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Stock-Picking by Mutual Funds: Evidence from Their Trading in Family-Controlled Firms 共同基金选股:来自家族企业交易的证据
Asian Finance Association (AsianFA) 2015 Conference (Archive) Pub Date : 2021-09-08 DOI: 10.2139/ssrn.2565316
Jing Xie
{"title":"Stock-Picking by Mutual Funds: Evidence from Their Trading in Family-Controlled Firms","authors":"Jing Xie","doi":"10.2139/ssrn.2565316","DOIUrl":"https://doi.org/10.2139/ssrn.2565316","url":null,"abstract":"I find that mutual funds that invest heavily in publicly traded family firms (pro-FF funds) outperform other funds. Trading by funds, which overweigh family firms, predicts family firms’ future stock returns and earnings announcement surprises. Consistent with an informed fund hypothesis, pro-FF funds’ outperformance is greater when family firms they hold are harder to value or less liquid. I find that pro-FF funds acquire an information advantage by investing in family firms located geographically closer to them. Mutual funds realizes a positive aggregate return on family firms. Overall, this study shows that investing in family firms benefits mutual funds.","PeriodicalId":420767,"journal":{"name":"Asian Finance Association (AsianFA) 2015 Conference (Archive)","volume":"383 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122502105","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
Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics 期限结构的宏观经济决定因素:长期和短期动态
Asian Finance Association (AsianFA) 2015 Conference (Archive) Pub Date : 2018-05-29 DOI: 10.2139/ssrn.2561026
Hitesh Doshi, Kris Jacobs, Rui Liu
{"title":"Macroeconomic Determinants of the Term Structure: Long-Run and Short-Run Dynamics","authors":"Hitesh Doshi, Kris Jacobs, Rui Liu","doi":"10.2139/ssrn.2561026","DOIUrl":"https://doi.org/10.2139/ssrn.2561026","url":null,"abstract":"We propose a no-arbitrage term structure model with a Taylor rule and two macroeconomic variables, real activity growth and inflation, that each contain long-run and short-run components. Variance decompositions indicate that the impact of macroeconomic variables on the term structure differs from existing models. For short maturities, inflation is relatively more important than real activity growth at short forecast horizons. For longer maturity yields, the long-run component of inflation explains most of the long-horizon forecast variance, but real activity growth matters for short forecast horizons. Unlike existing macro models, the model implies plausible term premia and expectations of short rates. The long-run components also improve the prediction of bond excess returns relative to information in the yield curve and macro variables. Measures of in-sample and out-of-sample fit confirm the benefits of allowing for long- and short-run components.","PeriodicalId":420767,"journal":{"name":"Asian Finance Association (AsianFA) 2015 Conference (Archive)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123850839","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
Short-Selling with a Short Wait: Trade- and Account-Level Analyses in Korean Stock Market 短期等待下的卖空:韩国股市交易和账户层面的分析
Asian Finance Association (AsianFA) 2015 Conference (Archive) Pub Date : 2016-01-27 DOI: 10.2139/ssrn.2564649
Kuan-Hui Lee, Shu-Feng Wang
{"title":"Short-Selling with a Short Wait: Trade- and Account-Level Analyses in Korean Stock Market","authors":"Kuan-Hui Lee, Shu-Feng Wang","doi":"10.2139/ssrn.2564649","DOIUrl":"https://doi.org/10.2139/ssrn.2564649","url":null,"abstract":"We examine the day trading short-selling trades, which are initiated and closed on the same day. Using the proprietary dataset, which covers the comprehensive trading records at the trade- as well as account-level in Korean stock market, we show that the day trading short-selling is pervasive, accounting for 42% of total shorted shares, and that the individual day traders in general make positive profits from short-selling even when transaction costs are considered. We further investigate the timing of short-selling and the covering transactions and find that traders who short stocks in the morning and hold the position longer, and those who short stocks with high intraday volatility earn higher profit. In addition, we find that day traders make profits by executing numerous trades to exploit short-term small price fluctuations. Lastly, we compare the profitability of day trading short-selling with that of day trading long-selling and show that the former shows the superior performance to the latter.","PeriodicalId":420767,"journal":{"name":"Asian Finance Association (AsianFA) 2015 Conference (Archive)","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134608444","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
Information Asymmetry, Relationship Banking and Financing Costs of SME's 信息不对称、关系银行与中小企业融资成本
Asian Finance Association (AsianFA) 2015 Conference (Archive) Pub Date : 2015-02-15 DOI: 10.2139/ssrn.2565350
J. Fidrmuc, Philipp Schreiber, Martin Siddiqui
{"title":"Information Asymmetry, Relationship Banking and Financing Costs of SME's","authors":"J. Fidrmuc, Philipp Schreiber, Martin Siddiqui","doi":"10.2139/ssrn.2565350","DOIUrl":"https://doi.org/10.2139/ssrn.2565350","url":null,"abstract":"We focus on the determinants and potentially associated benefits of relationship banking. Based on existing literature and the unique role intangible assets might play regarding asymmetric information, we derive three testable predictions. Using rich data on firm-bank relationships in Germany, we show that: Firstly, intangible assets can be used to proxy asymmetric information but do not prevent firms to finance externally. Secondly, firms' share of intangible assets statistically significantly determines firms' choice of an exclusive and persistent bank relation. Finally, relationship banking is (potentially) associated with beneficial financing conditions.","PeriodicalId":420767,"journal":{"name":"Asian Finance Association (AsianFA) 2015 Conference (Archive)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122165814","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
Which Matters: 'Paying to Play' or Stable Business Relationship? Evidence on Analyst Recommendation and Mutual Fund Commission Fee Payment “付费游戏”与稳定的商业关系孰重孰重?关于分析师推荐和共同基金佣金支付的证据
Asian Finance Association (AsianFA) 2015 Conference (Archive) Pub Date : 2015-01-29 DOI: 10.2139/ssrn.2564919
Haozhi Huang, Mingsheng Li, Jing Shi
{"title":"Which Matters: 'Paying to Play' or Stable Business Relationship? Evidence on Analyst Recommendation and Mutual Fund Commission Fee Payment","authors":"Haozhi Huang, Mingsheng Li, Jing Shi","doi":"10.2139/ssrn.2564919","DOIUrl":"https://doi.org/10.2139/ssrn.2564919","url":null,"abstract":"This paper investigates the factors that affect the likelihood of maintaining a stable relationship between a brokerage firm and its client funds and the effect of such a stable business relationship on analyst recommendations. We find that young funds, particularly those in small fund families, have more incentives to maintain business ties with their current brokerage firms. A common ownership affiliation between a fund and a brokerage firm or with a third institution further enhances the probability that the brokerage firm and the funds will maintain a stable relationship. More importantly, analysts issue more optimistic recommendations on stocks that are held by their brokerage firms stably related funds (SRFs) than on stocks that are held by other funds. The effect is more pronounced after excluding large firms. The results are robust after controlling for underwriting relation, commission fees, funds' shareholding and other factors.","PeriodicalId":420767,"journal":{"name":"Asian Finance Association (AsianFA) 2015 Conference (Archive)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114945709","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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