发布求助
文献互助 智能选刊 最新文献

Mutual Funds最新文献

筛选
英文 中文
Investing in Crises 在危机中投资
Mutual Funds Pub Date : 2021-07-20 DOI: 10.2139/ssrn.3762043
Matthew Baron, L. Laeven, Julien Pénasse, Yevhenii Usenko
{"title":"Investing in Crises","authors":"Matthew Baron, L. Laeven, Julien Pénasse, Yevhenii Usenko","doi":"10.2139/ssrn.3762043","DOIUrl":"https://doi.org/10.2139/ssrn.3762043","url":null,"abstract":"We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2016. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find that returns of equity and other asset classes often underperform following banking crises. This underperformance is particularly pronounced for bank stocks. The collapse in equity prices during crises is followed by lower dividends rather than a bounce back in prices, suggesting that the collapse is primarily driven by real damage to earnings and balance sheets, rather than temporary investor leverage constraints or illiquidity. Long-run returns and dividends can be predicted at the time of the crisis with debt-overhang-related measures. Our findings suggest that, even during the acute phase of banking crises, equity investors do not fully recognize the extent of bad loans made by banks and the long-term real consequences of crises.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"86 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90600043","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
A Hiding Place? Diversification, Financialization, and Return Comovement in Commodity Markets 藏身之处?商品市场的多元化、金融化与收益趋同
Mutual Funds Pub Date : 2021-07-19 DOI: 10.2139/ssrn.3287568
Yong Chen, Wenting Dai, Sorin M. Sorescu
{"title":"A Hiding Place? Diversification, Financialization, and Return Comovement in Commodity Markets","authors":"Yong Chen, Wenting Dai, Sorin M. Sorescu","doi":"10.2139/ssrn.3287568","DOIUrl":"https://doi.org/10.2139/ssrn.3287568","url":null,"abstract":"This paper provides new and integrated evidence on the causes and consequences of commodity financialization from the perspective of diversification. First, based on a large sample of commodity trading advisors, we find that financial investment in commodity markets is related to the diversification benefits against stock market downturns. Second, the aggregate financial investment positively predicts future commodity-stock return correlation. Finally, using terrorist attacks as shocks to diversification need, we present causal evidence that diversification-motivated investment in commodity markets increases the commodity-stock market comovement. Overall, our findings reveal the economic link between diversification benefits, commodity financialization, and the commodity-stock market comovement.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"17 8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77793236","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: 3
Pricing Art and the Art of Pricing: On Returns and Risk in Art Auction Markets 定价艺术与定价艺术:艺术品拍卖市场的回报与风险
Mutual Funds Pub Date : 2021-07-19 DOI: 10.2139/ssrn.3889224
Yuexin Li, Marshall Xiaoyin Ma, L. Renneboog
{"title":"Pricing Art and the Art of Pricing: On Returns and Risk in Art Auction Markets","authors":"Yuexin Li, Marshall Xiaoyin Ma, L. Renneboog","doi":"10.2139/ssrn.3889224","DOIUrl":"https://doi.org/10.2139/ssrn.3889224","url":null,"abstract":"We study price determinants and investment performance of art based on a vast sample of transactions around the world over the past 60 years. Art has appreciated at a real (nominal) annual return of 2.49% (6.24%). Higher art returns are reached for paintings at high-end of the price distribution, for oil paintings, for more recent art movements, for transactions by reputable auction houses. The risk-return tradeoff of paintings underperforms that of other passion investments. Paintings’ Sharpe ratios are below those of stocks, bonds, and gold but outperform commodities and real estate. Investments in paintings also enter the optimal investment portfolio.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"56 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89004112","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
Benchmark Backdating in Mutual Funds 共同基金的基准回溯
Mutual Funds Pub Date : 2021-07-15 DOI: 10.2139/ssrn.3887838
Kevin Mullally, Andrea Rossi
{"title":"Benchmark Backdating in Mutual Funds","authors":"Kevin Mullally, Andrea Rossi","doi":"10.2139/ssrn.3887838","DOIUrl":"https://doi.org/10.2139/ssrn.3887838","url":null,"abstract":"We analyze mutual fund benchmark changes using hand-collect SEC prospectuses. Under existing rules, funds can change their self-designated benchmark indices and compare their historical returns to those of the new benchmarks, that is, funds can potentially ``backdate'' their relative performance. We find that funds take advantage of this loophole in order to retroactively embellish their performance along several dimensions. Funds with low past performance and flows and less sophisticated clientele are more likely to engage in this behavior. Benchmark changing is associated with other deceptive behavior like portfolio pumping.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75541107","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: 1
Are enhanced index funds enhanced? 增强型指数基金是否增强型?
Mutual Funds Pub Date : 2021-07-14 DOI: 10.2139/ssrn.3893695
E. Elton, M. Gruber, A. de Souza
{"title":"Are enhanced index funds enhanced?","authors":"E. Elton, M. Gruber, A. de Souza","doi":"10.2139/ssrn.3893695","DOIUrl":"https://doi.org/10.2139/ssrn.3893695","url":null,"abstract":"One of the major trends in the mutual fund industry is the rising importance of passive investing. One of the responses of the investment community to this challenge has been the creation of enhanced return index funds. In this paper, we examine the performance of enhanced index funds and find that they outperform index funds when we analyze both pre-expense performance (management ability) and post-expense performance (investor returns). However, when we use any of several criteria that have been proposed for picking the best fund from among those following some index, index funds outperform enhanced index funds.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"116 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77263425","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
ETFs, Illiquid Assets, and Fire Sales etf，非流动性资产和低价出售
Mutual Funds Pub Date : 2021-07-14 DOI: 10.2139/ssrn.3886881
John J. Shim, Karamfil Todorov
{"title":"ETFs, Illiquid Assets, and Fire Sales","authors":"John J. Shim, Karamfil Todorov","doi":"10.2139/ssrn.3886881","DOIUrl":"https://doi.org/10.2139/ssrn.3886881","url":null,"abstract":"We document several novel facts about exchange-traded funds (ETFs) holding corporate bonds. First, the portfolio of bonds that are exchanged for new or existing ETF shares (called creation or redemption baskets) often represents a small fraction of ETF holdings – a fact that we call “fractional baskets.” Second, creation and redemption baskets exhibit high turnover. Third, creation (redemption) baskets tend to have longer (shorter) durations and smaller (larger) bid-ask spreads relative to holdings. Lastly, ETFs with fractional baskets exhibit persistent premiums and discounts, which is related to the slow adjustment of NAV returns to ETF returns. We develop a simple model to show that an ETF’s authorized participants (APs) can act as a buffer between the ETF market and the underlying illiquid assets, and help mitigate fire sales. Our findings suggest that ETFs may be more effective in managing illiquid assets than mutual funds.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"36 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76444699","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
Eponymous Hedge Funds 同名对冲基金
Mutual Funds Pub Date : 2021-07-09 DOI: 10.2139/ssrn.3883705
V. Agarwal, Y. E. Arısoy, T. Trinh
{"title":"Eponymous Hedge Funds","authors":"V. Agarwal, Y. E. Arısoy, T. Trinh","doi":"10.2139/ssrn.3883705","DOIUrl":"https://doi.org/10.2139/ssrn.3883705","url":null,"abstract":"Using a relatively common phenomenon of eponymy in the hedge fund industry where funds are named after their founder-managers, we examine if eponymy is associated with skilled managers signaling their ability. Our results suggest that eponymous fund managers are neither necessarily skilled nor outperform their non-eponymous peers. In contrast, eponymous funds take higher risk which lead them to have lower Sharpe ratios and information ratios, hence worse risk-adjusted performance. Moreover, we do not find any evidence of an increase in reputational costs and benefits associated with eponymy. Fund investors neither reward nor punish eponymous managers for good and bad performance, respectively, relative to their non-eponymous peers. Overall, these results fail to support a signaling-based explanation of eponymy and highlight the need for exploring other rationales behind the eponymy decision of hedge fund managers.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"68 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85729994","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
Machine Learning and Factor-Based Portfolio Optimization 机器学习和基于因子的投资组合优化
Mutual Funds Pub Date : 2021-07-08 DOI: 10.2139/ssrn.3889459
T. Conlon, J. Cotter, Iason Kynigakis
{"title":"Machine Learning and Factor-Based Portfolio Optimization","authors":"T. Conlon, J. Cotter, Iason Kynigakis","doi":"10.2139/ssrn.3889459","DOIUrl":"https://doi.org/10.2139/ssrn.3889459","url":null,"abstract":"We examine machine learning and factor-based portfolio optimization. We find that factors based on autoencoder neural networks exhibit a weaker relationship with commonly used characteristic-sorted portfolios than popular dimensionality reduction techniques. Machine learning methods also lead to covariance and portfolio weight structures that diverge from simpler estimators. Minimum-variance portfolios using latent factors derived from autoencoders and sparse methods outperform simpler benchmarks in terms of risk minimization. These effects are amplified for investors with an increased sensitivity to risk-adjusted returns, during high volatility periods or when accounting for tail risk.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"55 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83771010","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: 3
A Tale of Two Premiums Revisited 《两个保费的故事》重述
Mutual Funds Pub Date : 2021-07-07 DOI: 10.2139/ssrn.3881922
L. Maréchal
{"title":"A Tale of Two Premiums Revisited","authors":"L. Maréchal","doi":"10.2139/ssrn.3881922","DOIUrl":"https://doi.org/10.2139/ssrn.3881922","url":null,"abstract":"This paper investigates the effect of the “financialization” of commodity markets in terms of pricing. I explore whether the emergence of commodity index traders affects weekly returns and turnover during the roll periods. I split the sample (1994–2017) into the pre-financialization (1994–2003) and the post-financialization (2004–2017). I directly test whether the market share of index traders contributes to commodity returns and whether risk adjustments (based on momentum, basis, basis-momentum, open interest, crowding, and average factors) alter liquidity and insurance premiums documented in Kang, Rouwenhorst, and Tang (2020). I also examine how the financialization affects liquidity and insurance premiums. Finally, since previous results are obtained with Fama-MacBeth regressions, I use an alternative method totest how liquidity and insurance premiums determine commodity returns.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"24 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84507398","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: 1
Best Short 最佳纪录短片
Mutual Funds Pub Date : 2021-06-30 DOI: 10.2139/ssrn.3436433
Pasquale Della Corte, Robert Kosowski, Nikolaos Rapanos
{"title":"Best Short","authors":"Pasquale Della Corte, Robert Kosowski, Nikolaos Rapanos","doi":"10.2139/ssrn.3436433","DOIUrl":"https://doi.org/10.2139/ssrn.3436433","url":null,"abstract":"We infer investors' expectations about future stock returns through a measure of short conviction that exploits net short positions disclosed at the investor-stock level for European stock markets. A strategy that sells high-conviction stocks and buys low-conviction stocks, named Best Short, generates a risk-adjusted excess return that is larger than 8% per annum and differs from the performance of traditional strategies based on aggregate short interest. Its profitability, moreover, cannot be explained by transaction costs, stock characteristics, frictions in the securities lending market, leverage constraints, and measures of price inefficiency.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"32 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79940706","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: 1
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信