Behavioral Finance
  • Trading in crowded markets

    Source: Anna Obizhaeva, Yajun Wang, Stepan Gorban
    Date Submitted: 02 Aug 2019
    Views: 511
    Downloads: 84
    Crowded markets are fragile, because flash crashes, triggered whenever some traders liquidate large positions at fire-sale rates, tend to be more pronounced. But overestimating how crowded markets are makes it even worse.
  • Rewards and commitment in financial advice

    Source: Mohd Sedek Bin Jantan
    Date Submitted: 02 Aug 2019
    Views: 1053
    Downloads: 26
    The aim of this study is to identify the most practical and effective rewards that can motivate an Independent Financial Adviser to producing more sales. It seeks to enhance understanding of rewards and motivation concept in financial industry.
  • Avoiding emotional investment decisions

    Source: Mohd Sedek Jantan
    Date Submitted: 17 Jul 2019
    Views: 136
    Downloads: 17
    In volatile markets, understanding investment risk and implementing a systematic investment plan can assist  in determining investors' comfort level, building their portfolios, and managing expectations to meet long-term financial goals.
  • Numeracy and financial literacy of India's forest-dependent communities

    Source: Sundar Balakrishna, Vineet Virmani
    Date Submitted: 04 Jun 2019
    Views: 104
    Downloads: 3
    This study presents an overview on the numeracy and financial literacy of forest dependent communities and attempts to measure them using data from the Indian state of Andhra Pradesh.
  • Does investor sentiment matter in New Zealand and Australian stock markets? [NZFC 2019]

    Source: Sazali Abidin, Azilawati Banchit
    Date Submitted: 13 Mar 2019
    Views: 1111
    Downloads: 36
    This event qualifies for 1 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 

    Investor sentiment is an important aspect of behavioral finance. While most research into its effects is based on American and European stock market data, this paper uses data from Australia and New Zealand to study the phenomenon.  

    This paper has been submitted for presentation at the 23rd Annual (2019) New Zealand Finance Colloquium.
  • Investment, accessibility to external financing and financial flexibility

    Source: Wing Chun Kwok
    Date Submitted: 14 Jan 2019
    Views: 168
    Downloads: 9
    Firms with greater access to external capital markets are more flexible in adjusting their sources of financing for corporate investment in response to mispricing, according to a study of US manufacturing firms over 37 years before 2008.

  • Oil prices and stock market anomalies [NZFC 2019]

    Source: Muhammad A. Cheema, Frank Scrimgeour
    Date Submitted: 11 Jul 2019
    Views: 831
    Downloads: 37
    This paper examines the relationship between oil prices and stock market anomalies in China. The results show stronger return predictability for individual anomalies following an increase in oil prices than for a decrease in oil prices.

    This paper received the CFA Institute Asia-Pacific Research Exchange (ARX) Best Paper Award at the 23rd Annual (2019) New Zealand Finance Colloquium.
  • High policy uncertainty and low market volatility – an academic puzzle?

    Source: Xiaopeng Wei, Jedrzej Bialkowski, Huong Dang
    Date Submitted: 25 Nov 2018
    Views: 1092
    Downloads: 37
    The paper attempts to explain the puzzle of low market volatility, as measured by VIX, while the policy uncertainty was high in 2017, by analyzing potential factors that could affect the relationship between the market volatility and policy uncertainty.
  • ESG Preference and Market Efficiency: Evidence from Mispricing and Institutional Trading

    Source: Jie Cao, Sheridan Titman, Xintong Zhan, Weiming Zhang
    Date Submitted: 07 Nov 2018
    Views: 1621
    Downloads: 54
    This article qualifies for 1 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 

    Growing adoption of ESG investing after 2003 generates a new "friction" that affects the efficiency of stock markets. Socially responsible institutional investors tend to under-react to mispricing signals when they contradict the investors' preference for ESG performance. This leads to predictability of returns. 
  • Personality Driven Portfolio How to invest right for your style

    Source: SAM PHOEN
    Date Submitted: 14 Sep 2018
    Views: 1374
    Downloads: 33
    Personality Driven Portfolio
    How to Invest Right for Your Style
    Published by Marshall Cavendish Business, 2018

    Have you ever thought about how YOUR Personality might affect your Portfolio?
    • Are you wondering why your investments don’t seem to do as well as others?  
    • Do you often own the right stocks, but find yourself either taking profit too early or not taking profit early enough and now sitting on losses?
    • You have been following the recommendations of top analysts and portfolio managers, why aren’t you making as much out of these investments? 
    • Is the performance of your investments keeping you awake at night? 
    You are not alone…
    Very often, we construct our investment portfolio by following the best research and recommendations out there.  However, the investment returns are rarely optimal. One of the main reasons is that these investments may not be suitable for you!
    Constructing an investment portfolio is not a one-size-fits-all exercise.  What works for other top investors may not necessarily work for you.  Following them blindly can lead to a disastrous mismatch with your own investing style.

    Successful investing starts with KNOWING YOURSELF.
    What investment personality are you?  Are you a Diligent Deer, an Egoistic Elephant, a Cagey Crab, or perhaps a Busy Bee?

    Understanding your investment personality would be the first step to constructing a bespoke portfolio for yourself - one that will suit your personality to a T, and put you in the best position to reap sustained results over the long term!

  • Tackling False Positives in Finance: A Statistical Toolbox with Applications

    Source: Jae H. Kim
    Date Submitted: 04 Sep 2018
    Views: 196
    Downloads: 7
    Serious concerns have been raised that false positive findings are widespread in empirical research in business disciplines. This is largely because researchers almost exclusively adopt the "p-value less than 0.05" criterion for statistical significance; and they are often not fully aware of large-sample biases which can potentially mislead their research outcomes.  This paper proposes that a statistical toolbox (rather than a single hammer) be used in empirical research, which offers researchers a range of statistical instruments, including  alternatives to the p-value criterion and cautionary analyses for large-sample bias. It is found that the positive results obtained under the p-value criterion cannot stand, when the toolbox is applied to three notable studies in finance.
  • Climate Risks and Market Efficiency

    Source: Harrison Hong, Weikai Li, Jiangmin Xu
    Date Submitted: 11 Aug 2018
    Views: 3047
    Downloads: 40
    Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each year based on their long-term trends toward droughts using the Palmer Drought Severity Index. A poor trend ranking for a country forecasts relatively poor profit growth for food companies in that country. It also forecasts relatively poor food stock returns in that country. This return predictability is consistent with food stock prices underreacting to climate change risks.
  • Macro Disagreement and the Cross-Section of Stock Returns

    Source: Weikai Li
    Date Submitted: 11 Aug 2018
    Views: 225
    Downloads: 3
    This paper examines the effects of macro-level disagreement on the cross-section of stock
    returns. Using forecast dispersion measures from the Survey of Professional Forecasters
    database as proxies formacro disagreement, I find that high macro beta stocks earn lower
    future returns relative to lowmacro beta stocks following high macro disagreement states.
    This negative relation between returns for macro factors andmacro disagreement is robust
    and exists for a large set ofmacroeconomic factors, suggesting that highmacro beta stocks
    are overvalued compared with low macro beta stocks due to their greater sensitivity to
    aggregate disagreement.
  • The Information Content of Sudden Insider Silence

    Source: Weikai Li, Claire Yurong Hong,
    Date Submitted: 11 Aug 2018
    Views: 218
    Downloads: 5
    We present evidence of investors underreacting to the absence of events in financial markets. Routine-based insiders strategically choose to be silent when they possess private information not yet reflected in stock prices. Consistent with our hypothesis, insider silence following routine sell (buy) predict positive (negative) future return as well as fundamentals. The return predictability of insider silence is stronger among firms with poor information environment and facing higher arbitrage costs, and a large fraction of abnormal returns concentrates on future earnings announcements. A long-short strategy that exploits insiders' strategic silence behavior generates abnormal returns of 6% to 10% annually.
  • Security Analysts and Capital Market Anomalies

    Source: Weikai Li, K.C. John Wei, , Li Guo
    Date Submitted: 09 Oct 2018
    Views: 1681
    Downloads: 99
    This article qualifies for 0.75 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 

    We examine whether analysts utilize information in well-known stock return anomalies when making recommendations. We find results contrary to common intuition that analysts are sophisticated information intermediaries that help improve market efficiency. Specifically, analysts tend to make more favorable recommendations to stocks classified as overvalued, which have particularly negative abnormal returns ex-post. Moreover, analyst whose recommendations are more aligned with anomaly signals are more skilled and elicit greater recommendation announcement returns. Our results suggest that analysts’ biased recommendations could be a source of market frictions that impede the efficient correction of mispricing.
  • Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

    Source: Weikai Li, Chengzhu Sun,
    Date Submitted: 11 Aug 2018
    Views: 244
    Downloads: 2
    This paper examines expected return information embedded in investors' information acquisition activity. Using a novel dataset containing investors' access of company filings through the SEC's EDGAR system, we reverse engineer investors' expectations of future payoffs and show that the abnormal number of IPs searching for firms' financial statements strongly predicts future returns. The return predictability stems from investors allocating more effort to firms with improving fundamentals and following exogenous shock to underpricing. A long-short portfolio based on our measure of information acquisition activity generates a monthly abnormal return of 80 basis points that is not reversed in the long-run. The return predictability is stronger for firms with larger and lengthier financial filings that are more costly to process, and concentrates on future earnings announcements. Firm announcements, investor recognition, price pressure, and omitted risk factors do not seem to explain our results.

    Source: Elena Okhonko
    Date Submitted: 08 Aug 2018
    Views: 2459
    Downloads: 45
    Over the past nine years of low-interest rates and slow economic growth, retail investors have become increasingly sensitive to traditional wealth managers, who charge high fees for their financial advice. They are now turning to a new breed of advisors – robo-advisor: automated portfolio construction software that is fully distributed online. Robo-advisors usually rely on exchange-traded funds (ETFs) to construct clients’ portfolios but can sometimes incorporate more sophisticated asset classes such as smart beta funds, long equity funds, bond funds, long/short hedge funds, mutual funds, and leveraged funds. Since the first robo-advisors were introduced to retail investors, these automated solutions’ assets under management (AUM) have been steadily growing year-on-year. There are now more than 200 of them worldwide (Investopedia, 2018).

    With the advent of simplified coding, math, algorithms processing, and cloud computing, this number is now growing every day, showcasing retail investors’ unabated demand for the value for money robo solutions deliver and robos’ digital service convenience, compared to traditional wealth managers. However, AUM managed by robo-advisors around the world and in Asia has not taken off as much as expected. Both Hong Kong and Singapore robo-advisors have, so far, failed to reach the staggering growth rates projected at the start of 2015 (Collins, 2016) by digital wealth space observers. This is despite governments of both cities recognizing the trend and actively supporting fintech start-ups.
    Need for further research
    Few possible explanations according to Okhonko E., 2017 can be the areas of clients’ concerns that robo-advisors must still address: lack of trust and understanding of algorithms, preference for human touch and somebody to call, and uncertainty and lack of transparency of robo investment. The need for further research and information transparency in two related aspects of robo-advisory offering, investment models’ algorithms and investment performance results generated by them, was explicitly highlighted.
    The main issue in addressing this need lies in the fact that most robo-advisory solutions use an extremely scattered variety of investment algorithms and methodologies to construct clients’ portfolios. Nonetheless, few authors attempted to address this need by directly investing with several robo-advisors and then, reporting their cumulative performance. Some of the articles and reports along with their results can be found in the Internet (Lou, 2018), (Value Penguin Inc., 2018), (Scholz, 2017). These “studies” are limited to the available historical performance data, which, for the newly launched robos, have not crossed the financial industry standard of a 5-year horizon, which is required to calculate meaningful Sharpe and Sortino ratios. Besides, the majority of the “studies” only disclose returns data, leaving the readers guessing about the risk that was taken to produce it (YEO, 2017). Additionally, performance track record cannot be used as a criterion to evaluate B2B robo-advisory players, as they do not serve end clients directly.
    New methodology and paper scope
    This summary article aims to highlight all the key aspects of the white paper “Portfolio allocation models’ questionnaire: inferring the quality of potential investment performance through models’ inputs assessment”, which was written in order to present a new method that looks at robos’ investment performance without the need to invest in them directly. This method also provides a workaround that allows not to rely on historical returns and risks data, but at the same time, gives rich insights into the potential investment performance. Through analysing and evaluating the different types of portfolio asset allocation models, this paper presents the Portfolio Allocation Models’ Questionnaire that has been designed to distinguish major robo-advisory portfolio construction models and segment them according to the level of complexity and sophistication.
    View full report:
    Rowena Li
    Director, Business Development
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    Ada Lee
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    Janet Sin
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  • Greater Bay Area Opportunities - Capitalising Hong Kong's Unique Edge

    Source: Eunice Chu,Sonia Khao
    Date Submitted: 06 Aug 2018
    Views: 1167
    Downloads: 16

    ACCA Hong Kong conducted a member survey in January 2018 to seek the views of professional accountants in Hong Kong on the GBA initiative.

    Four key recommendations 

    Through this careful study and consultation, ACCA Hong Kong lays out a series of recommendations in the report for consideration:

    1. Conduct thorough research and studies on the strengths and needs of each city, enabling member cities to understand what they offer and to who they can offer
    2. Take action to attract, retain and develop talent capable of meeting the growing workforce demnads in the GBA
    3. Set up a GBA committee to facilitate Hong Kong as the Super Connector between the mainland and the international community
    4. Offer the right tax incentives to increase the city'es competitiveness and spark new momentum,

  • Relative Valuation Effects of Local and International Analysts’ Voting: The Case of Investor Relations Award

    Source: Louis T. W. Cheng, Allen C. C. Ng, Jianfu Shen
    Date Submitted: 09 Oct 2018
    Views: 320
    Downloads: 11
    This article qualifies for 1 CE under the guidelines of the CFA Institute Continuing Education Program. 
    We encourage CFA Institute members to login to the CE tracking tool to self-document these credits. 

    Using A share and H share of the same company listed in Mainland and Hong Kong markets, Jia et al. (2017) document the social connection effect of local and international investors on analyst recommendations. We further test this social connection effect between international/local analysts and international/local investors by exploring the voting pattern of international/local analysts on investor relations (IR) awards. Through proprietary data of analysts voting on stocks in the Hong Kong stock market, we examine the social connection effect between the international and local networks of analyst-investor connection by using the stocks listed in the same market.
    First, our finding indicates that the valuation effect of IR award announcements is positive and significant. Awardees receiving stronger voting from international analysts/investors experience a higher valuation effect upon announcements. Next, opaque firms experience a larger announcement effect than that of more transparent firms from international analyst voting. Since the voting behaviors of international and local analysts are not directly observable by the market, we conjecture that these international voters/investors disseminate the positive information of (or even trade) these voted firms in the own social connection network, leading to the differential valuation effect for the two groups. This result also suggests that international analysts have a more “powerful” connection to their own investor group, leading to a more favorable market reaction compared with the locally supported stocks.
    Additional analyses are conducted on trading volume, earning forecasts, and information transparency. First, trading volume has significantly increased for the awarded firms and the low international vote subsample using a pre-post event comparison. Next, the finding on firm-level transparency using the R-square suggests that the non-awarded sub-sample shows significant improvement in transparency during the event and the post-event periods. Our findings on valuation effect and information transparency are consistent with the literature related to IR recognition and third-party certification. 
    Our study is important, as we provide evidence of voting behavior for international analysts. While the IR award is given to Hong Kong listed stocks, a significant portion of the analysts (212 out of a total of 552 voting institutions) is employed by international firms with headquarters located overseas. Our research finding sheds light on the influence of international versus local analysts on the valuation, liquidity, and transparency of nominated firms.
  • A six-factor asset pricing model

    Source: Rahul Roy, Santhakumar Shijin
    Date Submitted: 18 Jun 2018
    Views: 321
    Downloads: 20
    The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model. The study employs an aggregate of four sets of portfolios with varying dimensions. The first set consists of three set of six portfolios each sorted on size to B/M, size to investment, and size to momentum. The second set comprises of five index portfolios, third, a four-set of twenty-five portfolios each sorted on size to B/M, size to investment, size to profitability, and size to momentum, and the final set constitute thirty industry portfolios. To estimate the parameters of six sets of factor asset pricing model for the four variant portfolios, we use OLS and Generalized method of moments based robust instrumental variables technique (IVGMM). The results obtained from the relevance, endogeneity, overidentifying restrictions, and the Hausman's specification, tests indicate that the parameter estimates of the six-factor model using IVGMM are robust and performs better than the OLS approach. The human capital component shares equally the predictive power alongside the factors in the framework in explaining the variations in return on portfolios. Furthermore, we assess the t-ratio of the human capital component of each IVGMM estimates of the six-factor asset pricing model for the four sets of variant portfolios. The t-ratio of the human capital of the eighty-three IVGMM estimates are more than 3.00 with reference to the standard proposed by Harvey, Liu, and Zhu (2016). This indicates the empirical success of the six-factor asset-pricing model in explaining the variation in asset returns.
  • Time-varying global financial market inefficiency: an instance of pre-, during, and post-subprime crisis

    Source: Rahul Roy, Santhakumar Shijin
    Date Submitted: 18 Jun 2018
    Views: 223
    Downloads: 2
    The informational efficiency is the central backdrop among researchers in the quest of behavioural finance since Fama (J Financ 25:383–417, 1970). The succession of time has witnessed the dramatic transformation in the field of global stock markets over the years, and subsequently the liberalization–privatization–globalization played the role of catalyst to form the global stock market convergence. Predominantly, the financial liberalization in the foreign policies over the last two decades enabled the institutional and rational investors to diversify their risk through holding different classes of asset, forming the portfolio. However, the availability of investment opportunity sets to investor in two stock markets subsequently results in portfolio diversification, and hence arbitrage occurs simultaneously across the two markets (Ito et al., Appl Financ 46(23):2744–2754, 2014). The country risk premium and world risk premium in segmented market and integrated market concurrently vary, and thus it is perceivable to examine the joint efficiency among the various stock markets when markets are highly integrated. This study aims to analyse the time-varying structure of world market dynamic linkages and the persistence of global financial market inefficiency present during an instance of subprime crisis.
  • Contrarian Trades and Disposition Effect: Evidence from Online Trade Data

    Source: Daisuke Miyakawa, Hayato Komai, Ryota Koyano
    Date Submitted: 30 May 2018
    Views: 236
    Downloads: 7
    A submission to the CFA Institute Asia-Pacific Research Exchange Award at 2018 AsianFA Conference by Daisuke Miyakawa at Hitotsubashi University.
  • AsianFA Are disagreement agreeable? Evidence from information aggregation

    Source: Dashan HUNAG, Jiangyuan LI, Liyao WANG, Guofu ZHOU
    Date Submitted: 02 Apr 2018
    Views: 260
    Downloads: 2
    Most studies on disagreement focus on cross-sectional asset returns and the well-recognized disagreement measures generally cannot predict the stock market with a horizon less than 12 months. This paper proposes three aggregate disagreement indexes by aggregating information across 20 disagreement measures. We show that disagreement measures collectively have a common component that has significant power in predicting the stock market both in- and out-of-sample. Consistent with the theory developed by Atmaz and Basak (2017), the indexes asymmetrically forecast the market with greater power in high sentiment periods. Moreover, the indexes negatively predict economic activities, and positively predict market volatility, illiquidity, and trading volume.
  • AsianFA: Forecasting Stock Returns with Model Uncertainty and Parameter Instability

    Source: Hongwei Zhang, Qiang He, Ben Jacobsen, Fuwei Jiang
    Date Submitted: 02 Apr 2018
    Views: 352
    Downloads: 11
    Paper for presentation at the 30th Asian Finance Association Annual Meeting to be held at Hitotshubashi Hall, Tokyo, Japan from June 25 - 27, 2018
  • AsianFA - Testing Market Efficiency in Betting Markets: Does It Get Around the Joint Hypothesis Problem?

    Source: Toru Yamada
    Date Submitted: 28 Mar 2018
    Views: 239
    Downloads: 3
    Asian FA
  • Asian FA: Low-Price Effect: Evidence from the Chinese IPO Market

    Source: Zhijian (James) Huang, Xiaoyun Yu, , Jing-Zhi Huang
    Date Submitted: 27 Mar 2018
    Views: 234
    Downloads: 9
    A paper submitted for the consideration of the CFA Institute Asia-Pacific Research Exchange Award.
  • AsianFA Aggregate Implied Volatility Spread and Stock Market Returns Aggregate Implied Volatility Spread and Stock Market Returns

    Source: Bing Han, Gang Li
    Date Submitted: 24 Mar 2018
    Views: 258
    Downloads: 3
    Original Academic Research Paper
  • AsianFA: Lured by the Consensus: The Implications of Treating All Analysts as Equal

    Source: Roni Michaely, Dan Segal, Alexander Vedrashko
    Date Submitted: 24 Mar 2018
    Views: 205
    Downloads: 1
    The market systematically underweights price-relevant information in high-quality analysts’ forecasts and recommendations due to its fixation on the consensus, despite the persistently superior forecasting ability of these analysts. In particular, we find that only the high-quality analysts’ recommendation changes and forecast dispersion predict the firm’s stock returns and return volatility one month ahead. The PEAD phenomenon occurs only when high-quality analysts are relatively uncertain about the firm’s performance. The information provided by analysts at the firm level aggregates to the market level, so that high-quality analysts’ recommendation changes and normalized forecast dispersion predict future market returns and volatility, while the information provided by other analysts does not. Our findings conclude that the market’s focus on the consensus earnings forecast and its negligence in differentiating among analysts according to quality has significant negative economic implications.
  • AsianFA_OWY - Does foreign ownership explain company export and innovation decisions? Evidence from Japan

    Source: OKUBO, Toshihiro,WAGNER, Alexander F.,YAMADA, Kazuo
    Date Submitted: 03 Apr 2018
    Views: 275
    Downloads: 3
    Does foreign ownership explain company export and innovation decisions? Evidence from Japan
  • Demystifying commodity futures in China

    Source: John Hua Fan, Tingxi Zhang
    Date Submitted: 22 Feb 2018
    Views: 666
    Downloads: 19
    This paper presents the most comprehensive study to date on commodity futures in China. We find that passive long-only investments deliver poor economic returns. Among 12 long-short strategies examined, momentum and term structure strategies generate statistically significant economic profits in nearby and distant contracts, illiquid markets and randomly selected commodity sectors. Our results cannot be attributed to aggregate market risks, none-tradable macroeconomic risks, commodity specific risks, market sentiment, transactions costs and data-snooping. We show that liquidity, anchoring bias and regulation induced limits-to-arbitrage provide at least a partial explanation. Furthermore, our findings suggest that long-short strategies that exploit past returns and hedging pressure make excellent candidates for hedging against movements in traditional assets in China. This paper also highlights the urgency to establish a CFTC-type repository for positions data that distinguish hedgers and speculators. Such data are essential to assess the effectiveness of risk transfers in these markets.
  • IFA - Factors Affecting Socially Responsible Behavior of Indian Investors: Using  EFA and DEMATEL

    Source: Dr Renuka Sharma, Dr Kiran Mehta, Dr Vishal Vyas
    Date Submitted: 05 Feb 2018
    Views: 297
    Downloads: 5
    The present study is intended to identify the factors affecting socially responsible behavior of Indian investors and the interrelationship between the factors identified in above objective has also been examined. The study has applied exploratory factor analysis in order to determine the important variables under one major construct. Further, in order to capture the experts’ opinion regarding importance of various factors, Decision Making Trial and Evaluation Laboratory (DEMATEL) technique has been used. The results obtained through EFA and DEMATEL have pointed out eight major factors defining the socially responsible investing behavior of Indian investors. The Environment Attitude, Materialism, Individual’s Risk Propensity, Collectivism, Individual’s Risk Affinity and Non-economic goals are the eight constructs obtained through the results of exploratory factor analysis. Out of these eight constructs, seven constructs have been found as causal effect on non-economic goals of individuals. The findings of the study can be of great interest to practitioners who are working in AMCs or developing various financial products for individuals. The results can help them to focus on the determinants of individuals’ behavior while selecting a responsible investment avenue.
  • IFA - Development of a Money Attitude and Financial Behaviour Scale for Indians

    Source: Devlina Chatterjee, Tanvi Keswani, Sanjay Gupta
    Date Submitted: 05 Feb 2018
    Views: 307
    Downloads: 8
     In this study our objective was to develop a scale for money attitudes and financial behavioural traits prevalent among Indians. While there have been several scales for measurement of such traits in the US and Britain, this is the first such study in India. The tri-component model viz., the affective, behavioral and cognitive components of attitude formation was used to generate the original scale that was developed in both English and Hindi. It was administered using an online survey as well as through collection of data in the field. The final data included 625 respondents from 20 villages in North India and more than 20 cities across India. Exploratory factor analysis of this data yielded 6 factors which were named as follows: (i) „Financial Prudence‟, (ii)„Extravagance‟ (iii) „Financial Knowledge‟, (iv) „Financial Anxiety‟, (v) „ Importance attached to Money‟ and (vi) „Financial Support Network‟. Confirmatory Factor Analysis (CFA) was conducted and the statistical fit of the CFA model was good. The findings of this study are of potential interest to social policy makers, NGOs engaged in helping people achieve financial well-being as well as agents of financial institutions trying to market insurance and investment products to the Indian customer.
  • Fundamental analysis and stock returns in international equity markets

    Source: Chi Cheong Allen Ng, S. Ghon Rhee ,
    Date Submitted: 10 Dec 2017
    Views: 366
    Downloads: 17
    This paper investigates whether a simple fundamental analysis strategy yields significant returns to investors in 65 international equity markets. Financial strength signal, FSCORE proposed by Piotroski (2000), can distinguish winners from losers in overall stocks, glamour stocks and value stocks in most of these markets. The strategy by long value stocks with strong fundamental and short glamour stocks with weak fundamental can generate significantly positive return in 41 out of 65 markets. The profitability is still significant after controlling firm size, asset growth (or investment), profitability and momentum factors. Our results suggest that the anomaly by the fundamental analysis strategy can be explained by the hypothesis of the limits to arbitrage. The abnormal return is larger in the market if it is more difficult to arbitrage.
  • AFM - Fund Flows, Slow-Moving Liquidity Provision, and Common Factors in Stock Returns

    Source: Jiacui Li
    Date Submitted: 05 Dec 2017
    Views: 318
    Downloads: 2
    Application for the "CFA Institute Asia-Pacific Capital Markets Research Award”
  • A study of intraday trading behavior around tick size changes

    Source: Kanis Saengchote
    Date Submitted: 04 Dec 2017
    Views: 1378
    Downloads: 23

    In Thailand, tick sizes for stock trades are not decimalized but instead fixed over predefined intervals. While changes in tick sizes are exogenous, investors seem to behave differently around such thresholds. Using high-frequency trade and quote data from the Stock Exchange of Thailand between 2002 and 2008, we document that investors are more likely to sell their stocks (as “market” orders) at threshold prices. Despite the influence of price clusters (at round numbers, which are also threshold prices), we show that imbalances are more likely to exist at threshold prices. While investors of all types sell at the thresholds, retail investors tend to also set limit orders to buy at the thresholds as prices approach from below. There is also no evidence that investors can systematically profits from the imbalance, suggesting that the trading activities may increase trading costs without returns to compensate.

  • The prevalence of global stock market inefficiencies gives rise to ample opportunities for stock picking

    Source: Chan Fook Leong, CFA
    Date Submitted: 19 Dec 2017
    Views: 2170
    Downloads: 0
    Media Release

    The prevalence of global stock market inefficiencies gives rise to ample opportunities for stock picking
    • Active management can yield alpha from inefficiencies in global equity markets particularly in the Asia Pacific region and in emerging markets 
    • These opportunities to generate excess risk-adjusted returns are in spite of trading costs 
    • There is a positive relation between transaction costs including the presence of short selling restrictions and alpha
    By Chan Fook Leong, CFA, for Asia-Pacific Research Exchange (ARX)
    Singapore, November 14. Professor Söhnke M. Bartram from University of Warwick highlighted the prevalence of global stock market inefficiencies over a lunch-time talk to a full house of CFA charter holders in the FTSE Room on the 9th floor of Capital Tower, Singapore.

    When there are deviations from fair value, stock picking can yield alpha. The mispricing in equities is prevalent globally, particularly in the Asia Pacific region and in emerging markets as uncovered by Professor’s Bartram research project using point-in-time accounting data from more than 25,000 stocks from 36 countries over a period of more than two decades.

    He and joint researcher, Mark Grinblatt, showed that the risk-adjusted returns are significantly larger in emerging than developed markets, suggesting that emerging markets are less efficient at incorporating material public information.

    Potential profits are also larger in the Asia Pacific region. Equity markets in Asia Pacific, the region with the largest alpha, experiences 26-50 basis point additional alpha compared to the Americas even after factoring in differences in the state of economic development.  

    In their research, fair value is determined using replicating portfolios instead of the more conventional discounted cash flow model or the structural asset pricing model where assumptions such as terminal growth and discount rates need to be determined. The replicating portfolio method is a simplistic non-discretionary approach as it relies on less assumptions to arrive at the fair value of a stock. Using international accounting data which is readily available to investors, firms with the same accounting metrics should have identical fair values.

    The replicating portfolios assign monthly fair values to more than 25,000 firms from 36 countries from 1993 to 2016. Thereafter, ordinary least square regression methods are employed to determine the most under- and over-priced stocks. Professor Bartram found that mispricing is greater in emerging markets and in the Asia Pacific region.

    The proxy of trading costs in this research are costs typically incurred by institutional investors. The study also shows that constructing a long-short portfolio still yields positive alpha in spite of trading costs from fees, commissions, and market impact. Moreover, simple adaptations of strategies that reduce turnover such as buy-and-hold strategy can improve alpha in emerging markets.

    Transaction costs which include trading and compliance costs also predict potential profitability – there is a positive relation between such costs and alpha even after controlling for variables such as the quality of a country’s information environment, its level of economic and financial development, and its regulatory framework. This implies that a hypothetical country with zero transaction costs will be devoid of alpha.  

    The other determinant of the level of alpha is the presence of short selling restrictions and other characteristics that might curb arbitrage activities. Limiting arbitrage activities impede the process of stocks reverting to fair value which in turn gives rise to mis-priced stocks.

    Stock market inefficiencies leads to presence of higher alpha in emerging markets and the Asia Pacific region compared to other parts of the world. The former two market or region represent the amongst highest transaction costs including the presence of the prohibition of short selling relative to others, and thereby leading to higher alphas waiting to be realized from picking these severely mis-priced stocks. Best of luck.
    The full research report can be downloaded from the Asia-Pacific Research Exchange (ARX) website (
  • CFA Societies Australia: Submission to the Australian Investment Securities Commission on the National Financial Literacy Strategy

    Source: Susan Morey
    Date Submitted: 11 Dec 2017
    Views: 13092
    Downloads: 28
    CFA Societies Australia: Submission to the Australian Investment Securities Commission on the National Financial Literacy Strategy
  • Information Diffusion and Speed Competition

    Source: Junqing Kang,
    Date Submitted: 26 Nov 2017
    Views: 768
    Downloads: 6
    This paper examines the impact of increasing information transparency and strategic trading speed competition on market quality in a perfectly Bayesian equilibrium when information diffuses gradually. We develop a two-period Kyle model to incorporate information diffusion among fast, slow and less informed speculators. Fast information diffusion can not only weaken information asymmetry but also crowd out private information, while market quality depends on their trade-off. By characterizing and comparing the exogenous and endogenous information equilibria, we show that fast information diffusion and trading speed competition always improve market quality in the exogenous information equilibrium. However, in the endogenous information equilibrium, fast information diffusion can lead to an endogenous switching between competing and no-competing equilibria. The market quality is improved due to the dominance of the positive weakening effect in the non-competing equilibrium, but reduced due to the dominance of the amplified and negative crowding-out effect in the competing equilibrium. Therefore increasing information transparency and trading speed arms race may not always improve market quality; it can have unintended and even negative impact on market quality.
  • AFM - Disagreement Is Bad News

    Source: Bryan Lim
    Date Submitted: 26 Nov 2017
    Views: 305
    Downloads: 2
    I investigate whether the documented relationship between disagreement and future returns is driven by negative correlation between disagreement and fundamentals (unexpected earnings). I posit a model in which negative skewness in fundamentals interacts with heterogeneous weights in adopting new signals, generating higher disagreement when the underlying fundamentals are low. Across a number of empirical tests, I find robust evidence of the model's predictions. Conditioning on the realized fundamental, the ability for disagreement to predict future returns is virtually completely attenuated. Additionally, consistent with my model and inconsistent with prior hypotheses, I find the negative correlation between monthly analyst dispersion and next-month returns is driven by a combination of positive serial correlation in dispersion and negative correlation between returns and contemporaneous dispersion. 
  • AFM - The Price of Liquidity Beta in China: A Sentiment-based Explanation

    Source: Michael Frömmel,Xing Han,Xinfeng Ruan
    Date Submitted: 26 Nov 2017
    Views: 379
    Downloads: 12
    The conventional, risk-based view on liquidity beta is a dismal story for China: High liquidity beta stocks underperform low liquidity beta stocks by 1.17% per month in China. This striking pattern is robust to different weighting schemes, competing factor models, alternative liquidity measures, and other well-known determinants of cross-sectional returns. Further analyses suggest liquidity beta is a negative return predictor at the firm level, and the return differential between high and low liquidity beta stocks is more dramatic following high market liquidity periods. Finally, we propose a sentiment-based theoretical model to rationalize the reversed pricing pattern in China.
  • Do Investors Benefit from DCA?  Evidence from the Stock Exchange of Thailand

    Source: Kanin Anantanasuwong, Sirithida Chaivisuttankgun
    Date Submitted: 07 Nov 2017
    Views: 953
    Downloads: 20
                  This paper empirically examines the effectiveness of DCA and its alternative strategies in the Thai stock market. Looking that one-year investment horizon, we find that the DCA and its closely relative VA are less preferable to a simpler strategy such as LS or AA in term of risk adjusted performance. This is a contradiction to the common advice given by professional financial advisors. While they claim that DCA reduces the exposure of an investment, thus limit its risk, our finding about downside risk measure is inconclusive. DCA and VA are better than LS and AA when using the mean of Sortino ratio, yet their medians are worse.
                  We create indices that follow the growth of wealth from investing in each of the strategy, and find that, while DCA and VA offer less terminal wealth, they failed to prevent the portfolios from the decline during the financial crisis in 2008. This is due to the fact that DCA and VA can only prevent the losses that occur in the early phase of the investment horizon. If the losses come later on when the strategies have already accumulated a lot of exposure on the stock market, then they are no better than LS.
                  However, even though DCA and VA are inferior to LS and AA in term of the outcome from investment, they might be appropriate choice for people who want to make a saving plan which investment schedule comes in line with their monthly incomes. Thus, the usefulness of DCA and VA are rather in term of money management than investment outcome.
  • Policies on Foreign Direct Investments (FDI) towards Economic Development

    Source: Mark Jayson L. Almira
    Date Submitted: 15 Oct 2017
    Views: 357
    Downloads: 11
    This paper characterizes the current Foreign Direct Investments (FDI) in the Philippines and other Southeast Asian nations and proposes some policy that is geared toward the economic development. It also discusses the current laws and regulations directed to FDI in the Philippines. Key policy recommendation includes (1) Improvement of domestic spending; (2) Lower effective tax rate; (3) Targeted infrastructure spending; (4) Stronger financial sector; (5) Effectively enforce contracts; (6) Reducing international transaction costs; and (7) Maintain political stability and eliminate corruption.
  • Unifying Faith and Finance

    Source: Jazzle Eve L. Cruz
    Date Submitted: 14 Oct 2017
    Views: 347
    Downloads: 9
    This policy paper discusses how it is possible to earn competitive returns from socially- responsible investments. The BPI Catholic Values Equity Feeder Fund is the first of its kind in the Philippines which integrates ethical factors in making investments. This hallmark product presents a challenge and an opportunity for other financial institutions to follow the trend of unifying faith and finance.

    Source: Baolian Wang, Cary Frydman
    Date Submitted: 30 Sep 2017
    Views: 2014
    Downloads: 12
    ​We test whether the salience of information causally affects investor behavior. Using investor level brokerage data from China, we estimate the impact of a shock that increased the salience of a stock’s purchase price, but did not change the investor’s information set. We employ a difference-in-differences approach and find that the shock causally increased the disposition effect by 20%. We document substantial heterogeneity across investors in the salience effect and we show that an investor level proxy for “salient thinking” can explain this heterogeneity. More generally, our results support a recently proposed class of models in which salience impacts choice.
  • The Anatomy of the Gold Crash of April 12-15, 2013 from a Liquidity Perspective – An Application of Donier and Bouchaud’s Measure of Illiquidity

    Source: Daniel Ceferino D. Camagay
    Date Submitted: 26 Sep 2017
    Views: 1352
    Downloads: 15
    Gold crash of April 12-15, 2013 as seen from a liquidity perspective using Donier and Bouchard's measure of illiquidity
  • Global Market Inefficiencies

    Source: Sohnke M. Bartram, Mark Grinblatt
    Date Submitted: 22 Sep 2017
    Views: 1480
    Downloads: 86
    Academic Research Paper
  • Family Affair? - Insider Trading and Family Firms: Evidence from Thailand  

    Source: Rapeepat Ingkasit, Professor Arnat Leemakdej, DBA
    Date Submitted: 18 Sep 2017
    Views: 1228
    Downloads: 32
    Thai insiders can earn significant abnormal returns from trading shares of their firms. The effect is more pronounced when trades occurred prior to earnings announcement. The results provide reasoning for regulation that prohibits the insiders to trade prior to earnings announcement. Both family ownership and control structure affects the magnitude of market reaction. The findings support the entrenchment effect in family firms. The presence of specific categories of blockholder has monitoring effect while some types of blockholder seem to enhance insiders’ signal and strengthen the market reaction. Significant reduction in abnormal returns earned by insiders in the firm with voluntary blackout policy suggest that the policy effectively forbid the insiders to trade when they possess valuable information that is not available to the public.
  • Practitioner’s Brief: Investor Trading During China Split-Share Reform

    Source: Jingyu Cui
    Date Submitted: 15 Sep 2017
    Views: 1085
    Downloads: 0
    This In practice piece gives a practitioner’s perspective on the article “Institutional Investors and Equity Prices: Information, Behavioral Bias and Arbitrage” by Bing Han and Dongmin Kong, working paper. Available at SSRN:

    What’s the Investment Issue?
    Since the 1980s, Chinese government has started to restructure state-owned enterprises. Upon the initial public offering, the parent firm receives legal person (LP) shares in return for the assets it inserted. LP shares make up about one-third of the total capital stock of the listing firm. Another one-third are state shares held by local governments and central government. These two third of shares are called non-tradable shares since they are restricted from selling to individual investors and trading on stock exchanges. The remaining one-third is publicly issued and traded by individuals and institutions. Owing to the split–share structure, various levels of government entities controlled the listed companies and had power over the appointment of key managers, making the managers of the listed companies responsible not for the public investors but for the bureaucratic power, putting public investors in an inferior position and leading to greater price inefficiency and volatility.
    Owing to the drawback of the split-share structure, Chinese government was committed to a reform. The plan was to align the interest of various types of shareholders including non-tradable shareholders and tradable shareholders. The main reform structure was carried out in 2005. It invites non-tradable and tradable shareholders to negotiate the conditions under which non-tradable shares (NTS) can be converted into tradable shares (TS). The reform process would cause more shares (the past NTS) to float in market and make individuals’ shares be diluted. To compensate individual investors’ loss, corporation founders provide certain amount of compensation to public investors in return for the right to trade their NTS in the secondary market. After the negotiation two parties agree to a compensation ratio and then NTS would be allowed to trade publicly. Taking advantage of this unique natural experiment, the authors try to answer these four questions:
    Do institutions have private information and trade on it?
    Does institutions’ trading move stock price?
    Do institutions act as arbitrageurs and exploit stock mispricing?
    Do institutions make abnormal profit from trading?
    How Does the Author Tackle This Issue?
    Sample period from January 1, 2005 to December 31, 2008 was chosen to encompass the split–share reform (from mid-2005 to 2007). Final sample includes 1,215 firms listed in Chinese stock markets (SSE) and Shenzhen Stock Exchange (SZSE). Several key dates are presents as following: T0: The company first announces the reform. T1: Shares of the reform companies resume trading. T2: Shareholder registration date. T3: Trading resumes after the reform plan is approved. Then the authors study investors in four types: individual investors, active domestic institutions, passive domestic institutions and qualified foreign institutional investors (QFIIs). They analyze the trading behavior of these investor types in different windows.
    What Are the Findings?
    The empirical evidence shows that passive institutions possess and then trade based on private information about company-specific compensation ratio. The timing of the reform and company-specific compensation ratio are vital during the process of the reform and are private since these information are not open to public. Compensation ratio determines the wealth transfer from NTS to TS holders.
    Their evidence shows that passive institutions buy an abnormal amounts of tradable shares that end up with high compensation ratio prior to the announcement date and sell abnormal amounts of tradable shares that end up with low compensation ratio. However, passive institutions do not make abnormal profits because they are subject to disposition effect: they tend to sell their winners too soon after trading resumes (T1) – the company announces the split–share structure reform, leaving large future gains ungarnered. The average cumulative abnormal return (CAR) of passive institutions from the ten trading days prior to T0 is 2.22%, while the CAR on T1 is −2.53%. Thus, the informed passive institutions do not make abnormal profit through their information advantage. Individual investors also exhibit disposition effect; they sell an abnormally large amount of stocks with high unrealized gains after the reform is announced (T1). The disposition effect exhibited by passive institutions and individual investors leads to underpricing in stocks with high compensation ratios.
    However, QFIIs and active institutions who have no information advantage turn out to be significantly buyers of the most underpriced stocks. The stocks intensely bought by active institutions and QFIIs outperform the stocks intensely sold by them by approximately 3.5% and 0.05% over the period [T0 − 10, T0-1 ]. The CAR of the reform companies from T1 to T3 is positive and significant (5.33%), although CAR on T1 is significantly negative (−2.53%). This result means that if the price on T1 is affected by the disposition effect of individual investors and passive institutions, some types of investors can take advantage of the mispricing by buying on T1. Those results show that qualified foreign institutions and active institutions make abnormal returns by arbitraging this mispricing and helping improve market efficiency.
    What Are the Implications for Investors and Investment Professionals?
    This paper provides new insights into the role of institutional investors in asset pricing through
    a unique split–share structure natural experiment and the rich dataset with all daily trades of various types of investors. Some institutional investors make abnormal returns, despite of information disadvantage, by arbitraging mispricing created by investors who have information advantage. Thus, investors who have private information may not able to make abnormal return and even suffer a loss if they do not trade in the right way, such as subject to disposition effect. Thus, both institutional and individual investors may be subject to cognitive errors, such as disposition effect, which leads to asset price predictability.
     *Danling Jiang is the Associate Professor of Finance at SUNY at Stony Brook and the Chang Jiang Scholar Visiting Professor at Southwest Jiaotong University. Jingyu Cui is a Master of Science in Finance student at SUNY at Stony Brook.
  • For China, this Time is Different

    Source: Jonathan Rochford CFA
    Date Submitted: 24 Aug 2017
    Views: 524
    Downloads: 13
    In 2008 China announced a massive stimulus package that helped its economy and the global economy weather the storm. But nearly ten years on, the situation is very different and China could shift from being a big contributor to global growth to an anchor slowing down the global economy.
  • Are the New Auditor's Report Insightful?

    Source: Hong Kong Institute of Certified Public Accountants, Standard Setting Department
    Date Submitted: 26 Jul 2017
    Views: 2202
    Downloads: 0
    The Standard Setting Department of the Hong Kong Institute of Certified Public Accountants is conducting a survey on the new auditor's report of listed entities. Feedback from users of financial statements is important for us to know whether the new requirement serves users' needs, and if not what could be improved.
    The survey is open until the end of August. For enquiries:>

    Background of the new auditor's report
    From financial year ends 15 December 2016 onwards, auditor's reports of listed entities are required to describe key audit matters (KAMs) to provide greater transparency about the audit that was performed. Communicating KAMs assists intended users of financial statements in understanding matters that were of most significance in the auditor's professional judgement; and understanding the entity and areas of significant management judgement.
  • Mind the Gap - Asia 2017

    Source: Arthur Wu, Wing Chan
    Date Submitted: 18 Jun 2017
    Views: 868
    Downloads: 24
    This paper seeks to explore whether investors within the open fund markets in Asia, namely Hong Kong, Singapore, and Taiwan, suffer from returns gaps. We decided to focus on these markets not only because of their representations within the region, but because of the way mutual funds are often sold by commission-based distributors, which at times encourages frequent switching. Moreover, investors pay no capital gains tax. The end result is that mutual fund investors in Hong Kong, Singapore and Taiwan tend to have shorter investment horizons. However, practice doesn’t make perfect with our study confirming that Asian investors face similar challenges in timing their investments, and that the gaps in returns were largest in more volatile, concentrated equity strategies.
  • Beauties of the Emperor: Investigation of an Opaque Stock Market Bailout   

    Source: Yeguang Chi, Xiaoming Li
    Date Submitted: 26 May 2017
    Views: 988
    Downloads: 9

    During the 2015 stock market crash, the Chinese government conducted an opaque bailout by injecting over ¥1.25 trillion ($200 billion) into the stock market. Sixty-three out of 1,406 government-purchased companies actively announced their bailout status in August 2015. The other government-purchased companies passively disclosed their bailout status through earnings reports in October 2015. We find a significantly positive market response to the first wave of active announcements of government bailout. Following the second wave of passive disclosure, the positive response deteriorated and eventually disappeared. Finally, retail investors reacted slowly and eventually overreacted to the bailout news, whereas institutional investors reacted promptly to profit from the opportunity. 

  • Smart Beta, Smart Money

    Source: Yeguang Chi, Qinghua Chen
    Date Submitted: 22 Feb 2018
    Views: 3082
    Downloads: 50

    Factor-timing strategies in the U.S. produce weak returns and are strongly correlated to the basic factor-holding strategies. We present contrasting evidence from China, where actively managed stock mutual funds successfully time the size factor (small minus big) despite a negative unconditional loading. We show that the timing skill arises from funds’ intra-period trading. Relatedly, funds with bigger return gaps exhibit more timing skill. Furthermore, size-factor timing is an important aspect of manager skill, as it attributes to over 50% of fund alpha. Finally, we show that timing skill matters to funds’ performance persistence, especially among high-alpha funds. 

  • Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals

    Source: Taisei Kaizoji, MIchiko Miyano,
    Date Submitted: 06 May 2017
    Views: 533
    Downloads: 34
    The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of 7,796 worldwide companies for the period 2004 through 2013. We develop a panel regression model using three financial indicators–dividends per share, cash flow per share, and book value per share–as explanatory variables for share price. We then estimate individual company fundamentals for each year by removing the time fixed effects from the two-way fixed effects model, which we identified as the best of the panel regression models. One merit of our model is that we are able to extract unobservable factors of company fundamentals by using the individual fixed effects. Based on these results, we analyze the market anomaly quantitatively using the 
    divergence rate–the rate of the deviation of share price from a company’s fundamentals. We find that share prices on average were overvalued in the period from 2005 to 2007, and were undervalued significantly in 2008, when the global financial crisis occurred. Share prices were equivalent to the fundamentals on average in the subsequent period. Our empirical results clearly demonstrate that the worldwide stock market fluctuated excessively in the time period before and just after the global financial crisis of 2008. 
  • Is There a Friday Effect in Financial Markets?

    Source: Guglielmo Maria Caporale,
    Date Submitted: 07 Apr 2017
    Views: 2295
    Downloads: 23
    This paper tests for the presence of the Friday effect in various financial markets (stock markets, FOREX, and commodity markets) by using a number of statistical techniques (average analysis, parametric tests such as Student's t-test and ANOVA analysis, non-parametric ones such as the Kruskal-Wallis test, regression analysis with dummy variables). The evidence suggests that stock markets are immune to Friday effects, whilst in the FOREX Fridays exhibit higher volatility, and in the Gold market returns are higher on this day of the week. Using a trading robot approach we show that the latter anomaly can be exploited to make abnormal profits.
  • Practitioner’s Brief: Expect the Unexpected - Why Tightened Trading Rules Created a More Efficient Index Futures Market

    Source: Hai Lin, You Wang
    Date Submitted: 06 Apr 2017
    Views: 4046
    Downloads: 0
    In the summer of 2015, Chinese regulators aggressively tightened fairly lax trading rules in the country’s stock index futures market in the midst of a chaotic crash. The move, an effort to tamp down rampant speculation and manipulation, was widely criticized as an overreach. With margin barriers thrown up higher and position sizes significantly capped for nonhedgers, speculators all but vanished (a desired outcome); however, so too did volume, which decreased nearly 100%—not exactly a best-case scenario. “China has killed the world’s biggest stock index futures market,” Bloomberg wrote in September 2015. Illiquidity in the market for futures tied to the China Security Index 300 “was causing problems,” the Financial Times said. In hindsight, it’s worth asking: Were these regulations, while apparently necessary, nevertheless ill-advised? No, assert the authors, who do not gloss over the fact that liquidity was severely impacted. What they do emphasize is a rather counterintuitive finding: A market in which liquidity has ground to a halt does have an upside.

    Eugene Fama’s efficient market hypothesis (EMH) holds that stock prices immediately and inherently reflect all available information such that there’s no predictive power to be gleaned, i.e., it’s all randomness at play. EMH has been endlessly tested and re-tested since it first emerged in the 1970s at a time when low-cost passive management was coming on the scene as a disruptor to active management. Several testing methods were used to batter/gut-check EMH. Prominent among them was the variance ratio (VR) test, put to use, alongside other tests, by authors Lin and Wang. They set out to measure the efficiency levels of the Chinese stock index futures between July 2015 and September 2015. During this period, a slew of rule changes were implemented, making it harder to trade index futures, a prevalent means of speculating, hedging, arbitraging, and as it turned out, carrying out manipulative schemes, e.g., pump-and-dumps or coordinated bear attacks. The futures market plays a major role in price discovery in the broader spot Chinese stock market. Prior to the change, rules for stock index futures trading were indeed loose and transaction costs were low. Leverage was plentiful and dangerously easy to access. When all of these conditions were curbed via tighter rules, something interesting happened. Yes, volume collapsed. But what happened to the market’s efficiency?

    The results of VR tests (and Granger causality tests) were puzzling. Although the authors thought they would find that regulatory tightening had a detrimental impact on market efficiency and price discovery, just as it had on volume and liquidity, it did not prove to be the case. To the contrary, the VR testing found that absolute VR levels of Chinese index futures’ five-minute returns went from roughly 2.70 before the rule change to around 1.0 after—a decrease of more than 50%. In other words, markets became more efficient in the post-tightening study period. With volume and liquidity in such a freefall, why would that happen? It is possible, explained the authors, that in low liquidity environments trading mainly occurs among the most knowledgeable institutional investors. Speculators and manipulators fall away. So we’re talking about very light trading—but among very well-informed participants free from the distractive din of the less informed. This hypothesis requires testing. If additional data was available, it would be an interesting topic for further research, according to the authors.

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS? “Regulators can be helpful in a bad market state,” the authors said, noting that at the time the rules were imposed the stock futures market had been overrun by unchecked manipulators who were abetted by low barriers to leverage and the ability to upsize. The regulatory goal of squeezing nonhedgers out of the market was met. Authorities drastically reduced excessive manipulation—without unintentionally creating a less efficient market. Co-author Hai Lin explained in an email: “While extreme regulations do not happen often, that doesn’t mean that their potential can be ignored.” Regulations can tighten in stressful environments—or in other words, right when investors might be most inclined to employ hedging strategies. In developing risk management strategies, investors need to view regulatory conditions as a factor that can vary over time. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
    Summarized by Rich Blake. Rich is a veteran financial journalist who has written for numerous media outlets, including Reuters, ABC News and Institutional Investor. The views expressed herein reflect those of the authors and do not represent the official views of CFA Institute or the authors’ employers.
  • Japan Snapshot - Discovering Phi: Motivation as the Hidden Variable of Performance

    Source: State Street Center for Applied Research (CAR), CFA Institute
    Date Submitted: 12 Mar 2017
    Views: 3334
    Downloads: 36
    Building upon the success of CAR’s Folklore of Finance: How beliefs and behaviors sabotage success in the investment management industry, this18-month flagship study sought an answer to the pressing question: How can motivators produce better financial outcomes in the investment management industry? - Developed in partnership with the CFA Institute, Discovering Phi: Motivation as the Hidden Variable of Performance is based on input from nearly 7,000 survey respondents across 20 countries, interviews with more than 200 global industry leaders, as well as extensive secondary research and quantitative modeling. - “Phi” is derived from the motivational forces of purpose, habits and incentives that direct our behaviors and actions. It drives behaviors and attitudes among investors to reach higher levels of engagement and progress towards long term goals. - This presentation covers the study’s Japan individual investor results specifically. Please visit, for more information.
  • Hong Kong Snapshot - Discovering Phi: Motivation as the Hidden Variable of Performance

    Source: State Street Center for Applied Research (CAR), CFA Institute
    Date Submitted: 12 Mar 2017
    Views: 1333
    Downloads: 19
    Building upon the success of CAR’s Folklore of Finance: How beliefs and behaviors sabotage success in the investment management industry, this18-month flagship study sought an answer to the pressing question: How can motivators produce better financial outcomes in the investment management industry? - Developed in partnership with the CFA Institute, Discovering Phi: Motivation as the Hidden Variable of Performance is based on input from nearly 7,000 survey respondents across 20 countries, interviews with more than 200 global industry leaders, as well as extensive secondary research and quantitative modeling. - “Phi” is derived from the motivational forces of purpose, habits and incentives that direct our behaviors and actions. It drives behaviors and attitudes among investors to reach higher levels of engagement and progress towards long term goals. - This presentation covers the study’s Hong Kong individual investor results specifically. Please visit, for more information.
  • China Snapshot - Discovering Phi: Motivation as the Hidden Variable of Performance

    Source: State Street Center for Applied Research (CAR), CFA Institute
    Date Submitted: 12 Mar 2017
    Views: 691
    Downloads: 11
    Building upon the success of CAR’s Folklore of Finance: How beliefs and behaviors sabotage success in the investment management industry, this18-month flagship study sought an answer to the pressing question: How can motivators produce better financial outcomes in the investment management industry? - Developed in partnership with the CFA Institute, Discovering Phi: Motivation as the Hidden Variable of Performance is based on input from nearly 7,000 survey respondents across 20 countries, interviews with more than 200 global industry leaders, as well as extensive secondary research and quantitative modeling. - “Phi” is derived from the motivational forces of purpose, habits and incentives that direct our behaviors and actions. It drives behaviors and attitudes among investors to reach higher levels of engagement and progress towards long term goals. - This presentation covers the study’s China individual investor results specifically. Please visit, for more information.
  • Australia Snapshot - Discovering Phi: Motivation as the Hidden Variable of Performance

    Source: State Street Center for Applied Research (CAR), CFA Institute
    Date Submitted: 12 Mar 2017
    Views: 1440
    Downloads: 11
    Building upon the success of CAR’s Folklore of Finance: How beliefs and behaviors sabotage success in the investment management industry, this18-month flagship study sought an answer to the pressing question: How can motivators produce better financial outcomes in the investment management industry? - Developed in partnership with the CFA Institute, Discovering Phi: Motivation as the Hidden Variable of Performance is based on input from nearly 7,000 survey respondents across 20 countries, interviews with more than 200 global industry leaders, as well as extensive secondary research and quantitative modeling. - “Phi” is derived from the motivational forces of purpose, habits and incentives that direct our behaviors and actions. It drives behaviors and attitudes among investors to reach higher levels of engagement and progress towards long term goals. - This presentation covers the study’s Australia individual investor results specifically. Please visit, for more information.
  • Financial Literacy among University Students

    Source: Farhan Ahmed, Syed Muhammad Ahsan Hussain
    Date Submitted: 22 Feb 2017
    Views: 559
    Downloads: 5
    Financial Literacy plays very vital role in the development and resource management of any economy. The focal point of the study is to extent the financial management practices with in the university students on the basis of their socio-demographic factors. Financial management practices or financial knowledge has impact on consumer policy that contributes to economic development based on family, peer and demographic factors. The term financial literacy is under practices or financial knowledge has impact on consumer policy that contributes to economic development on the basis of socio-demographic factors. The term financial literacy is under discussion by not only the financial institutions and professional bodies but also by student communities in order to have the sense of saving for better future. The financial knowledge gives insights to common people to save and make rational financial decisions in communities at large. Most of the researches have been undertaken on the usage of credit cards by students but no measures by authorities have been taken in order to promote this idea in case of Pakistan. In this study, the practical issues are the university students are not that much aware about the importance and pros-cons of savings, investments and other financial products like interest, risk, inflation etc. This research will provide insights by extending the impact of socio-demographics on the financial management practices by university students.
  • Data mining from web search queries to build a trading strategy on SSE Composite Index

    Source: Pierre Angot
    Date Submitted: 09 Feb 2017
    Views: 798
    Downloads: 14
    Markets are mostly driven by humans who react under the influence of their emotions. These “animal spirits” create inefficiencies and anomalies in financial markets and the study of investors’ behavior can product valuable information for future market moves. On the other hand the big amount of data humans produce every day can give an insight on their feelings, their will or their worries., which is the Chinese equivalent of, makes public the search queries data it recorded since January 2011. This paper makes use of this search queries information to build an investor sentiment index whose aim is to approximate the sentiment of market participants. It then derives from this index a profitable trading strategy on the Shanghai Stock Exchange (SSE) Composite Index. By defining and optimizing several investor sentiment index building strategies, the study produces two trading strategies that outperform the standard buy and hold strategy over the specified period (2011-01-03 up to 2015-12-09).
  • NZFC-Are Tightened Trading Rules Always Bad? Evidence from the Chinese Index Futures Market

    Source: Hai Lin, You Wang
    Date Submitted: 19 Jan 2017
    Views: 1908
    Downloads: 57
    Are Tightened Trading Rules Always Bad? Evidence from the Chinese Index Futures Market
  • AFM_Intra-Day Revelation of Counterparty Identity in the World’s Best-Lit Market

    Source: Thu Phuong Pham, Peter Swan, Joakim Westerholm
    Date Submitted: 24 Nov 2016
    Views: 612
    Downloads: 3
    We study the impact of post-trade disclosure of broker IDs on market efficiency, trading volume and bid-ask spreads in a unique South Korean experiment. We find that simply revealing the ex-post order flow of the major brokers to the entire market improves market efficiency to the level of a random walk and increases trade volume by facilitating the rapid removal of asymmetric information. The least volatile and largest stocks experience a remarkable 59% rise in volume during the afternoon session. Realized spreads fall, indicating greater competition between liquidity suppliers, whereas market impact increases because of more rapid price discovery.
  • AFM-Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China

    Source: Xing Han, Youwei Li
    Date Submitted: 23 Nov 2016
    Views: 583
    Downloads: 9
    This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable momentum signal at monthly frequency. The strong momentum predictability is robust under both single- and multi-regressor settings, and is statistically and economically significant both in and out of sample, enhancing portfolio performance as shown by our numerical examples. More importantly, we find a striking term structure that local sentiment shifts from a short-term momentum predictor to a contrarian predictor in the long run. Cross-sectional analysis reveals that sentiment is more of a small-firm effect. Finally, we confirm that global sentiment spills over to the local Chinese market as it predicts negatively future returns over the longer horizons and in the cross section.
  • AFM - Driving the Presence of Investor Sentiment: the Role of Media Tone in IPOs

    Source: Zhe Shen, Jiaxing You, Michael Firth
    Date Submitted: 23 Nov 2016
    Views: 576
    Downloads: 2
    This paper examines whether the media can drive the presence of investor sentiment around the IPO event through the tone channel. Using word frequency analysis to define whether one newspapers article is positive or negative and measuring media tone as the number of positive in excess of negative newspapers articles in the pre-IPO period, we find robust evidence that media tone is positively related to IPO first-day returns while negatively related to long-run abnormal returns for a sample of Chinese book-built IPOs over the 2005-2012 period. One positive newspapers article can predict not only an increase of up to 6.95 percentage points in first-day returns but also a decrease of 10.93 percentage points in three-year abnormal returns. Further analysis suggests that media tone tends to increase first-day retail trading and attracts more retail investors to subscribe new shares in the primary market. Taken together, these findings are consistent with our hypothesis that media tone drives retail demand for IPOs, leading to a temporary deviation from fundamentals in post-IPO prices.
  • Momentum Life Cycle around the World and Beyond

    Source: Weikai Li, K.C. John Wei
    Date Submitted: 15 Nov 2016
    Views: 648
    Downloads: 7
    Buying low turnover winner stocks and shorting high turnover loser stocks (early-stage momentum) improves significantly over simple momentum strategies in 36 countries.
  • AFBC-Days to Cover and Stock Returns

    Source: Harrison Hong, Frank Weikai Li, Sophie Ni, Jose Scheinkman, Philip Yan
    Date Submitted: 10 Nov 2016
    Views: 648
    Downloads: 3
    Days to cover, short interest ratio divided by average daily share turnover, and not short interest ratio measures the rewards to entering crowded trades.
  • AFBC-Synthetic Shorting with ETFs

    Source: Frank Weikai Li, Qifei Zhu
    Date Submitted: 10 Nov 2016
    Views: 726
    Downloads: 5
    We provide novel evidence that arbitrageurs use exchange-traded funds (ETFs) as an avenue to circumvent short-sale constraints at the stock level. Using a large sample of U.S. equity ETF holdings, we document that shorting activity on ETFs rises with the difficulty of shorting the underlying stocks. Stocks that are heavily shorted via their holding ETFs underperform those lightly shorted by 94 basis points per month. The return predictability of ETF short selling on individual stocks is distinct from stock-level shorting measures, and is concentrated among stocks that face the most severe arbitrage constraints. Across a broad set of capital market anomalies, we find that anomaly returns are signi ficantly attenuated when ETF ownership is high. Our evidence suggests that ETFs contribute to a more informationally efficient market by allowing arbitrageurs to target overpriced stocks that are otherwise difficult to short.
  • Designing an Investment Organization for Long-Term Investing

    Source: Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 767
    Downloads: 8
    Addresses how investment management organizations might be built to successfully pursue long-term investing. The discussion is illuminated by insights and examples drawn from the Future Fund.
  • MySuper vs. KiwiSaver: Retirement Saving for the Less Engaged

    Source: Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 854
    Downloads: 7
    Comparison of New Zealand's KiwSaver with Australia's MySuper default pension funds.
  • Delegation, trust and defaulting in retirement savings: Perspectives from plan executives and members

    Source: Adam Butt, Scott Donald, Doug Foster, Susan Thorp, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 861
    Downloads: 4
    Australian superannuation fund members are surveyed to gauge motivations behind defaulting, as well as their wants and needs from their pension fund. Comparison is made with findings from interviews of fund executives.
  • MySuper: A Stage in an Evolutionary Process

    Source: Adam Butt, Scott Donald, Doug Foster, Susan Thorp, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 898
    Downloads: 1
    Reports on interview with Australian superannuation fund executives about how their organisations responded to the MySuper regulatory framework for default retirement savings funds that was put in place at the beginning of 2014.
  • CIFR Project SUP002 on Default Superannuation Funds: Summary of Main Findings and Implications

    Source: Adam Butt, Scott Donald, Doug Foster, Susan Thorp, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 1079
    Downloads: 0
    Summary of CIFR project examining the ‘MySuper’ default superannuation fund regime. Outputs includes 5 working papers plus multiple journal articles; and includes industry analysis, interviews with executives and a member survey.
  • In-House Investment Management: Making and Implementing the Decision

    Source: Geoff Warren, David Gallagher, Tim Gapes
    Date Submitted: 07 Nov 2016
    Views: 797
    Downloads: 3
    This paper reports on interviews with executives from the Australian superannuation industry around in-sourcing of asset management. A framework is proposed that asset owners can use for making and implementing decisions to manage in-house.
  • HKUST Risk Management and Business Intellegence (RMBI) Newsletter Issue 9

    Source: Wong Yuen Man, Kwong Wing Man, Chan Ling Fung, Lo Ka Chun, Ng Wing Leong, Tam Kiu Fai, Lee Tung Kiu, Lee Kwok Ho
    Date Submitted: 02 Nov 2016
    Views: 1025
    Downloads: 0
    In this issue, we discuss about the current situation of Hong Kong's Logistics Industry, including ogictics business cycle and its embbeded risk, big data and new technologies, as well as the future development and suggestions to the logistics industry. Basel III, the histroy and its evolution, impact on locan banks and lessons leanred from overseas.
  • HKUST Risk Management and Business Intellegence (RMBI) Newsletter Issue 10

    Source: LEUNG Chung Wai , HAN Tianwei , CHEUNG Ngan Yeung , NG Wing Leong , SIU Hon San
    Date Submitted: 27 Oct 2016
    Views: 1060
    Downloads: 0
    Shanghai-Hong Kong Stock Connect Review: How to Apply Big Data Analytics to Risk Management? Shanghai-Hong Kong Stock Connect is a pilot program launched on 17 November 2014 which links the stock markets in Shanghai and Hong Kong. Under the program, investors in Hong Kong and Mainland China can trade and settle shares listed on the other market via the exchange and clearing house in their home market. Under this arrangement, Hong Kong and foreign investors can trade stocks listed on the Shanghai Stock Exchange (SSE) through Northbound trading while Mainland investors can trade stocks listed on the Hong Kong Stock Exchange (SEHK) through Southbound trading. How to Solve the Problem of China’s “Ghost Towns”? In recent years, China's economy has taken off and there is a boom in the financial industry, so the government has shifted the core of reform to urbanization. Investors have invested money in the property market. The real estate industry, which many have been optimistic about, should have bloomed under the current reforms in China, but the result is the widely-known term "Ghost Town".
  • Islamic Finance: Ethics, Concepts, Practice

    Source: Usman Hayat, CFA, Adeel Malik, PhD
    Date Submitted: 22 Sep 2018
    Views: 768
    Downloads: 34
    Islamic economic thought and finance are rooted in Islamic ethics. Their ideals and means are not, however, exclusive to Islam. The principles of Islamic finance emphasize market-based risk-sharing modes of financing that promote assets and enterprise, deploy finance in service of the real economy, and facilitate redistribution of wealth and opportunity. Modern Islamic financial practices, however, privilege legal form over economic substance, which creates an expectations gap between Islamic finance’s theory and practice. In the wake of the global financial crisis of 2007–2008, the ideas underlying Islamic finance appeal to those more concerned with the broader impact of finance on society.
  • Long-Term Investing as an Agency Problem

    Source: Geoff Warren, David Neal,
    Date Submitted: 18 Oct 2016
    Views: 819
    Downloads: 5
    Discusses how the difficulty of investing for the long-term is compounded by the need for principals to monitor agents under uncertainty over payoffs that may not arrive anytime soon. Solutions are offered for investment organizations.
  • AFBC - Chasing Ghosts: Are Investors Fooled by Portfolio Composition at Fund Inception?

    Source: Thomas Ruf, Oleg Chuprinin
    Date Submitted: 04 Oct 2016
    Views: 595
    Downloads: 6
    We investigate which stocks new mutual funds choose for their starting investment portfolio and how investors respond?
  • AFBC - The bottom-up beta of momentum

    Source: Pedro Barroso
    Date Submitted: 03 Oct 2016
    Views: 659
    Downloads: 6
    A direct measure of the cyclicality of momentum at a given point in time, its bottom-up beta with respect to the market, forecasts both the returns and the risk of the strategy. Challenging a potential risk-based explanation, a highly cyclical momentum portfolio forecasts both higher risk and lower returns for the strategy. The results show robustness out-of-sample (OOS) and controlling for other variables. One predictive regression of monthly momentum returns on its bottom-up beta produces an OOS R-square of 2.41%. This contrasts with the usual negative OOS R-squares of similar predictive regressions for the market excess return.
  • How My Career Shaped My Views On The Global Economy

    Source: Richard Duncan
    Date Submitted: 08 Sep 2016
    Views: 1557
    Downloads: 0
    In the new Macro Watch video uploaded today, I describe how my 30-year career in the investment industry has shaped my views on what drives the global economy and the financial markets. There have been several important “aha” moments:
  • Frontier Insights - The Impact of change in computation methodology of multiples

    Source: Frontier Research
    Date Submitted: 05 Aug 2016
    Views: 790
    Downloads: 6
    This brief analysis looks at how a change in the way key market multiples such as price to Earnings (PER), price to Book (PBV) and Dividend Yield (DY) are computed in the Colombo Stock Exchange may affect investor behaviour and perceptions of the relative attractiveness of the market.
  • Fintech Survey Report 2016

    Source: CFA Institute
    Date Submitted: 29 Jul 2016
    Views: 961
    Downloads: 21
    Global Fintech Survey Report executed on April 2016.
  • How Financial Advisers Can Help Close the Behavior Gap

    Source: By David Allison, CFA, CIPM
    Date Submitted: 03 Jul 2016
    Views: 925
    Downloads: 4
    This is a blog posted on CFA Institute's website on 27 July 2015 .
  • India and the Road Ahead

    Source: Mark Harrison, CFA
    Date Submitted: 29 Jun 2016
    Views: 934
    Downloads: 6
    This is a blog posted on CFA Institute's website on 14 January 2014.
  • Sociology of Finance: Key Insights for Finance

    Source: Syed Danish Ali
    Date Submitted: 28 Jun 2016
    Views: 670
    Downloads: 15
    How we can guide financial modeling and quantitative finance by utilizing sociology of finance to put the modeling in its proper macro context.
  • Seven Essential Steps in Portfolio Management

    Source: Larry Cao, CFA
    Date Submitted: 27 Jun 2016
    Views: 1385
    Downloads: 0
    This is a blog posted on CFA Institute's website on 12 August 2014.
  • Enriching Imagination in Investments: Qualitative Profiling

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 645
    Downloads: 4
    Qualitative profiling should be a compulsory item in the investment analysts' toolkit aside from quantitative modeling.
  • Modeling Meditations

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 616
    Downloads: 3
    Meditations on sound modeling.
  • 又被“割韭菜”,难道你不该听听我的分析?

    Source: 黄凡, CFA
    Date Submitted: 21 Jun 2016
    Views: 620
    Downloads: 1
    This article is published on 17 May 2016.
  • 股市“高抛低吸”真的有效吗?

    Source: 黄凡, CFA
    Date Submitted: 21 Jun 2016
    Views: 307
    Downloads: 0
    This article is published on 10 June 2016.
  • 当投资者不再接受常识之后

    Source: 黄凡, CFA
    Date Submitted: 21 Jun 2016
    Views: 417
    Downloads: 0
    This article is published on 22 June 2016.
  • 投资上的“无为”往往就是大作为

    Source: 黄凡, CFA
    Date Submitted: 21 Jun 2016
    Views: 878
    Downloads: 2
    This article is posted on 24 May 2016.
  • The Market Needs to Rise Again before It Peaks

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 888
    Downloads: 0
    This is a blog posted on CFA Institute's website on 20 February 2014.
  • Are We Complacent or Petrified?

    Source: A. Michael Lipper, CFA
    Date Submitted: 19 Jun 2016
    Views: 970
    Downloads: 0
    This is a blog posted on CFA Institute's website on 27 May 2014.
  • 算法交易中的日间周期性

    Source: John Paul Broussard, CFA, Andrei Nikiforov
    Date Submitted: 16 Jun 2016
    Views: 603
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 下一个投资理论典范?

    Source: Nathan Jaye, CFA
    Date Submitted: 16 Jun 2016
    Views: 275
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 认知偏差与投资决策

    Source: Laureen Leung, CFA
    Date Submitted: 16 Jun 2016
    Views: 315
    Downloads: 5
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 投资者对金融市场的信任和信心

    Source: Laureen Leung, CFA
    Date Submitted: 16 Jun 2016
    Views: 292
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 对冲基金投资者的“风格跟踪”情结

    Source: Jenke ter Horst, Galla Salganik
    Date Submitted: 16 Jun 2016
    Views: 264
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • Unravelling the Idiosyncratic Volatility Puzzle

    Source: Wai Mun FONG
    Date Submitted: 14 Jun 2016
    Views: 662
    Downloads: 6
    This article re-examines the well-known idiosyncratic anomaly using insights from behavioral finance. The role of investor sentiment, especially among retail investors, is highlighted as an important factor driving the IVOL return spread.
  • 金融部门的系统风险 能否预测未来的经济衰退?

    Source: Linda Allen, Turan G.Bali, Yi Tang
    Date Submitted: 14 Jun 2016
    Views: 308
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • Culture and Channeling Corporate Behaviour: Summary of findings

    Source: Moxey, P., Schu, P.
    Date Submitted: 10 Jun 2016
    Views: 989
    Downloads: 10
    Part of a series of four reports that aims to assist boards in preparing to assess their corporate culture and in understanding how it can influence either functional or dysfunctional behaviour.
  • Increasing Gender Diversity to Boost Performance: A briefing for finance and HR leaders

    Source: ACCA
    Date Submitted: 10 Jun 2016
    Views: 1056
    Downloads: 7
    This paper presents the value of gender diversity in business. It aims to help CFOs, senior finance professionals and HR professionals working alongside finance teams, to understand the value of gender diversity and make the business case for diversity to their peers.
  • CFOs and the C Suite: Leadership fit for the 21st Century

    Source: Michel, P., Lyon, J.
    Date Submitted: 09 Jun 2016
    Views: 853
    Downloads: 10
    An ACCA report considers the challenges facing executive leadership in today’s environment, and explores how the science of mindfulness can lead to more effective leadership in today’s finance function.
  • Harnessing Potential: The Asia-Pacific alternative finance bench-marking report

    Source: Zhang, B., Deer, L., Wardrop, R., Grant, A., Garvey, K., Thorp, S., Ziegler, T., Kong, Y., Zheng, X.W., Huang, E., Burton, J., Chen, H.Y., Lui, A., Gray, Y.
    Date Submitted: 09 Jun 2016
    Views: 990
    Downloads: 13
    Online alternative finance is developing rapidly in the Asia-Pacific region. It is characterised by innovative financial instruments and channels that fall outside the traditional avenues of capital raising and financial intermediation. From reward-based crowdfunding to peer-to-peer consumer and business lending (i.e. marketplace lending), to invoice trading and equity-based crowdfunding, these online alternative finance activities are directly connecting lenders to consumer and small business borrowers, raising venture capital for start-ups, funding the creative industries and creating new ways for individuals and institutions to choose how and to whom money is distributed, lent and invested and invested.
  • Stock market volatility around national elections

    Source: Bialkowski, J., Gottschalk, K., Wisniewski, T.P.
    Date Submitted: 09 Jun 2016
    Views: 992
    Downloads: 0
    This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the country-specific component of index return variance can easily double during the week around an election, which shows that investors are surprised by the election outcome. Several factors, such as a narrow margin of victory, lack of compulsory voting laws, change in the political orientation of the government, or the failure to form a government with parliamentary majority significantly contribute to the magnitude of the election shock. Furthermore, some evidence is found that markets with short trading history exhibit stronger reaction. Our findings have important implications for the optimal strategies of institutional and individual investors who have direct or indirect exposure to volatility risk.
  • Political orientation of government and stock market returns

    Source: Bialkowski, J., Gottschalk, K., Wisniewski, T.P
    Date Submitted: 08 Jun 2016
    Views: 1002
    Downloads: 0
    Prior research documented that the US stock prices tend to grow faster during the Democratic than the Republican administrations. This article examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets and 173 different governments reveals that there are no statistically significant differences in returns between left-wing and right-wing executives. Consequently, international investment strategies based on the political orientation of countries’ leadership are likely to be futile.
  • 文化冲突:投资vs.投机

    Source: John C. Bogle. John Wiley & Sons
    Date Submitted: 07 Jun 2016
    Views: 834
    Downloads: 7
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.
  • International evidence on the Democrat premium and the presidential cycle effect

    Source: Katrin Gottschalk, Martin T. Bohl
    Date Submitted: 09 May 2016
    Views: 971
    Downloads: 0
    In this paper, we provide further empirical evidence on the relationship between political cycles and stock returns. While previous empirical results on the Democrat premium and the presidential cycle effect are limited to the U.S., we investigate both anomalies using an international data set covering 15 countries. The database allows us to apply a panel framework, in addition to an empirical analysis of the individual countries. Our results show that the Democrat premium and the presidential cycle effect are not strikingly pervasive global phenomena. This finding is robust and valid after controlling for business-cycle conditions. The panel regressions do not support either of the two anomalies.
  • Mean Variance Portfolio Choice with Uncertain Mean and Variance Covariance Matrix

    Source: S.Suwanhirunkul
    Date Submitted: 20 Apr 2016
    Views: 654
    Downloads: 15
    This paper examines why in the real world investors hold few stocks and ignore diversification benefit from a large number of stocks. Several literatures explain that ambiguities toward assets is the reason of poor diversification. Specifically, Boyle et al (2010) show how return ambiguity causes less participation in unfamiliar asset. Since in the real world an investor has both return and variance ambiguity, we develop a new model that incorporates ambiguities of both parameters and make a comparison with other models. We find that return and variance ambiguities cause a bias investment toward familiar asset, participation in only familiar asset and non-participation in risky assets. Our result explains why employees have a bias investment in their own-company, why investors have poor diversification in international stocks and why non-participation in stocks occurs.
  • Board of Director Effectiveness and Earnings Conservatism: Preliminary Australian Analysis

    Source: Nigar Sultana, J-L-W. Mitchell Van der Zahn, Inderpal Singh
    Date Submitted: 24 Feb 2016
    Views: 708
    Downloads: 11
    Overarching objective is to examine influence of board of director effectiveness on the extent of earnings conservatism among Australian listed firms.