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Quality and Product Differentiation: Theory and Evidence from the Mutual Fund Industry 质量与产品差异化:来自共同基金业的理论与证据
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2021-10-08 DOI: 10.2139/ssrn.3939239
Maxime Bonelli, A. Buyalskaya, Tianhao Yao
{"title":"Quality and Product Differentiation: Theory and Evidence from the Mutual Fund Industry","authors":"Maxime Bonelli, A. Buyalskaya, Tianhao Yao","doi":"10.2139/ssrn.3939239","DOIUrl":"https://doi.org/10.2139/ssrn.3939239","url":null,"abstract":"We study product differentiation in the mutual fund industry. We design a model in which funds with heterogeneous perceived quality can choose their level of product differentiation. In equilibrium, high quality funds choose broad market designs (i.e., low differentiation) appealing to many investors, while low quality funds adopt niche designs (i.e., high differentiation) that investors either love or loath. Using as a measure of fund differentiation the degree of textual uniqueness of investment strategy description in fund prospectuses, we confirm empirically that funds with lower expected performance tend to differentiate more. We use the issuance of Morningstar rating to previously unrated funds as an exogenous shock to perceived quality to identify the economic mechanism. We find that funds receiving a low rating increase their product differentiation. The effect is mainly concentrated on funds run by small management companies, a feature associated with lower performance. This increase in product differentiation makes funds more likely to survive. It also has a market-level impact on the menu of funds available to investors.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127046015","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
Going by the Book: Valuation Ratios and Stock Returns 按部就班:估值比率和股票回报
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2021-08-26 DOI: 10.2139/ssrn.3854022
Ki-Soon Choi, Eric C. So, Charles C. Y. Wang
{"title":"Going by the Book: Valuation Ratios and Stock Returns","authors":"Ki-Soon Choi, Eric C. So, Charles C. Y. Wang","doi":"10.2139/ssrn.3854022","DOIUrl":"https://doi.org/10.2139/ssrn.3854022","url":null,"abstract":"We study the use of book-to-market ratios (B/M) in value investing and its implications for comovements in firms' stock returns and trading volumes. We show B/M has increasingly detached from alternative valuation ratios while becoming worse at forecasting returns and growth in an absolute and relative sense. Despite these trends, major U.S. stock indexes and institutional funds continue relying on B/M when identifying value stocks. Consistent with this reliance shaping market outcomes, we find firms' stock returns and trading volumes comove with B/M-peers (i.e., firms with similar B/M) in excess of their fundamentals, particularly among stocks held by value-oriented funds.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122302235","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
How does the market view shareholder proposals? 市场如何看待股东提案?
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2021-06-07 DOI: 10.2139/ssrn.3359576
Ali C. Akyol
{"title":"How does the market view shareholder proposals?","authors":"Ali C. Akyol","doi":"10.2139/ssrn.3359576","DOIUrl":"https://doi.org/10.2139/ssrn.3359576","url":null,"abstract":"I examine a decision made by a corporate vote tabulating firm that removed the ability of proposal sponsors to obtain interim vote tally data in exempt solicitation campaigns. The decision by the firm reduced the probability of the implementation of shareholder proposals and I use it to infer whether the market views that shareholder proposals create value. I find that the market’s reaction to the decision was, overall, positive and its reaction increased depending on the type of proposal and its sponsor. The results suggest that some shareholder proposals are not viewed as value creating by the market and indicate that it is important to understand how shareholders get involved in corporate affairs to correctly gauge the benefits and costs of shareholder proposals.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115570586","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
Quasi-Indexer Ownership and Insider Trading: Evidence from Russell Index Reconstitutions 准指数持有者与内幕交易:来自罗素指数重构的证据
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2021-04-05 DOI: 10.2139/ssrn.3244627
Stephen A. Hillegeist, Liwei Weng
{"title":"Quasi-Indexer Ownership and Insider Trading: Evidence from Russell Index Reconstitutions","authors":"Stephen A. Hillegeist, Liwei Weng","doi":"10.2139/ssrn.3244627","DOIUrl":"https://doi.org/10.2139/ssrn.3244627","url":null,"abstract":"The prior literature on the association between institutional ownership and insider trading has produced a mixed set of results. These results are difficult to interpret because the association between them is likely endogenous and prior studies have not employed effective identification strategies to address this issue. In this study, we examine the effects of quasi-indexer institutional ownership on insider trading using the plausibly exogenous discontinuity in quasi-indexer ownership around the Russell 1000/2000 index cutoff. Using both regression discontinuity and instrumental variable research designs, we find higher quasi-indexer ownership leads to less insider trading (both buys and sells) and less profitable sell trades. The effects for sells are concentrated among insider trades that, ex ante, are more likely to be based on private information. Our evidence on the profitability of buys is mixed. In addition, we find firms with higher quasi-indexer ownership are more likely to have and/or more strictly enforce blackout policies.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129430662","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
Anomalies in the China A-share Market 中国a股市场的异常现象
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2021-03-22 DOI: 10.2139/ssrn.3810114
M. Jansen, L. Swinkels, Weili Zhou
{"title":"Anomalies in the China A-share Market","authors":"M. Jansen, L. Swinkels, Weili Zhou","doi":"10.2139/ssrn.3810114","DOIUrl":"https://doi.org/10.2139/ssrn.3810114","url":null,"abstract":"This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period 2000-2019. We find that value, risk, and trading anomalies carry over to China A-shares. Evidence for anomalies in the size, quality, and past return categories is substantially weaker, with the exception of a strong residual momentum and reversal effect. We document that most anomalies cannot be explained by industry composition, and are present among large, mid, and small capitalization stocks. We are the first to examine the existence of residual reversal, return seasonalities, and connected firm momentum for the China A-share market. We find strong out-of-sample evidence for the former two, but not the latter. Specific characteristics of the China A-share market, such as short-sale restrictions, the prevalence of state-owned enterprises, and the effect of stock market reforms, are examined in more detail. These features do not seem to be important drivers of our empirical findings.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128886313","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: 21
Understanding Regularization for Portfolio Construction 理解投资组合构造的正则化
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2021-03-13 DOI: 10.2139/ssrn.3804026
Abraham Lioui
{"title":"Understanding Regularization for Portfolio Construction","authors":"Abraham Lioui","doi":"10.2139/ssrn.3804026","DOIUrl":"https://doi.org/10.2139/ssrn.3804026","url":null,"abstract":"Regularization for portfolio construction is shown to be equivalent to combining the unconstrained portfolio with a long - short portfolio. The latter is not correlated with the unconstrained portfolio which leads the constrained portfolio to have a beta of one with respect to the unconstrained portfolio. Regularization aiming at controlling for estimation risk makes thus investors tilt their original portfolio with noise. The noise portfolio is reminiscent of factor investing or reverse factor investing. Thus the benefits of regularization strongly depend on the test assets and the new decomposition provides forward guidance on why and when estimation risk management through regularization may or may not work.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132886309","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
Influential Institutional Investors 有影响力的机构投资者
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2021-02-01 DOI: 10.2139/ssrn.3779402
Shawn Kim
{"title":"Influential Institutional Investors","authors":"Shawn Kim","doi":"10.2139/ssrn.3779402","DOIUrl":"https://doi.org/10.2139/ssrn.3779402","url":null,"abstract":"Using mutual funds' voting behaviors and outcomes in close votes and contentious proposals, I identify influential mutual funds and examine their determinants and effects on portfolio firms. Influential mutual funds are funds that seem to make independent voting decisions and are effective in swaying other investors to obtain desired outcomes. I find that mutual funds' private information and communication abilities are key determinants of investor influence. My results are consistent with influential mutual funds being effective monitors and implicitly acting as delegated monitors. Overall, my findings suggest influence from other investors as another important factor in institutional investors’ voting behavior.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"125 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114322644","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
Relationship between Framing Bias and Big Five Personality Traits of Individual Investors 框架偏见与个人投资者五大人格特质的关系
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2021-01-20 DOI: 10.37867/te130157
A. Sachan, P. Chugan
{"title":"Relationship between Framing Bias and Big Five Personality Traits of Individual Investors","authors":"A. Sachan, P. Chugan","doi":"10.37867/te130157","DOIUrl":"https://doi.org/10.37867/te130157","url":null,"abstract":"Returns depend upon decisions of investors, but investors biases challenge the ability to take rational decisions. Study of biases and their relationships with personality traits helps to understand how biases originate, the way in which they possibly effect investors, and which personality types could be more susceptible to them. There are evidences that biases have relationships with personality traits of investors and this study focuses on one such relationship between framing bias and personality traits. Given the qualitative nature of variables under study, the relationship was established by statistically significant coefficients of logistic regression equation, where bias-variable was dependent and big five personality traits were independent. The score of personality trait, which had significant relationship, was cross tabulated with bias variable, the chi square test indicated a statistically significant relationship. The results lead to conclusion that an investor with higher score of agreeableness has higher probability of having framing bias. It is also discussed that an agreeable person may demonstrate irrationality discussed in prospect theory, more as compared to others, as the framing effects were measured using gain and loss frames. Since the study deals with frames of communication, it indicates towards the effects of personality traits on communication between portfolio manager and clients. The study contributes for portfolio managers that an agreeable client may not actually agree for rational decision if the communication is not in right frame.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126222017","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
Shareholder Perks and Firm Value 股东福利和公司价值
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2020-12-29 DOI: 10.2139/ssrn.2615777
Jonathan M. Karpoff, Robert J. Schonlau, Katsushi Suzuki
{"title":"Shareholder Perks and Firm Value","authors":"Jonathan M. Karpoff, Robert J. Schonlau, Katsushi Suzuki","doi":"10.2139/ssrn.2615777","DOIUrl":"https://doi.org/10.2139/ssrn.2615777","url":null,"abstract":"\u0000 Shareholder perks are in-kind gifts or purchase discounts that disproportionately reward small shareholders. Data from Japanese firms indicate that firms initiating perk programs attract individual retail shareholders and experience increases in share values. We find support for three channels by which perks increase firm value: an increase in share liquidity, a decrease in the equity cost of capital, and signaling to investors. A fourth channel, by which perks help to market the firm’s products to consumers, receives mixed support. We do not find evidence that perk programs work to entrench managers.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115102409","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
Performance Evaluation of Actively Managed and Passive (Index) Mutual Funds in India 印度主动管理和被动(指数)共同基金的绩效评价
CGN: Shareholders in Corporate Governance (Topic) Pub Date : 2020-12-19 DOI: 10.34218/ijm.11.12.2020.104
Gaurav Shreekant, R. S. Rai, T. Raman, G. Bhardwaj
{"title":"Performance Evaluation of Actively Managed and Passive (Index) Mutual Funds in India","authors":"Gaurav Shreekant, R. S. Rai, T. Raman, G. Bhardwaj","doi":"10.34218/ijm.11.12.2020.104","DOIUrl":"https://doi.org/10.34218/ijm.11.12.2020.104","url":null,"abstract":"The present paper attempts to empirically evaluate the performances of ‘actively managed’ and ‘passive (index)’ mutual funds in India over period April 2006 – March 2019 with following two important objectives: (1) have the actively managed mutual funds been able to outperform the market; and (2) have the actively managed mutual funds in India been able to generate statistically superior returns as compared to passive (index) funds. For achieving the stated objectives, performance of 25 actively managed large cap funds and 22 large cap passive (index) funds has been analyzed. Daily Net Asset Values (NAVs) of regular plan - growth options of all the funds has been considered. Further, various risk-return measures such as fund returns, Sharpe ratio, Treynor ratio, and Jensen alpha of funds have been analysed. ‘Two-sample tTest’ has been employed to test for difference in performances of the two groups. The findings indicate that during the period of analysis, actively managed funds were not able to outperform the market. Also, there was no significant difference in the performances of actively managed funds and passive (index) funds on account of fund returns, Sharpe ratio, and Treynor ratio during the chosen time period, barring Jensen alpha measure for which the actively managed funds were able to perform better as compared to passive (index) fund.","PeriodicalId":429515,"journal":{"name":"CGN: Shareholders in Corporate Governance (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115112697","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
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