There are few comprehensive studies on risk measurement and performance evaluation of stock funds in China. This paper uses the ARMA-GARCH family model to analyze the volatility characteristics of equity funds under t...There are few comprehensive studies on risk measurement and performance evaluation of stock funds in China. This paper uses the ARMA-GARCH family model to analyze the volatility characteristics of equity funds under the t-distribution and Generalized error distribution (GED), and combines CVaR, PM (Second revised sharp ratio) and CVaR-RAROC (Revised RAROC) to comprehensively evaluate equity funds risk and performance. The empirical analysis of five equity funds in China from October 28, 2010 to May 17, 2019 shows that: Comprehensive evaluation of the risk and performance of equity funds can comprehensively and effectively examine the risks and returns of equity funds, helping investors, financial institutions and regulatory agencies to more fully understand the risks and performance of equity funds.展开更多
In this article,several cases are cited to demonstrate how foreign private equity firms circumvent Chinese government restrictions on capital flows and investing in strategic and sensitive sectors. Speci cally,private...In this article,several cases are cited to demonstrate how foreign private equity firms circumvent Chinese government restrictions on capital flows and investing in strategic and sensitive sectors. Speci cally,private equities investing in Chinese companies to be listed abroad can use the Red-chip,Sheng Da or overseas option models. Private equities investing in domestically-listed Chinese companies can resort to foreign-funded banks,underground banking,stock-holder borrowing,stocks held by the third party,equity bonds or local investment company purchases.展开更多
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 growt...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.展开更多
Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capita...Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.展开更多
Over the last decade, the private equity （PE） industry, primarily venture capital and leveraged buyout investments, has matured massively. Consequently, public interest towards that particular asset class has increa...Over the last decade, the private equity （PE） industry, primarily venture capital and leveraged buyout investments, has matured massively. Consequently, public interest towards that particular asset class has increased rapidly. This study seeks to empirically assess the determinants of private equity funds＇ （PEFs） performance around the world. The study comprises a panel data of 103 publicly traded PEFs globally for the period of 2007-2013. Generalized least squares （GLS） technique is employed to regress the explanatory variables. The objective is accentuated on the major contributing factors that make a PEF successful. The analysis, in this paper, examines the effect of fund size, investment size, geographical focus, and industrial specialization on return. The empirical results provide evidence that： （1） Fund size and industrial specialization were observed to have an insignificant influence on the funds＇ returns in our panels; （2） Investment size is positively related to fund performance, indicating that larger deal sizes exhibited superior performance level; and （3） Geographical focus exhibited a negative association with fund performance, leading to the conclusion that limited geographical deployment of funds or absence of market diversification resulted in a fall in funds＇ returns. Consequently, to proxy for return of funds, stock prices of listed PEFs under LPEQ listings were employed.展开更多
文摘There are few comprehensive studies on risk measurement and performance evaluation of stock funds in China. This paper uses the ARMA-GARCH family model to analyze the volatility characteristics of equity funds under the t-distribution and Generalized error distribution (GED), and combines CVaR, PM (Second revised sharp ratio) and CVaR-RAROC (Revised RAROC) to comprehensively evaluate equity funds risk and performance. The empirical analysis of five equity funds in China from October 28, 2010 to May 17, 2019 shows that: Comprehensive evaluation of the risk and performance of equity funds can comprehensively and effectively examine the risks and returns of equity funds, helping investors, financial institutions and regulatory agencies to more fully understand the risks and performance of equity funds.
文摘In this article,several cases are cited to demonstrate how foreign private equity firms circumvent Chinese government restrictions on capital flows and investing in strategic and sensitive sectors. Speci cally,private equities investing in Chinese companies to be listed abroad can use the Red-chip,Sheng Da or overseas option models. Private equities investing in domestically-listed Chinese companies can resort to foreign-funded banks,underground banking,stock-holder borrowing,stocks held by the third party,equity bonds or local investment company purchases.
文摘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.
基金sponsored by the Natural Science Foundation of China(NSFC)2018 Emergency Management Project“Exchange Rate Market Variation,Cross-Border Capital Flow and Financial Risk Prevention”(Grant No.71850005)the NSFC Youth Program“Dynamic Estimation of Foreign Exchange Market Pressure in the Process of Capital Account Opening and Evaluation of the Central Bank’s Intervention Policy Effects”(Grant No.71803204).
文摘Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.
文摘Over the last decade, the private equity （PE） industry, primarily venture capital and leveraged buyout investments, has matured massively. Consequently, public interest towards that particular asset class has increased rapidly. This study seeks to empirically assess the determinants of private equity funds＇ （PEFs） performance around the world. The study comprises a panel data of 103 publicly traded PEFs globally for the period of 2007-2013. Generalized least squares （GLS） technique is employed to regress the explanatory variables. The objective is accentuated on the major contributing factors that make a PEF successful. The analysis, in this paper, examines the effect of fund size, investment size, geographical focus, and industrial specialization on return. The empirical results provide evidence that： （1） Fund size and industrial specialization were observed to have an insignificant influence on the funds＇ returns in our panels; （2） Investment size is positively related to fund performance, indicating that larger deal sizes exhibited superior performance level; and （3） Geographical focus exhibited a negative association with fund performance, leading to the conclusion that limited geographical deployment of funds or absence of market diversification resulted in a fall in funds＇ returns. Consequently, to proxy for return of funds, stock prices of listed PEFs under LPEQ listings were employed.
