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Dynamics of Correlation and Volatility in New Age Technology (Industry 4.0) Sectoral Indices and Traditional Sectoral Indices in US and India 美国和印度新时代科技(工业4.0)行业指数与传统行业指数的相关性和波动性动态
Mutual Funds Pub Date : 2021-04-19 DOI: 10.2139/ssrn.3831131
Anand Shah, Anupam Bahri
{"title":"Dynamics of Correlation and Volatility in New Age Technology (Industry 4.0) Sectoral Indices and Traditional Sectoral Indices in US and India","authors":"Anand Shah, Anupam Bahri","doi":"10.2139/ssrn.3831131","DOIUrl":"https://doi.org/10.2139/ssrn.3831131","url":null,"abstract":"We investigated the time-varying correlation and volatility behaviour of the New Age Technology (Industry 4.0) sectors and, traditional sectors in US (NASDAQ sectoral indices) and India (Nifty sectoral indices) using ADCC/DCC – GARCH models. The impact of Global Financial Crisis due to sub-prime mortgages and Global Lockdown Crisis due to COVID -19 pandemic on volatility and correlation was also assessed. Risk measures – VaR and Expected Shortfall were also calculated using Extreme Value Theory.<br><br>All the sectoral indices exhibited asymmetric volatility behaviour. Among the indices in the NASDAQ sectoral group, only NASDAQ Computer index did not show significant increase in volatility over both the crises. Autonomous Vehicles, Clean Technology, Cybersecurity, 3D Printing, Smart Buildings and Virtual Reality indices did not show a significant increase in volatility during Global Lockdown Crisis. While all the traditional sectoral indices except NASDAQ Bank showed asymmetric behaviour in correlation, Industry 4.0 indices such as Robotics, 3D printing, Clean Energy and Virtual Reality did not. In India, only Nifty IT and Nifty FMCG indices did not exhibit significant increase in volatility during the Global Lockdown Crisis. Correlation generally increased for all the sectoral indices during the crises.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74557929","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
Valuation Risk in Mutual Fund Portfolio Disclosure 共同基金投资组合披露中的估值风险
Mutual Funds Pub Date : 2021-04-19 DOI: 10.2139/ssrn.3864672
Hsiu-lang Chen
{"title":"Valuation Risk in Mutual Fund Portfolio Disclosure","authors":"Hsiu-lang Chen","doi":"10.2139/ssrn.3864672","DOIUrl":"https://doi.org/10.2139/ssrn.3864672","url":null,"abstract":"Valuation risk of a security—uncertainty about its fair value—is a subject of considerable concern in the mutual fund industry. If funds report different values for identical securities, investors cannot easily compare performance. Yet it is not unusual to see identical illiquid stocks, small-cap stocks, stocks with high analyst dispersion, stocks with less analyst coverage, and newly listed stocks valued differently across mutual funds. An equity fund that has positive price dispersion in its portfolio holdings, that performs poorly, that belongs to a fund family with an inclination for aggressive reporting, that holds more stocks subject to stale prices, that holds more pre-IPO firms, or that experiences net outflows will tend to show positive price dispersion again in the next quarter. This behavior is significant in a volatile market. Aggressive reporting helps funds gain in the mutual fund tournament.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74587373","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
Informed Trading in Dark Pools: Fair-Access Dark Venue vs. Restricted-Access Dark Venues 暗池中的知情交易:公平进入暗池vs.限制进入暗池
Mutual Funds Pub Date : 2021-04-18 DOI: 10.2139/ssrn.3830164
N. Nguyen
{"title":"Informed Trading in Dark Pools: Fair-Access Dark Venue vs. Restricted-Access Dark Venues","authors":"N. Nguyen","doi":"10.2139/ssrn.3830164","DOIUrl":"https://doi.org/10.2139/ssrn.3830164","url":null,"abstract":"Prior empirical studies find that dark pools are, on average, associated with uninformed order flow. The “exemption from fair-access requirement” has been conjectured as a necessary condition for dark venues to segment uninformed order flow. This study presents direct evidence contrasting a dark venue that offers equal access to all market participants to other dark pools which have the ability to subjectively exclude order flow. Using the period leading up to surprise corporate earnings news, I document robust evidence of informed trading taking place in the fair access dark venue. I do not find such evidence in other dark venues.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"59 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84714212","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
How Does the Speed of Capital Flows Affect Factor Momentum, Reversal and Volatility? 资本流动速度如何影响要素动量、反转和波动性?
Mutual Funds Pub Date : 2021-04-16 DOI: 10.2139/ssrn.3675163
Xi Dong, Namho Kang, Joel Peress
{"title":"How Does the Speed of Capital Flows Affect Factor Momentum, Reversal and Volatility?","authors":"Xi Dong, Namho Kang, Joel Peress","doi":"10.2139/ssrn.3675163","DOIUrl":"https://doi.org/10.2139/ssrn.3675163","url":null,"abstract":"We document that hedge-fund and mutual-fund flows drive much of anomaly-return dynamics by, respectively, correcting and amplifying anomalies, and doing so slowly. Indeed, their contributions to the autocorrelation and volatility of anomaly returns add up to 57% over horizons longer than one year, vs. a few percent over shorter horizons. Thus, flows cause long-horizon factor momentum and stock excess volatility, not transient fluctuations. This effect is more pronounced for hedge funds, helmed by fund managers rather than fund investors, and linked to frictions. We address endogeneity concerns and propose a model highlighting the horizon-dependent effects of capital on anomaly-return dynamics.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"64 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84018997","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
An Overview of Hedge Funds Performance Persistence 对冲基金业绩持续性概述
Mutual Funds Pub Date : 2021-04-15 DOI: 10.2139/ssrn.3826963
Michel Guirguis
{"title":"An Overview of Hedge Funds Performance Persistence","authors":"Michel Guirguis","doi":"10.2139/ssrn.3826963","DOIUrl":"https://doi.org/10.2139/ssrn.3826963","url":null,"abstract":"This paper examines in detail the literature review of hedge funds performance using a sample of 773 hedge funds from the period January 1990 to January 2003. The sample is free of survivorship bias, self-selection and backfill bias. Performance persistence in the investment literature was a major area of investigation for both academics and practitioners for more than 2 decades. This article provides a detailed analysis of performance persistence using data from the Alternative Asset Center (AAC). It was formed in July 1999 as an independent publishing company for hedge funds and in 2006 Barclay hedge acquired the AAC database. We derived to the conclusion that the results are mixed due to alphas, contingency tables and Spearman rank correlation tests based on quintiles. We found short-term performance persistence over one year period and not long-term performance persistence.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"80 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79081979","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
Original Sin Redux 原罪版
Mutual Funds Pub Date : 2021-04-05 DOI: 10.2139/ssrn.3820755
Carol C. Bertaut, Valentina Bruno, H. Shin
{"title":"Original Sin Redux","authors":"Carol C. Bertaut, Valentina Bruno, H. Shin","doi":"10.2139/ssrn.3820755","DOIUrl":"https://doi.org/10.2139/ssrn.3820755","url":null,"abstract":"We explore the relationship between portfolio flows and financial conditions by using a unique and comprehensive database of US investor flows into emerging market government bonds. We find that mutual funds display a more procyclical pattern of flows relative to other investor types. Delving into the dynamics of portfolio flows at monthly frequency reveals that dollar appreciation amplifies the sell-off in EM local currency bonds, but not dollar-denominated bonds, possibly reflecting clientele effects of stickier investors toward dollar-denominated bonds. Our findings underscore how borrowing in domestic currency has not insulated emerging markets from fluctuations in global financial conditions.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"61 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91085400","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: 13
Stock Price Informativeness and the Propagation of Idiosyncratic Shocks by Institutional Investors 股票价格信息性与机构投资者特质冲击的传播
Mutual Funds Pub Date : 2021-04-05 DOI: 10.2139/ssrn.3819895
Iván Blanco, José M. Martín-Flores, Alvaro Remesal
{"title":"Stock Price Informativeness and the Propagation of Idiosyncratic Shocks by Institutional Investors","authors":"Iván Blanco, José M. Martín-Flores, Alvaro Remesal","doi":"10.2139/ssrn.3819895","DOIUrl":"https://doi.org/10.2139/ssrn.3819895","url":null,"abstract":"We study the market efficiency implications of the propagation of idiosyncratic shocks by institutional investors. We show that a stock's price informativeness decreases due to non-fundamental reasons when its institutional investors are exposed to stocks hit by natural disasters. Results are consistent with disaster-exposed investors shifting their attention towards disaster-hit stocks. The decrease in informativeness feeds into a lower sensitivity of corporate investment to stock prices. We also document that disaster exposed institutional investors mostly shift attention away from stocks that represent a small portfolio weight, while they tilt portfolios towards stocks with high portfolio weight, which experience an increase of their price informativeness.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"24 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73750556","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
Optimal versus Naive Diversification: False Discoveries, Transaction Costs and Machine Learning 最优与朴素多样化:错误发现、交易成本和机器学习
Mutual Funds Pub Date : 2021-04-01 DOI: 10.2139/ssrn.3346139
A. Zareei
{"title":"Optimal versus Naive Diversification: False Discoveries, Transaction Costs and Machine Learning","authors":"A. Zareei","doi":"10.2139/ssrn.3346139","DOIUrl":"https://doi.org/10.2139/ssrn.3346139","url":null,"abstract":"This paper shows that sophisticated diversification strategies never underperform the 1/N rule when adjusting for multiple testing; however, their edge is severely undermined by transaction costs. As a way forward, this paper provides a machine learning approach for ex-ante strategy selection. By linking the characteristics of investment scenarios to the out-of-sample performance of strategies, the algorithm never underperforms the 1/N rule, even in the presence of relatively high transaction costs.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"127 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77273235","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
Thinking Beyond the Hiring and Firing of Asset Managers: a New Framework Truly Aligning Asset Owners with Asset Managers 超越聘用和解雇资产经理的思考:一个真正使资产所有者与资产经理保持一致的新框架
Mutual Funds Pub Date : 2021-04-01 DOI: 10.2139/ssrn.3873146
Patrick J. Wierckx
{"title":"Thinking Beyond the Hiring and Firing of Asset Managers: a New Framework Truly Aligning Asset Owners with Asset Managers","authors":"Patrick J. Wierckx","doi":"10.2139/ssrn.3873146","DOIUrl":"https://doi.org/10.2139/ssrn.3873146","url":null,"abstract":"Research has shown that the way asset owners deal with their asset managers often leads to adverse outcomes for themselves and their asset managers. This paper introduces an innovative framework which plays a key role in achieving a stronger alignment between an asset owner and their asset manager. The framework has been designed to offer a strong theoretical foundation to determine the asset owner’s optimal set of investment strategies across multiple asset classes. Based on this framework, the paper offers an asset owner a coherent set of alignment strategies which contribute to a better alignment with the asset owner’s investment objectives.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"63 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83941260","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
Private Equity and Financial Stability: Evidence from Failed Bank Resolution in the Crisis 私募股权与金融稳定:危机中银行处置失败的证据
Mutual Funds Pub Date : 2021-04-01 DOI: 10.2139/ssrn.3901997
Emily Johnston Ross, Song Ma, M. Puri
{"title":"Private Equity and Financial Stability: Evidence from Failed Bank Resolution in the Crisis","authors":"Emily Johnston Ross, Song Ma, M. Puri","doi":"10.2139/ssrn.3901997","DOIUrl":"https://doi.org/10.2139/ssrn.3901997","url":null,"abstract":"We investigate the role of private equity (PE) in the resolution of failed banks after the 2008 financial crisis. Using proprietary failed bank acquisition data from the FDIC combined with data on PE investors, we find that PE investors made substantial investments in underperforming and riskier failed banks. Further, these acquisitions tended to be in geographies where the other local banks were also distressed. Our results suggest that PE investors helped channel capital to underperforming failed banks when the “natural” potential bank acquirers were themselves constrained, filling the gap created by a weak, undercapitalized banking sector. Next, we use a quasi-random empirical design based on proprietary bidding data to examine ex post performance and real effects. We find that PE-acquired banks performed better ex post, with positive real effects for the local economy. Our results suggest that private equity investors had a positive role in stabilizing the financial system in the crisis through their involvement in failed bank resolution.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"319 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76284564","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: 9
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