decades: the global financial crisis of 2008-09 and the immediate reaction to the Covid-19 pandemic. Temporal clustering of trading days, unlike the corresponding spatial task of clustering commodities, is better visualized through t-SNE than through MDS.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"40 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85109975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10