Categories
Behavioral Finance
  • Fundamental analysis and stock returns in international equity markets

    Source: Chi Cheong Allen Ng, S. Ghon Rhee ,
    Date Submitted: 10 Dec 2017
    Views: 43
    Downloads: 7
    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: 20
    Downloads: 0
    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: 664
    Downloads: 13

    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: 882
    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 (https://www.arx.cfa)
     
     
  • 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: 337
    Downloads: 10
    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: 6
    Downloads: 1
    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: 19
    Downloads: 0
    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: 34
    Downloads: 4
    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: 362
    Downloads: 9
     
                  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.
  • AFM -- Cultural diversity and capital structures of multinational firms 

    Source: Bart Frijns, Alireza Tourani-Rad, Fan John Zhang
    Date Submitted: 06 Nov 2017
    Views: 408
    Downloads: 5
    In this paper, we construct a measure of cultural diversity within the U.S. multinational firms. We then examine to what extent cultural diversity affects the capital structure of multinational firms. We find that the higher the cultural diversity, the lower the leverage ratio. The negative relation between cultural diversity and the leverage ratio holds after controlling for firm-level determinants, country-level factors, and macroeconomic risks. Further, we show that cultural diversity influences capital structures of multinationals mainly through equity issuance instead of debt reduction. Our findings suggest that cultural diversity plays a significant role in determining capital structure of firms in a multinational setting. 
  • Policies on Foreign Direct Investments (FDI) towards Economic Development

    Source: Mark Jayson L. Almira
    Date Submitted: 15 Oct 2017
    Views: 50
    Downloads: 7
    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: 45
    Downloads: 2
    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.
  • THE IMPACT OF SALIENCE ON INVESTOR BEHAVIOR: EVIDENCE FROM A NATURAL EXPERIMENT

    Source: Baolian Wang, Cary Frydman
    Date Submitted: 30 Sep 2017
    Views: 1522
    Downloads: 10
    ​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: 92
    Downloads: 5
    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: 750
    Downloads: 55
    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: 792
    Downloads: 29
    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: 668
    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: https://ssrn.com/abstract=2926401.


    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: 148
    Downloads: 10
    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: 1444
    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. http://survey.hkicpa.org.hk/index.php?sid=55433&lang=en
     
    The survey is open until the end of August. For enquiries: outreachhk@hkicpa.org.hk>


    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: 271
    Downloads: 21
    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: 285
    Downloads: 6

    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: 24 May 2017
    Views: 1945
    Downloads: 42

    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 mutual funds successfully time the size factor despite a negative unconditional loading. Funds with bigger return gaps exhibit more size-factor-timing skill and outperform. Additionally, size-factor timing serves as an important channel of performance persistence, especially among high-alpha funds. Finally, we estimate fund position in different size portfolios and show that it significantly forecasts size-factor returns. 

  • 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: 254
    Downloads: 31
    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: 1888
    Downloads: 17
    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: 3208
    Downloads: 0
    WHAT’S THE INVESTMENT ISSUE?
    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.

    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    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?

    WHAT ARE THE FINDINGS?
    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: 2759
    Downloads: 35
    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 www.statestreet.com/CAR, www.cfainstitute.org/motivations 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: 733
    Downloads: 18
    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 www.statestreet.com/CAR, www.cfainstitute.org/motivations 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: 172
    Downloads: 9
    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 www.statestreet.com/CAR, www.cfainstitute.org/motivations 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: 713
    Downloads: 10
    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 www.statestreet.com/CAR, www.cfainstitute.org/motivations for more information.
  • Financial Literacy among University Students

    Source: Farhan Ahmed, Syed Muhammad Ahsan Hussain
    Date Submitted: 22 Feb 2017
    Views: 225
    Downloads: 3
    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: 291
    Downloads: 9
    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. Baidu.com, which is the Chinese equivalent of Google.com, 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: 1507
    Downloads: 53
    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: 196
    Downloads: 2
    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: 163
    Downloads: 5
    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: 185
    Downloads: 1
    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: 302
    Downloads: 4
    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: 190
    Downloads: 1
    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: 301
    Downloads: 4
    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: 325
    Downloads: 4
    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: 357
    Downloads: 3
    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: 319
    Downloads: 1
    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: 205
    Downloads: 0
    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: 300
    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: 368
    Downloads: 0
    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: 410
    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: 316
    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: 27 Oct 2016
    Views: 310
    Downloads: 7
    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: 295
    Downloads: 4
    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: 230
    Downloads: 5
    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: 324
    Downloads: 4
    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: 393
    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: 340
    Downloads: 3
    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: 348
    Downloads: 17
    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: 443
    Downloads: 3
    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: 369
    Downloads: 3
    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: 329
    Downloads: 9
    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: 590
    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: 305
    Downloads: 1
    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: 272
    Downloads: 2
    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: 305
    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: 428
    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: 389
    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: 287
    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: 277
    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: 413
    Downloads: 3
    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: 390
    Downloads: 8
    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: 308
    Downloads: 3
    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: 285
    Downloads: 5
    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: 456
    Downloads: 10
    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: 597
    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: 577
    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: 445
    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: 465
    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: 436
    Downloads: 14
    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: 280
    Downloads: 11
    Overarching objective is to examine influence of board of director effectiveness on the extent of earnings conservatism among Australian listed firms.