Mutual Funds最新文献_第2页

Index Fund Trading Costs are Inversely Related to Fund and Family Size 指数基金交易成本与基金及家族规模成反比

Mutual Funds Pub Date : 2021-09-20 DOI: 10.2139/ssrn.3927427

John C. Adams, Darren K. Hayunga, S. Mansi

引用次数: 1

In Good and in Bad Times? The Relation between Anomaly Returns and Market States 是好是坏?异常收益与市场状态的关系

Mutual Funds Pub Date : 2021-09-18 DOI: 10.2139/ssrn.3926059

Sebastian Müller, Fabian Preissler

引用次数: 1

Mapping Momentum 映射动力

Mutual Funds Pub Date : 2021-09-10 DOI: 10.2139/ssrn.3883504

Yimou Li, D. Turkington

引用次数: 0

Online Appendix for 'Seller Debt in Acquisitions of Private Firms: A Security Design Approach' “私营企业收购中的卖方债务:一种安全设计方法”在线附录

Mutual Funds Pub Date : 2021-09-08 DOI: 10.2139/ssrn.3830518

Mark Jansen, T. Noe, Ludovic Phalippou

引用次数: 0

Return Asymmetry in Commodity Futures 商品期货的收益不对称

Mutual Funds Pub Date : 2021-09-07 DOI: 10.2139/ssrn.3918896

Ladislav Ďurian, Matúš Padyšák

引用次数: 0

Value of Internally Generated Intangible Capital 内部产生的无形资本价值

Mutual Funds Pub Date : 2021-09-05 DOI: 10.2139/ssrn.3917998

Aneel Iqbal, Shivaram Rajgopal, Anup Srivastava, Rong Zhao

{"title":"Value of Internally Generated Intangible Capital","authors":"Aneel Iqbal, Shivaram Rajgopal, Anup Srivastava, Rong Zhao","doi":"10.2139/ssrn.3917998","DOIUrl":"https://doi.org/10.2139/ssrn.3917998","url":null,"abstract":"Based on the current U.S. GAAP, internally developed intangibles are not included in reported assets. Omission of an increasingly important class of assets reduces the usefulness and relevance of financial statement analysis, conducted using book value. Recent studies attempt to overcome this deficiency by capitalizing the outlays reported in selling, general, and administrative (SG&A) expenses and reestimating book values with capitalized intangibles, using a perpetual inventory model. However, those studies rely on one-size-fits-all mechanical rules of thumb, such as treating a uniform 30% of SG&A as investments and assuming the same life of SG&A investments across all industries. We propose a new method to estimate the industry-specific capitalization and amortization rates for research and development and SG&A outlays. Our modified book value exhibits greater association with future risk-adjusted returns, future investments, and bankruptcy probability as per the Altman Z-score model, relative to both as-reported book values and the mechanically adjusted book values. We contribute to the literature by proposing a new method for estimating intangible investments and by providing a better estimate of book value that can be used by consumers of financial statements.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80880862","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: 6

Corporate Credit Derivatives 企业信用衍生品

Mutual Funds Pub Date : 2021-09-04 DOI: 10.2139/ssrn.3917549

George E. Batta, F. Yu

{"title":"Corporate Credit Derivatives","authors":"George E. Batta, F. Yu","doi":"10.2139/ssrn.3917549","DOIUrl":"https://doi.org/10.2139/ssrn.3917549","url":null,"abstract":"Corporate credit derivatives, mainly referring to single-name or index credit default swaps or CDSs, are over-the-counter contracts between two counterparties (the “buyer” and “seller”) that offer protection against the default of a corporate “reference entity” or the defaults in a large credit portfolio for a combination of upfront and periodic payments, loosely referred to as the “CDS premium.” Credit derivatives became popular in the late 1990s and early 2000s as a way for financial institutions to reduce their regulatory capital requirement, and early research treated them as redundant securities whose pricing is tied to the underlying corporate bonds and equities, with liquidity and counterparty risk factors playing supplementary roles. Research in the 2010s and beyond, however, increasingly focused on the effects of market frictions on the pricing of CDSs, how CDS trading has impacted corporate behaviors and outcomes as well as the price efficiency and liquidity of other related markets, and the microstructure of the CDS market itself. This was made possible by the availability of market statistics and more granular trade and quote data as a result of the broad movement of the OTC derivatives market towards central clearing.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"31 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86945793","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: 0

Fair Valuations of Non-Traded Financial Assets: Evidence from the Mutual Fund Industry 非交易性金融资产的公平估值:来自共同基金业的证据

Mutual Funds Pub Date : 2021-09-02 DOI: 10.2139/ssrn.3916506

Paul E. Fischer, David Haushalter, B. Miller, Kevin Pisciotta

{"title":"Fair Valuations of Non-Traded Financial Assets: Evidence from the Mutual Fund Industry","authors":"Paul E. Fischer, David Haushalter, B. Miller, Kevin Pisciotta","doi":"10.2139/ssrn.3916506","DOIUrl":"https://doi.org/10.2139/ssrn.3916506","url":null,"abstract":"We exploit a growing trend of mutual funds investing in private companies to examine the practice of fair value accounting. This particular setting provides a unique opportunity to examine fair value accounting because multiple mutual funds are required to simultaneously report valuations of identical assets that are not publicly traded. We find that funds’ valuations of private companies are much sticker than that of publicly traded companies. In more than a third of the quarterly observations of private companies, valuations are unchanged from the prior quarter – compared to only 0.1% for publicly traded companies. In fact, for 16% of the observations of private companies, valuations are unchanged for at least a year after a fund’s initial investment. We empirically examine potential explanations for this stickiness. First, we provide some evidence that changes in the valuation of private companies are timed to improve funds’ performance rankings, but no evidence that the valuations associated with changes are biased to improve rankings. Second, consistent with funds managing reporting costs and risks associated with fair value accounting by recording changes only when there is a compelling case for doing so, we provide evidence that changes often follow large macroeconomic and firm specific events, and that change behavior is highly correlated across funds and fund families. Finally, we find that changes are more likely around large negative market fluctuations than large positive market fluctuations suggesting that funds perceive that reporting risks associated with fair value accounting are asymmetric in nature.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"3 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75289371","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: 0

Automation and Inequality in Wealth Management 财富管理中的自动化和不平等

Mutual Funds Pub Date : 2021-09-01 DOI: 10.2139/ssrn.3515707

Michael Reher, Stanislav Sokolinski

引用次数: 8

Where is the Intersection of Madison Avenue and Wall Street? Advertisement, Local Access to Investment Advice, and Stock Market Participation 麦迪逊大道和华尔街的交汇处在哪里?广告、本地获得投资建议和股票市场参与

Mutual Funds Pub Date : 2021-08-30 DOI: 10.2139/ssrn.3914328

Joseph D. Farizo, W. Gerken, Ge Wu

引用次数: 0