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Think Twice, It’s All Right. Lessons from the GameStop Saga 三思而后行，没关系的。《GameStop Saga》的经验教训
Mutual Funds Pub Date : 2021-06-30 DOI: 10.2139/ssrn.3877240
M. Arrigoni
{"title":"Think Twice, It’s All Right. Lessons from the GameStop Saga","authors":"M. Arrigoni","doi":"10.2139/ssrn.3877240","DOIUrl":"https://doi.org/10.2139/ssrn.3877240","url":null,"abstract":"Online trading platforms and internet communities facilitate access to financial markets and let investors reduce transaction and coordination costs. In this way: (1) they permit many people to be directed towards a single goal, but, at the same time, (2) they allow operations aimed at influencing the prices of financial instruments that were previously not granted to those who did not have high resources and expose the participants to significant risks. Thus, it seems appropriate to ask the question of rethinking the discipline of EU executive investment services, typically provided by the online trading platforms. From the perspective of increasing investors protection and the efficient functioning of the markets, after having presented and discussed the solutions proposed by ESMA, this paper proposes a cooling-off period in the execution only and appropriateness regime and an increase in the product governance discipline.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81704954","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 Star is Born: Star Analyst Voting and Analyst Research 一个明星的诞生:明星分析师投票和分析师研究
Mutual Funds Pub Date : 2021-06-29 DOI: 10.2139/ssrn.3875973
Q. Cheng, Xia Chen, An-Ping Lin, Kun Wang
{"title":"A Star is Born: Star Analyst Voting and Analyst Research","authors":"Q. Cheng, Xia Chen, An-Ping Lin, Kun Wang","doi":"10.2139/ssrn.3875973","DOIUrl":"https://doi.org/10.2139/ssrn.3875973","url":null,"abstract":"Being a star analyst increases an analyst’s compensation, status, and labor market mobility. In this paper, we examine how analysts’ incentives to win votes in star analyst voting affect their research outputs. Using proprietary and detailed voting data from China, we document two primary findings. First, we find that analysts exert higher level of effort in researching on the firms held by the voting funds; they issue earnings forecasts more frequently, write longer research reports, and are more likely to accompany fund managers for site visits. Second, while the incentives to win votes have a positive impact on forecast accuracy, they induce analysts to issue more optimistic stock recommendations for the firms held by the voting funds. The results are more pronounced when the portfolio weight of the firm in voting funds’ holdings and the voting weight of those funds are higher. Collectively these findings shed light on what analysts do to win favorable votes from mutual funds.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73914164","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
Smartphone Trading Technology, Investor Behavior, and Financial Fragility 智能手机交易技术、投资者行为和金融脆弱性
Mutual Funds Pub Date : 2021-06-25 DOI: 10.2139/ssrn.3424405
Xiao Cen
{"title":"Smartphone Trading Technology, Investor Behavior, and Financial Fragility","authors":"Xiao Cen","doi":"10.2139/ssrn.3424405","DOIUrl":"https://doi.org/10.2139/ssrn.3424405","url":null,"abstract":"This study investigates how smartphone trading technology affects retail investor behavior and mutual fund performance using proprietary individual-level trading data around a natural experiment—the release of a smartphone trading app by a large investment adviser. App adoption raises investor attention and trading volume through amplifying cognitive biases such as self-control problems and overconfidence. The technology shock increases investors’ flow sensitivity to short-term fund returns and market sentiment, and boosts the aggregate flows of app adopters. The funds more exposed to the shock see a greater decline in abnormal returns, which is likely attributed to higher fund flows and liquidity costs. Overall, the findings suggest investors’ adoption of smartphone trading technology can create negative externalities to other investors holding the same funds.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"75 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87559886","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: 5
WallStreetBets Against Wall Street: The Role of Reddit in the GameStop Short Squeeze 华尔街与华尔街对赌:Reddit在GameStop空头挤压中的作用
Mutual Funds Pub Date : 2021-06-24 DOI: 10.2139/ssrn.3873099
A. Anand, Jalaj Pathak
{"title":"WallStreetBets Against Wall Street: The Role of Reddit in the GameStop Short Squeeze","authors":"A. Anand, Jalaj Pathak","doi":"10.2139/ssrn.3873099","DOIUrl":"https://doi.org/10.2139/ssrn.3873099","url":null,"abstract":"By January 2021, the stock of GameStop (GME) was heavily shorted by institutional investors but an unprecedented retail campaign for pushing-up its stock price culminated in a short squeeze by the end of January 2021. Adapting recent innovations in text analysis in finance and on microblogging platforms, we present evidence that both the tone and the volume of discussions on the subreddit r/wallstreetbets had significant predictive associations with the GME return, volatility and put-call ratio.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"159 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86463523","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: 7
Low volatility and ESG investing combined: Invesco’s holistic approach 低波动性和ESG投资相结合:景顺的整体策略
Mutual Funds Pub Date : 2021-06-22 DOI: 10.2139/ssrn.3894904
Manuela von Ditfurth, Thorsten Paarmann, Erhard Radatz
{"title":"Low volatility and ESG investing combined: Invesco’s holistic approach","authors":"Manuela von Ditfurth, Thorsten Paarmann, Erhard Radatz","doi":"10.2139/ssrn.3894904","DOIUrl":"https://doi.org/10.2139/ssrn.3894904","url":null,"abstract":"The low volatility factor in conjunction with the style factors Quality, Value and Momentum, has empirically proven to be able to moderate market risks and improve a portfolio’s overall risk-return profile. By integrating ESG into such a factor portfolio, future risks may be mitigated. We present a proprietary approach to managing ESG risks that can maximize sensitivities to the desired multi-factor characteristics, and we calculate Climate VaR under different global warming scenarios.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75662094","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
Mutual Fund's Discretionary Portfolio Disclosure Policies 共同基金的酌情投资组合披露政策
Mutual Funds Pub Date : 2021-06-21 DOI: 10.2139/ssrn.3904251
James J. Li
{"title":"Mutual Fund's Discretionary Portfolio Disclosure Policies","authors":"James J. Li","doi":"10.2139/ssrn.3904251","DOIUrl":"https://doi.org/10.2139/ssrn.3904251","url":null,"abstract":"I study the determinants and effects of mutual funds’ voluntary portfolio disclosure policies using hypotheses derived from the moral hazard, adverse selection, and informed trading literature. A majority of funds disclose their portfolio holdings at a higher frequency than the mandatory requirements. Among U.S. active, equity funds, disclosure frequency varies positively with institutional ownership, nonlinearly with performance, and negatively with risk-taking and portfolio liquidity. I also find that funds that change their voluntary portfolio disclosure policies earn higher flows without a degradation in performance. I conclude that funds’ voluntary portfolio disclosures reflect behaviors patterned by models of monitoring, countersignaling, and informed trading: portfolio disclosures help satisfy investors’ monitoring and funds’ signaling needs, while lack thereof protects against front-running and copy-catting.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83842899","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
In Art We Trust 我们相信艺术
Mutual Funds Pub Date : 2021-06-21 DOI: 10.2139/ssrn.3871007
Yuexin Li, Xiaoyin Ma, L. Renneboog
{"title":"In Art We Trust","authors":"Yuexin Li, Xiaoyin Ma, L. Renneboog","doi":"10.2139/ssrn.3871007","DOIUrl":"https://doi.org/10.2139/ssrn.3871007","url":null,"abstract":"Whereas trust is the cornerstone of any market’s functioning, it is of particular importance in markets that are unregulated, illiquid, and opaque, such as the art market. This study examines the role of authenticity, as captured by provenance information in auction catalogs, on the probability of auctioned oil paintings, watercolors, and prints being sold; their price formation; and returns. Auction catalogs include four authenticity dimensions: pedigree (ownership “blockchain,” descendance information; type of past owners, such as renowned collectors; and past sales records), exhibition history (e.g., in famous museums or galleries), literature coverage (e.g., in catalogues raisonnés or authoritative press), and certification (e.g., artist’s physical testimonial, expert opinions). We find that trust, proxied by provenance information, increases the probability of a work being sold by up to 4%, leads to hammer price premiums up to 54%, and increases annualized returns by 5%–16%. To address potential endogeneity problems between the provision of provenance and past prices/price expectations, we perform quasi-natural experiments in difference-in-differences settings on auction houses’ provenance policy changes following authenticity litigation and on a contamination effect of the discovery of fakes and forgeries on the oeuvre of forged artists. We also test transactions less affected by past prices, such as estate sales following the death of a collector. The findings on the relation between provenance and prices are robust to artist reputation, artistic style, auction house reputation, art market liquidity, and artist career timing. This paper was accepted by Tomasz Piskorski, finance. Funding: Yuexin Li gratefully acknowledges supports from the National Natural Science Foundation of China [Grant 72204257] and the Area Studies Fund of Renmin University of China [Grant AS2022002]. This study is partially funded by the Tilburg Alumni Fund. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2022.4633 .","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"68 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89070386","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
Impact Value Added (IVA) 影响增值(IVA)
Mutual Funds Pub Date : 2021-06-16 DOI: 10.2139/ssrn.3868250
J. Frede
{"title":"Impact Value Added (IVA)","authors":"J. Frede","doi":"10.2139/ssrn.3868250","DOIUrl":"https://doi.org/10.2139/ssrn.3868250","url":null,"abstract":"Impact Investing is a trending topic. The market experiences increasing standardization from defining or measuring to managing impact. More and more impact investing institutions professionalize. Now, it is possible to start thinking beyond institutional improvement to more systemic, market-wide analysis. By separating the impact investing market by their impact target indicators, it is possible to use performance metrics such as the Impact Value Added (IVA). This short paper shows first the I) IVA’s prerequisites, then introduces the II) IVA concept to discuss finally the implementation of an IVA.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"4 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89510795","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
Threat of Hedge Fund Activism and Risky Investment 对冲基金激进主义与风险投资的威胁
Mutual Funds Pub Date : 2021-06-16 DOI: 10.2139/ssrn.3868341
Emil Lakkis
{"title":"Threat of Hedge Fund Activism and Risky Investment","authors":"Emil Lakkis","doi":"10.2139/ssrn.3868341","DOIUrl":"https://doi.org/10.2139/ssrn.3868341","url":null,"abstract":"I study the effect of a threat of hedge fund activism on corporate investment. I find that managers are less likely to undertake acquisitions when subject to a higher threat of activism. They decrease the number of risky, value-creating acquisitions undertaken by the firm. I present evidence that the results can be explained by the manager's exposure to firm-level risk. Hedge fund activists often pursue a restructuring of the target firms, which may increase the riskiness of the firm's assets and reduce the manager's incentives to take on new risky projects. Overall, my results demonstrate that activists can create ex-ante inefficiencies by altering the incentives-risk sharing tradeoff of the manager's compensation contract.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74921131","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
Breaking the Bond: Primary Markets and Carbon-Intensive Financing 打破债券:一级市场和碳密集型融资
Mutual Funds Pub Date : 2021-06-15 DOI: 10.2139/ssrn.3883377
Christian Wilson, Ben Caldecott
{"title":"Breaking the Bond: Primary Markets and Carbon-Intensive Financing","authors":"Christian Wilson, Ben Caldecott","doi":"10.2139/ssrn.3883377","DOIUrl":"https://doi.org/10.2139/ssrn.3883377","url":null,"abstract":"To align capital flows with the goals of the Paris Agreement, financial institutions must decarbonise primary market transactions, as these continue to provide new capital to the real economy that can create carbon lock-in and the risk of stranded assets. In this paper we define a new metric, Primary Market Carbon Exposure (PMCE), as the proportion of primary market transactions that occur in carbon-intensive sectors. We calculate PMCE for US corporate bond exchange-traded funds (ETFs) and find that these funds systematically partake in carbon-intensive primary market transactions, with a PMCE of 14% from 2015 to 2020, despite tracking indexes that rebalance monthly. High yield ETFs have a higher PMCE than investment grade ETFs and provide more financing to upstream oil & gas. To avoid becoming capital providers of last resort for carbon-intensive sectors, ETF providers need to reduce PMCE in line with Paris Agreement carbon budgets. For policymakers, not only can passive funds contribute to carbon lock-in, but ETFs directly bought by central banks are financing carbon-intensive sectors. We demonstrate this for ETFs bought by the Federal Reserve in 2020.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77225348","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
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