Investigating the Islamic and Conventional Mutual Fund Performance: Evidence From Malaysia Equity Market

The phenomena of financial crisis (2007-2008) shows a significant breakdown of US$16 trillion in conventional financial industry. This provides an opportunity for Islamic capital market to drive the global asset growth investments to investors. Previous studies signal mixture results on Islamic mutual fund (IMF) and conventional mutual fund (CMF) performance. This study aims to analyze the performance of 200 IMFs and CMFs from 2007 to 2015. The sub-sample period of 2007 to 2015 will be compared to the era of financial crisis from 2007-2008. Findings show all types of mutual funds are performed throughout 2007 until 2015. The results provide information that would benefit the investors and market players in asset funds selection.

Empirical study on mutual fund objective classification

Mutual funds are usually classified on the basis of their objectives. If the activities of mutual funds are consistent with their stated objectives, investors may look at the latter as signals of their risks and incomes. This work analyzes mutual fund objective classification in China by statistical methods of distance analysis and discriminant analysis; and examines whether the stated investment objectives of mutual funds adequately represent their attributes to investors. That is, if mutual funds adhere to their stated objectives, attributes must be heterogeneous between investment objective groups and homogeneous within them. Our conclusion is to some degree, the group of optimized exponential funds is heterogeneous to other groups. As a whole, there exist no significant differences between different objective groups; and 50% of mutual funds are not consistent with their objective groups.

Evaluation of the robusticity of mutual fund performance in Ghana using Enhanced Resilient Backpropagation Neural Network(ERBPNN)and Fast Adaptive Neural Network Classifier(FANNC)

Mutual fund investment continues to play a very important role in the world financial markets especially in developing economies where the capital market is not very matured and tolerant of small scale investors.The total mutual fund asset globally as at the end of 2016 was in excess of$40.4 trillion.Despite its success there are uncertainties as to whether mutual funds in Ghana obtain optimal performance relative to their counterparts in United States,Luxembourg,Ireland,France,Australia,United Kingdom,Japan,China and Brazil.We contribute to the extant literature on mutual fund performance evaluation using a collection of more sophisticated econometric models.We selected six continuous historical years that is 2010-2011,2012-2013 and 2014-2015 to construct a mutual fund performance evaluation model utilizing the fast adaptive neural network classifier(FANNC),and to compare our results with those from an enhanced resilient back propagation neural networks(ERBPNN)model.Our FANNC model outperformed the existing models in terms of processing time and error rate.This makes it ideal for financial application that involves large volume of data and routine updates.

‘Smart’copycat mutual funds:on the performance of partial imitation strategies

Using a novel measure of stock-level trade imitation,we uncover‘smart’copycats:fund managers that use their own information when beneficial,and otherwise imitate other managers’better trades.Contrary to previous research,we find that these partial imitation strategies lead to outperformance.Our‘Copycat Score’combines the propensity to imitate and to lead trades.Funds at the high and low ends of the score outperform all others.The Copycat Score is persistent in time,related to other measures of skill,and a good predictor of fund performance.We conclude that smart copycatting is another skill of successful fund managers.

The Relation between Performance and Flows of Mutual Funds: Case of the Croatian Fund Market

With pre 2008 euphoria and present depression, inflows to open investment funds and outflows from it shaped general market conditions on the Croatian fund market. This article studies the relationship between performance of open ended investment funds and inflows (outflows) to them on Croatian funds data in an environment without long fund data history, with small number of funds and relatively illiquid underlying equity market. The results suggest that the driving forces behind funds’ flows encompass the combined influence of present month fund’s performance and persistency of past performances. At the end of our analysis we test the significance of the introduced explanatory variables on the data sets that include data for each particular fund. The significance of the introduced explanatory variables varies among different funds, although a general level of the explanatory power is maintained on average.

How mutual funds respond to asymmetric feedback tradingin China’s stock market

Previous studies show that individual investors play a dominant role in China's stock market.Their behavior of chasing-rise being stronger than killing-fall leads to asymmetry of feedback trading.Our article investigates how mutual funds react to this market force.Using China's stock and fund data from 2003 to 2019,we find that mutual funds tend to hold fewer shares when asymmetric feedback trading of the relevant stock gets more intense.This negative relationship is robust after controlling past returns,turnover rates,and firm risk factors,moreover,it attenuates when the market sentiment is bullish or when stocks are allowed short-selling.Further results show that mutual funds'selling towards asymmetric feedback trading does not make excess return but leads to significant risk reduction.Our findings may be related to uncertainty associated with asymmetric feedback trading,and thus support the limit market participation theory from the second largest stock market.

The relationship between political connections and the mutual fund performance:Evidence from the US

This paper examines the effect of political connections between mutual fund managers and politicians on the fund performance.Using the publicly available data of individual political donations,we regard the mutual funds as politically connected when their managers make financial contributions to politicians.First,we show that aggregated stock holding changes of politically connected funds predict subsequent abnormal stock returns around the earnings announcement day,implying that the political connection promotes managers’stock picking abilities.Further evidence derived from the sample of entry buys and exit sells shows that politically connected funds outperform politically non-connected funds by 82 basis points annually.Second,we provide evidence that earnings forecast accuracy for the firms whose stocks are held by politically connected funds is improved significantly when time is approaching the announcement date,highlighting the importance of political channels through which information flows between firms and the market are facilitated.

Information asymmetry, mutual funds and earnings management: Evidence from China

This paper investigates how information asymmetry and mutual fund ownership affect listed companies' earnings management. We show that(1) reducing information asymmetry improves firms' earnings management behavior;(2)relative to short-term mutual funds, long-term mutual funds promote earnings quality by adopting a monitoring role; and(3) by dividing firms into high/low information asymmetry groups, we find that the information environment significantly increases the effect of long-term mutual funds on firms' earnings management. In this paper, we provide new evidence for the role that institutional investors play in a typical emerging capital market. Our results have clear policy implications: to increase earnings quality, it is essential to improve information transparency and develop long-term institutional investors.

Modeling the Spatial-temporal Characteristics of Mutual Funds’Herd Behavior

Herd behavior in financial markets often leads to unjustified macroscopic phenomena.However,despite existing studies on modeling herd behavior,how it varies across individual agents and over time remains unclear.We show that herd behavior in mutual fund companies can be understood from the functional networks representing interactions inferred from investment similarities.Specifically,in this paper,the spatial characteristics of herd behavior stand for the topology relationships of observations in networks.We analyze the collective dynamics of mutual fund investment from 2003 to 2019 in China using the language of network science and show that herding behavior accompanies this industry's development but dwindles after the 2015 Chinese market crash.By integrating community detection analysis,we found an increased degree of coherence in the collective herding behavior of the system,even though the localization of herding behavior decreases for clusters of mutual fund companies when the systemic risk builds up.Further analysis showed that herding behavior impacts the payoff of individual fund companies differently across years.The spatial-temporal changes of herding behavior between mutual funds presented in this paper shed light on the debate of individual versus systemic risk and,thus,could interest regulators and investors.

抱团取暖:基金团体与季末股价拉升

公募基金行业的高质量发展对于活跃资本市场、推动中国特色现代资本市场建设具有重要意义。基于2005~2021年主动管理型公募基金的股票持仓明细数据识别基金团体,以基金抱团股在季末前后的股价表现为视角,探究基金团体的期末业绩粉饰行为及其内在行为动机。研究结果表明,基金团体对季度末最后两天的股票超额收益存在显著的拉升作用,该结论在经过一系列稳健性检验后仍然成立,而且,基金团体更偏好于对高流动性、高估值的股票进行季末拉升。机制分析中采用大单净买入压力从订单交易层面验证了基金团体在季度末的股价拉升行为,并通过基金净流量以及处于关键排名位置的基金比例来探究基金团体季末股价拉升的行为动机,发现基金经理更多是出于职业忧虑动机,为了掩饰当期糟糕的业绩而抱团拉升股价。此外,基金团体在经济下行时期显著增加的季末股价拉升行为也从侧面支持了职业忧虑动机。研究结论为健全公募基金行业的监管机制、信息披露制度以及绩效评价体系提供了重要的理论依据和参考价值。

机构投资者的“机构化”——基于公募基金持有者结构的实证分析

大力发展机构投资者、着力打造现代金融企业是证券市场走向成熟的标志,也是中国特色现代金融体系发展和优化的关键。然而已有研究多聚焦于机构投资者持股对于公司经营治理等方面的影响,却忽视了这类机构投资者自身股东结构“机构化”的影响。选择公募基金作为机构投资者代表,研究发现“机构化”程度高的基金未来能取得更高的超额收益。为进一步分析内在机制,论文提出了“私有信息机制”“激励机制”和“监督机制”三种假说,检验发现机构投资者不仅可以“用脚投票”,更对公募基金存在积极的激励和监督作用,对基金经理的选股能力和投资的耐心程度有显著的正向影响。研究还发现机构投资者持有的稳定性也是提高基金未来收益的关键因素。论文就金融中介链条问题展开了初步探索,为理解我国资本市场中机构投资者作用提供了更多实证细节和证据,同时也丰富了公募基金领域的研究思路。

城镇职工基本医疗保险统筹基金收支预测——基于E市证据的多方案模拟分析

基本医疗保险是检视城镇职工福利政策执行的重要民生福祉,统筹基本医疗保险基金稳健发展是制度可持续运行的保证。本文以结余较高的基金统筹区E市为例,基于现行筹资、待遇政策,构建职工医保统筹基金收支预测模型,结合职工门诊共济保障改革方向设置无政策干预、实施门诊共济保障改革、2035年取消个人账户并提高待遇水平三种模拟情形,分别预测其2022年至2050年统筹基金收支情况。结果显示,无政策干预下E市职工医保统筹基金将于2022年、2034年分别出现当期、累计结余赤字;门诊共济保障改革实施后当期、累计结余赤字发生时间分别延后20年、8年;若2035年取消个人账户则于2049年出现基金缺口,同步提高普通门诊、门诊慢特病及住院保障水平在2050年以前不会导致累计结余归零。据此,应通过渐进式取消个人账户,实现医保战略性购买,强化多层次医疗保障的效能,增强医保统筹基金可持续性。

中东资本投资中国的基本特征、战略考量及应对策略

[研究目的]旨在分析中东资本投资中国的策略背景、特征、战略考量以及中国的应对措施,强调双方在科技创新和产业升级中的互利合作,以及在全球经济新格局中实现合作共赢的重要性。[研究方法]分析中东资本投资中国呈现的特征,剖析中东国家投资中国的战略考量,提出中国应对中东投资策略转变应采取的策略。[研究结论]结果表明,中东资本投资中国呈现出战略性、投资规模庞大、投资渠道多元化、投资领域多元化、投资长期性等特征。中东资本投资中国不只是经济领域的直接利益交换,更是触达政治、科技、文化等更为宏观和深远的层面。当前国际科技合作迎来新的机遇期,中东与中国双向奔赴的时代正在来临。我国应秉持开放、审慎和积极的态度,采取一系列措施,促进多方在科技产业资本化等领域的合作共赢,共同开创世界创新新格局。

金融科技与家庭基金投资

金融科技成为推进普惠金融发展的核心动能。在此背景下,探究金融科技对家庭基金投资的影响,对于提高家庭金融福利和促进资本市场持续健康发展具有重要的意义。利用2013年互联网金融的兴起作为准自然实验,建立双重差分模型,实证分析了金融科技发展对家庭基金投资的影响和作用机制。研究发现:金融科技显著增加了家庭基金投资的广度、深度和投资金额;这种影响存在异质性,户主教育水平较高、位于东部地区和城镇地区的家庭,基金投资的概率更大;金融科技发展导致家庭资产配置发生改变,主要表现为现金和银行存款显著减少,但是银行理财投资所受影响较小。机制分析显示,金融科技通过降低交易成本和增加社会互动,促进家庭的基金投资。因此,要认识到金融科技并非万能良药,也存在局限性。在大力发展金融科技的同时,也应重视完善配套措施。应充分发挥基金公司和商业银行等正规金融机构的作用,鼓励各金融机构利用金融科技创新金融产品,提高资本市场包容水平。

基于非零超额收益假设的基金优选研究

在Kosowski等提出的Bootstrap方法的基础上,以非零的超额收益为假设前提,评价中国市场上基金的业绩表现并进行基金优选.基于2009年3月—2020年6月偏股混合型基金的数据,本文发现中国基金市场整体表现为负的超额收益率.在此基础上,以非零的超额收益为前提,发现Kosowski等提出的Bootstrap方法能够优化基金筛选.最后,在样本外区间、不同市场状态、与晨星基金评级比较以及考虑动态市场超额收益情况下,均发现在非零假设前提下能够挑选出更多显著具有能力的基金经理管理的基金,并且这些基金组合的表现更佳.该结果表明:对于掌握Bootstrap技术的机构投资者,可利用本文提供的方法实现基金优选并以此构建FOF组合为投资者带来更高的收益;对于不具备Bootstrap技术能力的散户投资者,通过聚焦普通回归方法下的超额收益的t值,并选取排序前5%的基金可以较为稳妥地实现基金优选并获得超额收益.

基金信息披露数字化与被持股公司绿色创新

基于中国证监会要求所有基金公司在指定网站使用XBRL格式披露基金信息这一准自然实验,采用双重差分方法考察基金信息披露数字化对被持股企业绿色创新行为的影响。结果发现,基金信息披露数字化显著促进被持股企业绿色创新产出。进一步分析发现,基金信息披露数字化促进被持股企业绿色创新行为是通过提高投资者信息处理效率和发挥机构投资者的外部治理作用实现的。分组检验发现,基金信息披露数字化能够显著提升创新能力不足和创新意愿较低企业的绿色表现。结论表明,数字化转型可以有效提升资本市场服务水平,激励企业绿色发展。

投资管理和内部治理是否影响基金极端风险?——基于尾部风险传染效应的研究

运用Copula-CoVaR模型和动态面板数据模型,依据2015—2021年中国基金市场数据,考量基金投资管理和内部治理对极端风险的影响。结果显示:开放式基金受极端风险的影响,形成了显著和持续的风险溢出效应;基金投资管理和内部治理特征对其极端风险影响显著;投资集中度降低了基金极端风险;主动投资行为、资金流入量、经理人数量、经理投资年限、成本率、公司规模等会增大其极端风险;按照历史业绩、投资风格、行业主题对基金分组,极端风险影响因素在组内和组间呈现出一定的异质性。

基于网络调整的多重假设检验方法及其在共同基金选择中的应用

共同基金选择是资产配置关注的重要问题之一。本文提出了基金网络下的共同基金选择模型,该模型将基金重仓持股的网络权重矩阵作为惩罚项引入参数估计中,能够限定彼此相连基金的业绩alpha(α)的差异。在此基础上,本文评估了基金网络对基金业绩的影响,并结合错误发现率(FDR)方法提出了基于网络调整的共同基金选择策略。实证采用中国2016年1月至2020年12月的596只共同基金数据样本进行分析,研究发现:①近5年中国基金的持股具有高度重合度,使得基金业绩之间存在较高的关联性;②基金网络与基金业绩之间存在“马太效应”,即基金网络对正α基金存在正向作用,而对负α基金存在负向作用;③通过与其他基金选择方法做对比,本文提出的基于网络调整的共同基金选择模型能够有效地剔除基金网络对基金业绩的影响,选出真正具有选股能力的基金。本文结果不仅可为基金间的共同持股行为提供新的解释,还可为投资者或Fund of Funds(FOF)基金经理的投资决策提供新的视角。

专业财经教育对投资收益的影响:基于基金经理的比较研究

在对比分析财经与非财经专业基金经理的投资风格和技能的基础上,尝试解释后者流行的原因。研究发现,就投资风格而言,财经专业经理人擅长利用系统性风险,而非财经专业经理人偏重非系统性风险。就投资技能而言,财经专业经理人能够获取更高的风险调整后的超额收益,而且他们的基金业绩排名更稳定;而非财经专业经理人风险调整前原始收益较高,这可能与他们逆市场周期的任职时点选择有关。结论表明系统化、专业化的财经知识教育具有无可替代的重要性。

公募基金投资顾问监管逻辑重构:以销售佣金为中心

《资管新规》致力于拨乱反正,但未涉及大资管回归本源后的重要一环——财富管理业务。该类业务具有独特的利益冲突问题,以公募基金投资建议服务为例,基金投顾会倾向于为投资者推荐佣金更多而非更适合的产品。面对这一利益冲突,部分域外监管机构试图强制实现从卖方投顾向买方投顾的付费模式转型以及对所有投顾施加统一的客户最佳利益义务,我国监管机构目前亦鼓励卖方投顾向买方投顾的转型。本文通过经济分析发现,域外监管干预措施都是非效率的,宜采取区分监管的思路:对于投资者支付投顾费用的买方投顾,严格禁止其直接或间接从基金端收受销售佣金,促进客户最佳利益义务或信义义务的履行;对于佣金激励下的卖方投顾,设置明确的佣金费率上限,促进适当性义务的履行。