Categories
Investment Management
  • Overview of Hong Kong Financial Services Industry

    Source: Financial Services Development Council (FSDC)
    Date Submitted: 12 Jun 2018
    Views: 58
    Downloads: 5
    The Financial Services Development Council (FSDC) released an updated version of the “Overview of Hong Kong Financial Services Industry” in May 2018 which aims to facilitate industry practitioners and the wider public to understand and promote the strengths of Hong Kong as an international financial centre. The report covers the below sessions:

    Why Hong Kong?
    Being one of the world's most competitive and freest economy, Hong Kong possesses advantages like the strategic location and gateway to Mainland China, key conduit for investment and trade linked exchange rate system, bilingual legal system and simple tax regime, deep pool of talent and centre of expertise.

    Asset and Wealth Management 
    As the leading fund management centre in Asia Hong Kong has a diversified distribution of fund management and advisory business, an active ETF market and a sizable pension fund market. The soon-to-be-introduced open-ended fund companies structure will further promote Hong Kong as the Asian asset management centre for both conventional funds and PE funds.

    Banking
    Hong Kong has a robust banking industry by international standards and is regarded as the global offshore RMB hub. The Hong Kong Government is exploring with the Mainland authorities ways to open up more channels for two-way cross-border RMB fund flows.

    Capital Markets
    With HKEX being the leading stock exchange in fundraising (2015-2017) and diversified listed companies and investors, Hong Kong is looking to increase connectivity with Mainland investors and the Mainland market.

    Insurance
    Hong Kong ranks 1st in Asia in insurance density and 2nd in Asia in insurance penetration in 2016. Government has recently taken a number of initiatives to promote the insurance sector which includes the establishment of insurance authority, HK$100mn 3-year pilot programme for talent development and the adoption of FinTech on the development of personalized products.

    Fintech and Green Finance
    FinTech cooperation agreements signed with partners such as Australia, Dubai, Gibraltar, Singapore, Switzerland and the UK. On the other hand, HKMA, Cyberport in Hong Kong and the the Office of Financial Development Service of Shenzhen (OFDS) are exploring the feasibility of establishing cross-border soft-landing facilities in Shenzhen, encouraging Hong Kong FinTech firms to expand their businesses, and Mainland firms to establish themselves in Hong Kong.

    Professional Services & Financial Infrastructure
    Half of the Global 100 law firms and 1,400 regional headquarters of consultancy firms are set up in Hong Kong. With a well-established payment & settlement system and bilingual legal system, Hong Kong has the increasing prevalence of being the Alternative Dispute Resolution (ADR) forum. Meanwhile the Belt and Road Initiative will drive significant demand in Hong Kong’s world-class professional services.
     
  • Why Indices Matter to SMSF Trustees

    Source: Stuart Magrath
    Date Submitted: 11 Jun 2018
    Views: 0
    Downloads: 0
    The SMSF Association hosted the first SMSF Expo in Australia, attracting over 1,500 people over the three-day Expo.
  • Fixed Income Liquidity and ETFs in India

    Source: Alka Banerjee
    Date Submitted: 06 Jun 2018
    Views: 74
    Downloads: 0
    The fixed income market has historically been relatively illiquid in India, as well as globally. Bond ETFs may be able to solve these issues, which may be part of the reason bond ETFs have soared in popularity in developed markets recently.
  • A Closer Look at Indices Country Classifications

    Source: Alka Banerjee
    Date Submitted: 31 May 2018
    Views: 19
    Downloads: 0
    As large sums of global money flows now follow global indices, it is important to understand how global index providers decide on country classifications and country weightages.
  • The Merits and Methods of Multi-Factor Investing

    Source: Andrew Innes
    Date Submitted: 30 May 2018
    Views: 248
    Downloads: 10
    In this paper, we discuss the potential drawbacks of only adopting a single-factor equity strategy in an attempt to capture its risk premium, which could reward market participants over time.
  • Embracing China's economic shift through the total China concept

    Source: Alex Chen, Ph.D., CFA Senior Research Analyst , Christopher Vass, Senior Product Manager
    Date Submitted: 30 May 2018
    Views: 272
    Downloads: 11
    As the mainland China equity market continues to open to overseas investment the ability for international investors to gain access to this large and growing market has become easier.  The questions for international investors are whether they need to include China A shares in their existing China portfolios, and what to do with their existing holdings of overseas China?  This paper highlights that to gain a complete exposure to China equities investors need to diversify across all the different China shares classes.
  • Understanding the Investment Fundamentals of the Banking Sector. A part of the series "Sector Analysis: A Framework for Investors"

    Source: Alan Lok, CFA, Eunice Chu, Guruprasad Jambunathan
    Date Submitted: 28 May 2018
    Views: 503
    Downloads: 34
    INTRODUCTION TO SECTOR ANALYSIS: A FRAMEWORK FOR INVESTORS

    The key to a company’s success depends on how well it executes its business model. This calls for optimising the allocation of limited resources to generate sustainable cash flows, for investing in new products, technologies, and services in responding to the wider competitive landscape or societal changes and mega trends, as well as for devising appropriate responses in the face of an evolving macroeconomic, regulatory, and political environment.  

    Different industries often require very different business models; and even within the same industry, the model that does add value to the business may vary somewhat from company to company.  

    To help investors undertake proper due diligence on a company, we have generated a framework of analysis designed to tease out the following: (1) whether the pertinent factors favour the firm in question; and (2) whether management is effective in executing its business model or value-generating strategies, while responding appropriately to its external environment.

    This framework is customised to specific sectors and incorporates interviews with professionals within those sectors. 
     
    THE BANKING SECTOR

    In earlier editions of the Sector Analysis series, we explored the Real Estate Investment Trust (REIT) business model and the Telecommunications sector. In this article, we examine banks and highlight the various factors and lines of enquiry that will help you make informed investment decisions.

    SPHERES OF OPERATION

    The role banks play in our lives is vital. Their activities underpin the efficient working of an economy – indeed, they are often among the most significant constituents of a country’s stock market. When we talk about banks, we are not just referring to the familiar branches we occasionally visit to deposit funds or withdraw cash. Banks is an umbrella term that describes an industry subdivided into several segments, including, but not restricted to Consumer Banking & Wealth Management (also known as retail banking), Wholesale (also known as institutional banking) and Treasury.

    To read more, download the full sector analysis for the Banking Sector with accompanying question bank below.

    This publication qualifies for 1.0 CE credits under the guidelines of the CFA Institute Continuing Education Program.
  • 中興的啟示--中國自主研發的前世今生

    Source: Isaac Wong, research analyst of eFusion Capital
    Date Submitted: 24 May 2018
    Views: 28
    Downloads: 0
    最近, 中興因涉及作出虛假陳述, 被美國當局施以制裁, 勒令所有美國公司不得供應產品予中興.
    隨即, 中興發表聲明, 指公司進入休克狀態. 在中國大陸的各個平台, 中興手機陸續下架, 更傳出售後服務中斷的信息.作為全球四大電信設備製造商之一, 卻在中美貿易前哨戰中被一擊即潰. 我們不禁懷疑, 中國的其他科技廠商, 是否也如同中興般倚賴外國, 以致被攻擊後亦毫無還手之力?
     
    本文將分作兩個部分, 以時空作劃分, 剖析中國科技產業自主研發的歷程, 以及對中國自研發展方向的一些預測.
     
    1. 以往
     
    中國早已洞悉自主研發硬件及軟件的重要性, 但卻心有餘而力不足. 早在1986年, 國務院已提出著名的863計劃, 要求在信息, 生物等不同範疇作出重要技術突破, 以期縮減與國際水平的差距. 在國策的扶持下, 一個改變中國科技產業的晶片橫空出世. 既帶給旭日初升的中國無限希冀, 亦換來了後來舉國上下沉重的歎息.
     
    1999年, 倪光南院士聯同加拿大華人李德磊, 開始研發名為方舟一號的自研晶片. 這代表著中國對西方制霸的高端信息產業所發起的凌厲挑戰. 然而, 在剛開始之時, 便因美國方面的對手--Wintel 聯盟(Windows+Intel)而遭遇重重困難. 英特爾透過龐大的法律團隊, 圍繞其X86指令集架構布下嚴密的專利屏障. 指令集架構作為定義晶片的最基礎部分, 專利屏障的建立迫使倪光南團隊在未能取得英特爾授權的情況下, 只能繞過X86架構, 改為採用精簡指令集架構. 如此過了兩年, 總算在2001年流片成功, 製造出方舟一號, 有了自研的硬件.
     
    一波未平, 一波又起. 繞開Wintel聯盟的代價, 便是沒有配套軟件可用. 情況宛如空有身軀, 卻缺乏靈魂,未能形成完整的軟硬件體系. 於是, 另一名關鍵人物, 任北京科委副主任的俞慈聲女士及時介入, 發起了"揚帆計劃". 計劃聚焦於解決Linux桌面系統, 即用以取代Windows桌面系統的工具, 的既有問題. 計劃最終失敗, 原因正在於為Linux開發的Office辦公軟件, 如永中, 會與Windows Word產生格式兼容性問題,令用家不能用永中打開Windows Word文件. 後來, 為補救漏洞, 俞女士又發起了"啟航計劃", 解決兼容性問題. 但草率形成軟件產品, 導致用戶體驗極差, 以致國產軟件無人願意使用. 於是, 運行國產軟件的方舟一號, 亦由此走向衰敗. 方舟一號的停止開發, 標誌著第一次突破技術封鎖的嘗試完全失敗.
     
    2. 現今及未來
     
    在電腦逐漸被智能手機取代為主要運算平台的今天, Wintel 勢力自是有所縮減, 但卻迎來新的霸主. 英國公司ARM透過建立了與公司名稱重名的ARM指令集, 以兩種手段幾近完全控制了智能手機中央處理器市場. 對研發能力較薄弱的企業, 它們可以直接採購ARM的現成方案, 即所謂的公版架構. 企業只須決定採購哪一種內核及其數量, 便能做出CPU的部分, 並結合其他部件(GPU/ISP等)形成手機用的SoC(System on Chip).中國的華為便是利用公版架構做出了麒麟系列的SoC. 而對研發能力較強的企業, 則可以只採購指令集(如ARM的A64), 並自行研發出內核(即所謂的自研架構), 如蘋果便採用了這種做法. 當然, 就性能及成本而言,公版架構絕非必然較差. 但毫無疑問, 蘋果正是借此做法製造出領先於對手的SoC, 以致產品在市場上更具競爭力. 管中窺豹, 大部分中國公司在現今皆傾向直接採購外國技術, 以致自研的難度與日俱增. 儘管中國的
    創投行業日漸興盛, 他們亦明言基於商業考慮, 很少會投入到半導體這類高資本投入, 回本週期長, 成功機率低的產業. 馬太定律在高新科技極為流行, 形成自然的資本及技術壟斷, 故中國公司往往有潛在機會受制於人.
     
    未來中國的自研發展方向主要有下列兩個:
     
    A. 併購
    以紫光集團為例, 其一向積極參與於半導體企業併購交易, 如早前買下了展訊通訊. 但隨著美國日益提防中國的科技能力提升, 相信會不斷透過CFIUS, 即美國政府規限外國公司併購美國公司的機構, 防止中國買下本土科技企業, 如在2017年叫停了FPGA製造商萊迪思半導體的交易. 同時, 亦有機會擴充"瓦森納條約"的內容, 禁止更多高技術含量的機器被售予中國. 因此, 併購之路只會越加崎嶇.
     
    B. 人才
    易方資本投資總監王華提及自身的台灣半導體企業從業經歷, 指出台灣公司普遍較豪爽. 它們往往發放紅股, 而非期權, 予旗下工程師. 王華認為如此做法方才是中國企業應該採取的行動, 從而令更多海外的高質素工程師受吸引而回流中國大陸, 建設本土的產業. 同時, 在內部而言, 他認為應鼓勵更多大學生選擇理論科學, 而非應用為主的工程學科, 從而加強基礎科學研發能力. 正如20世紀初譽享全球的貝爾實驗室, 亦是由於有大量不追求短期回報的項目進行, 方才研發出創造了半導體產業的基石--電晶體, 令美國在上世紀50年代率先進入半導體行業, 形成先行者優勢, 並以此建立強大的技術積累. 
     
    3. 結語
     
    科技行業有別於其他行業, 其發展不能完全仰賴資本, 而是要投入大量時間研發自身專利. 中國現今的集成電路基金明顯意識到整個行業普遍資金不足的問題, 但更應戒急棄躁, 不要急於求成, 而是要專注投入到長期發展之用. 否則, 再多的資金, 也未必能改變現今的困境. 



    易方資本(eFusion Capital)投資總監王華同時亦是多部作品的作者, 包括血型, AI及投資相關書籍 Bloody AI Alchemist. 以下是 Bloody AI Alchemist 的簡介:
     
    Everyone's behaviour is dictated by some factors, with blood type being the most pivotal one. By using different models, such as jungle digest, the book aims to vividly demonstrate how thoughts are generated and origin of such thoughts. Readers can use blood type model to better manage family and career relationships. Meanwhile, authors of the book have discovered astounding similarities amid artificial intelligence and blood types. It is extrapolated that AI networks adopt training and inference patterns alike humans, which acts as another perspective to understand how decisions are driven by blood types. As the author of the book and also the fund manager of eFusion, a hedge fund specializes in technology stock investment, Fred employs the blood type theory to predict corporation officials' decision and market sentiment. Combining his in depth analysis of hardware and semiconductor industry, Fred holds long or short position of global technology stocks, including trending AI or robotics related companies. Active risk management ensures that the portfolio will not undergo substantial retreat in return, even when global markets are plummeting, so as to deliver stable wealth growth services for eFusion's clients. The book visualizes how authors find out correlation between blood types and AI, then convert the knowledge into monetary return, just like how alchemist turn raw materials into valuable objects.
     
  • CFA Institute and PRI survey on ESG integration in Asia

    Source: Justin Sloggett, CFA, Matt Orsagh, CFA
    Date Submitted: 24 May 2018
    Views: 511
    Downloads: 0

    CFA Institute and PRI survey on ESG integration in Asia
     
    In 2017, CFA Institute and the PRI agreed to undertake an ESG investing study that entails a survey, a series of workshops and the release of four reports: one case study report and three regional reports. The aim of the study is: 

    1. to understand the current state of ESG investing in listed equity and fixed income across the AMER, EMEA and APAC regions; 
    2. to analyse the drivers, barriers and solutions of ESG investing.

    We would like you to help us by responding to the survey: https://start.yougov.com/refer/vXwDHpNl4ZBrY2

    The results of the study and the feedback from the workshops will be published in the regional reports. There will also be regional and country guidance and case studies on how investors are integrating ESG issues into their investment analysis and decisions. These reports will be readily available for all CFA members and PRI signatories.
     
    The survey contains two sets of questions that should take roughly 8 – 10 minutes to complete. It covers the impact of ESG investing at the financial market level and firm level. It is being completed by participants across seventeen countries.
     
    If you like to fill out the survey, please do so by 15 June. We appreciate your response.

    ______________________________________________________________________________


    ESG Integration Explained: An Alpha-Generating and Risk-Reducing Tool


    The term “ESG integration” is often used when talking about ESG investing. Practitioners new to ESG investing are sometimes uncertain what ESG integration is and how it is performed—so much so that they may not realize they are already performing integration techniques informally.

    One definition of ESG integration is “the explicit and systematic inclusion of ESG issues in investment analysis and investment decisions.” Put another way, ESG integration is the analysis of all material factors in investment analysis and investment decisions, including environmental, social, and governance (ESG) factors.

    What does that mean? It means that leading practitioners are:

    • analyzing financial information and ESG information;
    • identifying material financial factors and ESG factors;
    • assessing the potential impact of material financial factors and ESG factors on economic, country, sector, and company performance; and
    • making investment decisions that include considerations of all material factors, including ESG factors.

    What does that not mean? It does not mean that

    • certain sectors, countries, and companies are prohibited from investing;
    • traditional financial factors are ignored (e.g., interest risk is still a significant part of credit analysis);
    • every ESG issue for every company/issuer must be assessed and valued;
    • every investment decision is affected by ESG issues;
    • major changes to your investment process are necessary; and, finally and most importantly, 
    • portfolio returns are sacrificed to perform ESG integration techniques.
  • Shariah in a Fast-Changing

    Source: Alka Banerjee
    Date Submitted: 23 May 2018
    Views: 34
    Downloads: 5
    2017 was a strong year for equity markets globally, but we saw even stronger performance from Shariah equity markets.
  • Most S&P and Dow Jones Islamic Indices Outperformed Conventional Benchmarks in Q1 Driven by Strength in the Technology Sector

    Source: Michael Orzano
    Date Submitted: 05 Jun 2018
    Views: 387
    Downloads: 0
    Most S&P and Dow Jones Shariah-compliant benchmarks outperformed their conventional counterparts in Q1 2018, as the information technology sector led the market by a wide margin, and financials matched the returns of the broad market.
  • 做实"金稳会",有效防控系统性风

    Source: 王 刚, 颜 苏, 王 洋
    Date Submitted: 17 May 2018
    Views: 70
    Downloads: 0
    习近平总书记在第五次全国金融工作会议上宣布设立国务院金融稳定发展委员会(以下简称“金稳会”),这标志着我国现行“一行三会”的监管架构开始按照“统筹协调监管、有力有效”的要求进行方向性调整。2017年11月8日金稳会首次会议召开,明确五项主要职责。下一步,应立足我国国情、借鉴国际经验尽快做实金稳会,使其有序运转,依法履职,有效防控系统性金融风险。具体看,一是在厘清定位的基础上明确金稳会的权限;二是确定人员组成,细化金稳会下设日常支持型组织的具体架构和运转机制;三是优化运作机制。包括确立定期会议和不定期会议相结合的工作机制,信息收集、保密和透明度安排,问责机制等;四是尽快启动与金稳会相关的立法修法工作;五是按照急用先行原则,以加强资管产品监管协调和提升金融数据标准作为下一步金稳会的工作重点。
  • Do Earnings Revision Matter in India?

    Source: Akash Jain, Bed Malla
    Date Submitted: 16 May 2018
    Views: 34
    Downloads: 0
    Akash Jain, Associate Director - Research & Design in conversation with Ved Malla, Associate Director at S&P BSE Indices on recent research paper.
  • Safeguards against the Introduction of a Dual-Class Shares Structure

    Source: Rocky Tung, Mary Leung, CFA
    Date Submitted: 17 May 2018
    Views: 2125
    Downloads: 19

    Safeguards against the Introduction of a Dual-Class Shares Structure
     
    As revealed in a survey conducted in Asia Pacific by CFA Institute in March, a majority (60%) of the 450-plus respondents have not had any experience investing in firms with a DCS structure, which signalled the urgency for and need to educate investors and the general public on the implications of DCS structures.


    The survey, “Dual-Class Shares and the Demand for Safeguards,” revealed that respondents in the region were divided when asked whether DCS structures should be introduced to the market, with 53% opposing the introduction and 47% in favour. Regardless of their position on DCS, almost all (97%) respondents considered it necessary to enact additional safeguards if DCS structures are permitted.

    Among different possible safeguards, more than 90% of respondents considered it appropriate to implement enhanced mandatory corporate governance measures as well as time- and event-based sunset provisions, such as automatic conversion of shares with super voting rights to ordinary voting rights. Specifically, 94% of respondents considered it appropriate to introduce a time-based sunset provision; among which, 91% of such respondents considered it appropriate to convert shares with super voting rights to ordinary shares within 10 years. Separately, 93% of respondents considered introducing a maximum voting differential appropriate; 63% of these respondents found a 2:1 maximum voting differential optimal.
     

  • TOP 9 Mistakes in Valuation. #8 Choosing an unreasonable cost of equity - Video 8/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 11
    Downloads: 0
    Mistake #8: Choosing an unreasonable cost of equity

    A very common mistake made by analysts is discounting future cash flows at an unreasonable cost of equity (COE). Don’t get lost in the components of COE, focus on the end result. Too high or too low COE can significantly change your estimate of a firm’s fair value. Based on our study we consider COE ranging between 8% and 13% to be reasonable.

    Check out the video to learn more about Mistake #8 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #7 Valuing a stock using the calculated Beta - Video 7/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 9
    Downloads: 0
    Mistake #7: Valuing a stock using the calculated Beta

    A common mistake is valuing a stock just using whatever historical beta you find in Bloomberg or your data provider. Also failing to realize that valuation is made to infinity, hence, your beta is a forecasted beta and that forecast is to infinity. Past betas tend to regress towards 1.00x. The Beta you use for valuation is to infinity. To avoid error we use three betas: High risk: 1.25x, Average risk: 1.00x, low risk: 0.75x. If you use a beta outside of this range you have a higher obligation to justify.

    Check out the video to learn more about Mistake #7 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #6 Underestimating working capital investment - Video 6/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 11
    Downloads: 0
    Mistake #6: Underestimating working capital investment

    Net working capital (NWC) is difficult to forecast because it’s a result of five separate forecasts: accounts receivable; inventory; other current assets; accounts payable; and other current liabilities. Unlike in accounting, in valuation we exclude cash and short-term borrowing from net working capital. Changes in NWC are volatile because that change results from five separate forecasts. NWC is a small but volatile investment item. Large deviations from past trends usually are a mistake, so explain them carefully.

    Check out the video to learn more about Mistake #6 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #5 Forecasting drastic changes in cash conversion cycle - Video 5/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 26
    Downloads: 0
    Mistake #5: Forecasting drastic changes in cash conversion cycle

    I've analyzed 17,414 companies across the world to try to understand how assets break down. Avoid huge changes in working capital items, except in rare cases of product mix or management policy. Focus much of your attention on inventory. If you forecast big changes, explain your reasons.

    Check out the video to learn more about Mistake #5 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #4 Confusing growth CAPEX with maintenance CAPEX - Video 4/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 715
    Downloads: 0
    Mistake #4: Confusing growth CAPEX with maintenance CAPEX

    I've looked at the largest 500 companies in Asia and their CAPEX spending in their cash flow statement. CAPEX should be roughly the same as depreciation. The starting point for overall CAPEX forecasting is 100% of annual depreciation charge and that additional growth CAPEX depends on how fast you expect the firm to grow.

    Check out the video to learn more about Mistake #4 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #3 Growing fixed assets slower than revenue - Video 3/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 11 May 2018
    Views: 51
    Downloads: 0
    Mistake #3: Growing fixed assets slower than revenue

    Analysts often underestimate fixed asset growth. A rule of thumb is that fixed asset growth should roughly match revenue. Use the asset turnover ratio to prevent this error. It can help you see when you're unrealistic.

    Check out the video to learn more about Mistake #3 and how to avoid it.
  • TOP 9 Mistakes in Valuation. #2 Underestimating expenses causing unrealistic profit - Video 2/9

    Source: Andrew Stotz PhD, CFA
    Date Submitted: 25 May 2018
    Views: 344
    Downloads: 0
    Mistake #2

    In this video, Dr. Andrew Stotz, CFA talks about how underestimating expenses, causing unrealistic profit as one of the most common valuation mistakes.

    It covers:
    - Analyzing and forecasting 17,000 companies around the world over a 15-year period.
    - Defining the value of the gross profit margin in forecasting.
    - Providing real examples based on his own coffee business, CoffeeWORKS, and IKEA, etc.
    - Giving other sound advice, including the idea from the fantastic book: Understanding Michael Porter.
    - The idea is that to forecast changes in gross profit margin, an analyst should study the supply chain.
    - Looking at some common valuation mistakes in the academic-style research.
    - ABC analysis and valuation.
    - Evaluating the accuracy of net profit and net profit margin forecast analysts in Asia, based on the result of 540 of the largest companies in Asia.
    - Presenting expenses with the highest variability in the net profit margin.


  • How Equal Weight Avoided Japan's "Lost Decades"

    Source: Hamish Preston
    Date Submitted: 02 May 2018
    Views: 32
    Downloads: 0
    Over the 15-year period ending in February 2018, encompassing the latter part of Japan’s so-called “lost decades” of stagnant equity returns, the equal-weight index would have outperformed the cap-weighted Japanese equity benchmark by a stonking 7.41%, annualized.
  • The Importance of Understanding your Benchmark

    Source: Alka Banerjee
    Date Submitted: 27 Apr 2018
    Views: 471
    Downloads: 0
    Recent SEBI guidelines have highlighted the issue of flawed benchmark usage in the Indian mutual fund industry.
  • AsianFA: Option-Implied Systematic Disaster Concern

    Source: Fang Liu
    Date Submitted: 24 Apr 2018
    Views: 14
    Downloads: 2
    The covariation of option-implied disaster concern of a stock and the market index allows me to estimate the conditional and systematic disaster concern of the stock with respect to the market. The estimated variables can be interpreted as the stock's risk-neutral conditional disaster probabilities given possible future market states. Theoretically, these risk-neutral conditional probabilities are equal to the corresponding physical conditional probabilities if the market state is the only priced factor---a sufficient but not necessary condition. Empirically, the conditional and systematic disaster concern variables strongly predict future realizations of stock disasters and returns in different market states. This suggests that the comovement of option prices between stocks and the market index carries forward-looking information on their joint tail distributions.
  • How Do Single Factors Perform in Different Market Regimes in India?

    Source: Akash Jain, Ved Malla
    Date Submitted: 23 Apr 2018
    Views: 65
    Downloads: 0
    Akash Jain, Associate Director - Research & Design in conversation with Ved Malla, Associate Director at S&P BSE Indices on a recent research paper - Factor Performance Across Different Macroeconomic Regimes in India by S&P BSE Indices.
  • S&P GIVI® Japan and Major Single Factors Q1 2018

    Source: Tianyin Cheng
    Date Submitted: 20 Apr 2018
    Views: 63
    Downloads: 2
    The S&P GIVI (Global Intrinsic Value Index) Japan outperformed its benchmark index, the S&P Japan BMI, by 2 bps in Q1 2018. Since its launch in March 2012, the S&P GIVI Japan has outperformed its benchmark index by 0.65% per year, with a tracking error of 2.32%.
  • The Impact of the Global Economy on the S&P 500®

    Source: Phillip Brzenk
    Date Submitted: 18 Apr 2018
    Views: 376
    Downloads: 9
    In this paper, we examine the geographic revenue distribution of the S&P 500 and see what, if any, impact foreign economies and geographically driven market events may have on overall index performance. 
  • Takeaways From the SPIVA® India Year-End 2017 Scorecard 

    Source: Akash Jain
    Date Submitted: 13 Apr 2018
    Views: 68
    Downloads: 0
    The biannual SPIVA® India Scorecard attempts to capture the performance of active funds (both equity and bond funds) domiciled in India against the S&P BSE benchmarks over different time horizons. 
  • SPIVA® Japan Year-End 2017 

    Source: Priscilla Luk
    Date Submitted: 12 Apr 2018
    Views: 26
    Downloads: 1
    The SPIVA® Japan Scorecard reports on the performance of actively managed Japanese mutual funds against their respective benchmark indices over 1-, 3-, 5-, and 10-year investment horizons. 
  • IPO Note on Advent Pharma Limited

    Source: Asaduzzaman Ashik, Mohammad Rehan Kabir
    Date Submitted: 11 Apr 2018
    Views: 139
    Downloads: 14
    Advent Pharma Ltd (ADVENT) is engaged in manufacturing, importing and marketing of animal health care drugs, nutritional supplements and feed additives for livestock. The company manufactures products in the form of powder, bolus and liquid dosage. ADVENT produces both Non-Biological and Biological products. ADVENT manufactures 32 products likely electrolyte, vitamins & minerals, multivitamins, zinc supplement, calcium supplement, stomachic, anticoccidial, antibiotic, anthelmintic, analgesic, appetizer for both poultry and dairy. 
  • The Evolution of Indian Indices

    Source: Alka Banerjee
    Date Submitted: 10 Apr 2018
    Views: 146
    Downloads: 0
    The world of indexing is constantly growing and evolving and the Indian index providers have geared up to match the global pace.
  • AsianFA Return-Based Factors for Corporate Bonds

    Source: Turan G. Bali, Avanidhar Subrahmanyam, Quan Wen
    Date Submitted: 08 Apr 2018
    Views: 33
    Downloads: 2
    The cross-section of corporate bond returns strongly depends on past bond returns. Comprehensive transaction-based bond data yield evidence of significant return reversals and momentum. Return-based factors for corporate bonds carry sizable premia and provide strong explanatory power for returns of industry- and size/rating/maturity-sorted bond portfolios. We also provide an illiquidity-based explanation of short-term reversal and show that momentum and long-term reversals are prevalent mainly in the high credit risk sector. Further, long-term reversals occur mainly in downgraded bonds (with low returns), indicating that downgrading increases the risk of holding the bonds, thus increasing the required return.
  • S&P/JPX JGB VIX® Update March 2018

    Source: Applied Academics, S&P Dow Jones Indices
    Date Submitted: 10 Apr 2018
    Views: 0
    Downloads: 0
    JGB VIX Spikes After BoJ Comments.
  • Equity Valuation Report on Paramount Textiles Ltd. (PTL)

    Source: Mohammad Asrarul Haque, Tajkera Rahman
    Date Submitted: 05 Apr 2018
    Views: 122
    Downloads: 21
    Primarily engaged in the business of manufacturing and marketing of 100% export oriented woven fabric, PTL operates as backward linkage of textile sector.The company manufactures dyed woven fabrics for export oriented garments industries in Bangladesh. The product range of PTL comprises of yarn dyed fabrics and finished woven fabric.Besides its ongoing business operation in textile sector, the company is going to make fresh investment in the private power generation sector of the country through its investment in Paramount BTrac Energy Consortium, a proposed 200 MW diesel fired power plant, having 49% ownership from PTL.  

     
  • How Smart Beta Strategies Work in the Australian Market

    Source: Liyu Zeng, Priscilla Luk
    Date Submitted: 03 Apr 2018
    Views: 147
    Downloads: 12
    With increasing interest in smart beta strategies in the Australian equity market, we examined the effectiveness of six well-known risk factors, size, value, low volatility, momentum, quality, and dividends, in the Australian equity market from Dec. 31, 2004, to Dec. 29, 2017.
  • 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: 58
    Downloads: 4
    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' Financial Flexibility Beyond Earnings Management: Do Pension Accounting Assumptions Create Shareholder Values?

    Source: Shingo Goto, Noriyoshi Yanase
    Date Submitted: 01 Apr 2018
    Views: 39
    Downloads: 4
    While firms often use pension return assumptions to manage earnings, they may also use high return assumptions to signal lower pension contributions to increase internal cash flows available for profitable investments. Benefits of such internal funding can overweigh forgone tax benefits. Our cross-sectional evidence suggests that pension return assumptions can exert real effects beyond earnings management, as they predict significant increases in operating cash flows, fixed capital investments, and R&D expenditures. The stock market places significant values on pension return assumptions beyond the valuation of management forecasts of earnings, especially among firms with low profitability or large pension underfunding.
  • How Did Australian Active Funds Perform in 2017?

    Source: Priscilla Luk
    Date Submitted: 09 Apr 2018
    Views: 104
    Downloads: 0
    This blog post examines the SPIVA® Australia Scorecard, which reports on the performance of actively managed Australian mutual funds against their respective benchmark indices over various investment horizons.
  • Equity Valuation Report on LafargeHolcim Bangladesh Limited

    Source: Md. Nazmus Sakib
    Date Submitted: 29 Mar 2018
    Views: 137
    Downloads: 43
    LafargeHolcim Bangladesh Limited (LHBL), previously known as Lafarge Surma Cement Limited (LSCL) produces clinker and cement in its plant located in Chhatak, Sunamganj which is the only fully integrated dry process cement plant in Bangladesh. It sources its primary raw material, limestone from its own quarry in Meghalaya, India which is brought to the plant using 17 Kilometer long conveyor belt. Currently it has 3 subsidiaries - Lafarge Umiam Mining Private Limited (100% Holding), Lum Mawshun Minerals Private Limited (74% Holding), and Holcim Bangladesh Limited (100% Holding).

    We conducted a valuation on LHBL based on Discounted Cash Flow method and relative valuation. Currently, LHBL is traded at BDT 56.9 (as on 29th March, 2018). In our valuation, the target price for LHBL based on DCF and Relative Valuation is determined at BDT 58.7 per share for 1 year holding period.

     
  • AsianFA conference paper: Aggregate Expected Investment Growth and Stock Market Returns

    Source: Huijun Wang, University of Delaware, Jianfeng Yu, PBCSF, Tsinghua University, Jun Li, University of Texas at Dallas
    Date Submitted: 28 Mar 2018
    Views: 25
    Downloads: 2
    This is a conference paper accepted at 2018 Asian Finance Association annual meeting to be considered for the CFA Institute Asia-Pacific Research Exchange Award, 
  • SPIVA® India Scorecard

    Source: Akash Jain
    Date Submitted: 28 Mar 2018
    Views: 73
    Downloads: 3
    The SPIVA India Scorecard compares the performance of actively managed Indian mutual funds with their respective benchmark indices over 1-, 3-, 5-, and 10-year investment horizons.
  • 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: 36
    Downloads: 5
    A paper submitted for the consideration of the CFA Institute Asia-Pacific Research Exchange Award.
  • Persistence of Australian Funds

    Source: Priscilla Luk
    Date Submitted: 27 Mar 2018
    Views: 546
    Downloads: 11
    In this report, we measure the performance persistence of Australian active funds that outperformed their peers and benchmarks over consecutive three- and five-year periods, and we analyze their transition matrices over subsequent periods.
  • Understanding the Investment Fundamentals of the Telecommunications Sector. A part of the series "Sector Analysis: A Framework for Investors"

    Source: Alan Lok, CFA, Eunice Chu, Guruprasad Jambunathan
    Date Submitted: 10 Apr 2018
    Views: 26521
    Downloads: 119
    For investors exploring the telecommunications sector, it is important to be aware of the key economic, operational and regulatory factors influencing these firms. These not only vary from country to country but also from company to company, depending on the kind of service that is being provided – fixed line, mobile or a combination of the two. Common to all are the opportunities afforded by the growth in data and the proliferation of online services. For operators in developing markets, lower penetration rates offer long-term opportunities. Meanwhile for operators in the  developed world, staying relevant by keeping pace with technological advancements is vital. In general, the sector is marked by intense competition, hefty capital expenditure requirements (at least historically) and rigorous regulatory intrusion.

    There are three listed telecommunication stocks in the FTSE ST All-Share index, with a net market capitalisation of S$28.6 billion, and they accounted for 7.5% of the index as at 31 Jan 2018*. Of the three, SingTel is the largest constituent  company, representing about 90% of the Singapore telecommunication sector by market capitalisation.

    The sector analysis for REITs can be found on ARX here: https://www.arx.cfa/post/Understanding-Real-Estate-Investment-Trusts-REITS-Sector-Analysis-A-Framework-for-Investors-5166.html 

    To read more, download the full sector analysis for the telecommunications sector with accompanying question bank below. 

    This publication qualifies for 0.5 CE credits under the guidelines of the CFA Institute Continuing Education Program.
     
  • PRACTITIONER’S BRIEF: A SHOW OF APPRECIATION: WHY SOME FUND MANAGERS NEED THEIR INSTITUTIONAL BROKERS

    Source: Rich Blake, Asjeet S. Lamba, PhD, CFA
    Date Submitted: 27 Mar 2018
    Views: 6041
    Downloads: 0
    Based on the paper “The Value of Institutional Brokerage Relationships: Evidence from the Collapse of Lehman Brothers” by Jianfeng Shen, Jerry T. Parwada, Kok Keng Siaw, and Eric K.M. Tan, available at https://www.arx.cfa/post/The-Valueof-Institutional-Brokerage-Relationships-nbsp-Evidence-From-The-Collapse-of-Lehman-Brothers-4536.html

    This paper was recently recognized for excellence by the CFA Institute Asia-Pacific Research Exchange (ARX) at the 7th Annual Financial Research Network (FIRN) Conference. FIRN is a network of finance researchers and PhD students across Australia and New Zealand.

    Institutional brokerage has always been a many-splendored thing. Analyst recommendations, IPO allocations, block order execution, networks for sourcing liquidity—these and other equity-trading–tied services were the lifeblood of Wall Street. Fund managers, via directed trades, lapped it all up and in return fed bank-owned brokers billions in commissions. Then came the Dodd–Frank Act, which led banks to scale back on capital-at-risk, and an even more dramatically disruptive trend: the rise of automated, or algorithmic, trading.

    Today, the interaction between money managers (“buy side”) and institutional brokers (“sell side”) is focused primarily on managers getting access to bank-run electronic trading venues known as “dark pools.” Though the institutional equity trading business has shrunk to a shell of its former self, an unshakable symbiosis remains between the two “sides.”

    One can never underestimate the intangible benefit of a longstanding, trusted relationship. And certain mutual fund managers may want to consider those benefits when deciding whether to dole out commissions or reel them in, according to Shen, Parwada, Siaw, and Tan, whose paper, “The Value of Institutional Brokerage Relationships: Evidence from the Collapse of Lehman Brothers,” is the subject of this ARX Practitioner’s Brief.

    “There is still much that we do not know about how fund managers’ performance is related to institutional brokers because it is difficult to measure relationship capital,” the authors write as they tee up their research work, which cleverly holds a mirror up to one question—“What do brokers really offer fund managers?”—by asking another instead: “How would a fund manager suffer if one of their trusted brokers suddenly was removed from the equation?

    WHAT’S THE INVESTMENT ISSUE?
    Although fund managers have become less reliant on sell-side research, billions in commissions
    still flow from fund managers to brokers. Analysts can’t offer the kind of insider intelligence that they once could (because of the US SEC’s Regulation Fair Disclosure), but information is still to be had, say, from a bank-facilitated meeting with a management team.

    The reality is there are thousands of stocks out there to be covered but only so many analysts a buy-side firm can afford to employ. Unavoidably, fund managers continue to steer trades to institutional brokers in exchange for a bundle of premium services, which may include research, execution, meetings, conferences, and a certain level of recognition on the part of fund managers that they can rely on their trading partners in a pinch. But does all of that translate into better investment performance? If not, what’s the point of having an institutional broker?

    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    The collapse of Lehman Brothers on 15 September 2008 was the largest bankruptcy in US history. For the authors, it was the perfect setting to answer the question, “What happens to fund managers when one of their key brokers goes out of commission?” Using data from US SEC Form N-SAR (through which mutual funds disclose to whom trading commissions are paid), the authors identified more than 730 mutual fund clients of Lehman Brothers just before the crisis; they then compared that group’s performance over a 48-month period (September 2006 through August 2010) to 366 non-Lehman mutual fund clients.

    It is worth noting that Lehman’s brokerage arm did not instantaneously vanish in the collapse. The authors assert a causal impact on the Lehman mutual fund clients not from Lehman’s disappearance but rather from the severe disruption of its brokerage unit. Disrupted is one way to put it: the unit was liquidated and absorbed abruptly and chaotically into Barclays Capital. Trust evaporated. Of 25,000 employees, one-third were let go more or less immediately and another one-third left within two years. Still, one would think that certain key people were retained and to some degree some form of value was rendered. Besides, most fund managers had plenty of other brokers in their stables, and further, what value did brokers even provide in the first place?

    For fund managers, assessing the value added by their institutional brokers had long been a challenging exercise. Perceptions at the time of the Lehman collapse were largely that the value of such brokers had already diminished. And yet …

    WHAT ARE THE FINDINGS?
    The authors found that certain types of fund managers experienced a decrease in performance when Lehman became severely impaired. They pointed to monthly return lags averaging as much as 70 basis points per month relative to those fund managers who weren’t affected. Hardest hit were smaller firms that by design had exceedingly concentrated brokerage networks; also hurt were those firms that specialized in small-cap investments and thus were overly reliant on the deeper breadth of sell-side research. Put another way, these types of small/small-cap–focused firms were the ones extracting the most value from their broker relationships. Portfolio managers, especially smaller ones, strategically channeled a large portion of orders to a few brokers to get more bang for their commission bucks. And this reliance came at a risk. Damage to one key broker resulted in a reduction in alpha.

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    Human capital shouldn’t be underestimated. Trusted brokers leverage myriad relationships built up over time to incalculable effect—sometimes you really don’t know what you’ve got until it’s gone. Downsizing doesn’t always pay dividends. It’s still important, particularly for small-in-size/small-cap–focused fund managers, to maintain close ties with institutional brokers. Although certain funds may resort to establishing new relationships, doing so involves significant switching costs and the forfeit of any relationship capital developed in the prior relationships. Overall, relationships still matter—perhaps to an ever-lessening degree in equities, but they still matter. Lehman’s collapse made for a fine experiment. But now, 10 years later, the authors’ findings, while surprising, nevertheless ring increasingly irrelevant with each passing day as more buying and selling occurs autonomously via algorithmic trading.

    The authors challenge their peers to take up similar research in fixed income, where trusted human capital remains truly valuable. The give-and-take between sell side and buy side in fixed income would seem exceptionally rife for further exploration. But that is another story.

    ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

    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.
  • AsianFA - Transforming the Management and Governance of Private Family Firms: The Role of Financial Intermediaries

    Source: Thomas J. Chemmanur, Boston College, Gang Hu, Hong Kong PolyU, Chaopeng Wu, Xiemen University
    Date Submitted: 24 Mar 2018
    Views: 23
    Downloads: 2
    We use Rajan’s (2012) theory of entrepreneurial firms to develop testable hypotheses and to empirically analyze how venture capitalists (VCs) help to standardize the corporate governance and management of family firms prior to an IPO. We find that VC-backing causes family members to depart more from top management positions and causes family control rights, cash-flow rights, and the separation between them to drop more relative to non-VC-backed family firms. Further, these effects are stronger when VCs have greater bargaining power or board representation. The above changes in management and governance yield correspondingly higher IPO firm valuations and post-IPO operating performance.
  • 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: 29
    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.
  • Equity Valuation Report on Berger Paints Bangladesh Limited

    Source: Asaduzzaman Ashik
    Date Submitted: 22 Mar 2018
    Views: 106
    Downloads: 23
    Berger Paints Bangladesh Limited is the largest paint manufacturer and distributor in Bangladesh. Berger Paints manufactures world class paints for all kinds of substances and also provides different support services with more than 250 years of rich heritage. Louis Berger from Germany started dye and pigment making business in 1760. The company was introduced as Louis Berger & Sons Limited.  The company grew and expanded rapidly with a strong reputation for excellence in innovation and entrepreneurship. Production of dyes and pigments evolved into production of paints and coatings, which till today, remains the core business of Berger. Berger expanded globally by establishing branches all over the world and through mergers and acquisitions with other leading paint and coating manufacturing companies. Berger Robbialac, the flagship brand of Berger Paints, is the number one paint brand in Bangladesh. The product line of Berger Paints includes decorative, industrial, marine, power coating, adhesive, wood coating, textile paints and construction chemicals.
  • Global Applications of the S&P 500® Sectors

    Source: Tim Edwards, Craig J. Lazzara, Hamish Preston, Francesca Bruna Pipino
    Date Submitted: 21 Mar 2018
    Views: 92
    Downloads: 2
    This paper examines the applications of U.S. sector indices in a portfolio context, from the perspective of both international and domestic investors. 
  • PRACTITIONER’S BRIEF: THE GOOD, THE BAD, AND THE MOSTLY BENIGN: RECONCILING HIGH-FREQUENCY TRADING’S MISUNDERSTOOD REPUTATION

    Source: Rich Blake, Alan Lok, CFA
    Date Submitted: 27 Mar 2018
    Views: 6545
    Downloads: 0
    Based on the paper “Heterogeneity in How Algorithmic Traders Impact Institutional Trading Costs” by Tālis J. Putniņš and Joseph Barbara, available at https://www.arx.cfa/post/Heterogeneity-in-how-algorithmic-traders-impactinstitutional-trading-costs-4550.html

    This paper was recently recognized for excellence by the CFA Institute Asia-Pacific Research Exchange (ARX) at the 7th Annual Financial Research Network (FIRN) Conference. FIRN is a network of finance researchers and PhD students across Australia and New Zealand.

    Traversing the dense, tangled underbrush of an otherwise mostly explored section of securities terrain—the impact of automated, computerized trading—two researchers have demonstrated why it doesn’t pay to ignore the nuances of a complicated subject. Literally, it can cost billions to not heed the observations of authors Putniņš and Barbara, whose paper, “Heterogeneity in How Algorithmic Traders Impact Institutional Trading Costs,” is the subject of this ARX Practitioner’s Brief.

    The July 2017 paper is a wake-up call for institutional investors who may not be as vigilant as they think they are when it comes to getting best execution on block orders, if only because their defenses might well be focused on the wrong bad actors, that is, high-frequency traders (HFTs). HFTs, argue Putniņš (University of Technology Sydney) and Barbara (Australian Securities and Investments Commission), are unfairly stigmatized and singled out among computer-program–based or algorithmic traders (ATs) for driving up big-block trade implementation costs when in reality, according to an exhaustive study of trading data, their impact is negligible.

    In support of their argument, Putniņš and Barbara fully mapped and surveyed an algorithmic trading community comprising both HFTs, who transact a large number of orders at eye-blink speeds, and non-HFTs. In the process, they uncovered a variety of species and motives, some of which are even beneficial to institutions. On the surface, the ground the authors covered would seem cut and dried: grievances about HFTs have been voiced repeatedly, to the point where no one questions who in this narrative wears the black hat and who wears the white.

    What the authors sought to understand was whether the complaints against HFTs had merit. Was there more to the story than what generally has seeped into the mainstream media via books such as Michael Lewis’ Flash Boys?

    WHAT’S THE INVESTMENT ISSUE?
    The rise of electronic equity trading venues at the dawn of the 21st century emptied the trading floors, drove down execution costs, and opened the way for technological advancements, such as order-implementation speeds measured in milliseconds, that few could have ever imagined. By the time of the 2010 flash crash, the fundamental manner by which stocks were traded had radically changed. Although a few die-hard specialists were still clinging to their Big Board posts back on that spring day in 2010, the flash crash made it abundantly clear that algorithms had taken over. At the center of regulatory scrutiny post-flash crash was high-frequency trading, the best-known and most controversial form of algorithmic trading.

    With alpha scarce and trading venues fragmented, fund managers increasingly focused their energy on improving execution costs. For decades, the buy side railed against specialists front-running their institutional orders. Now, institutions face a new predator on their blocks: HFTs. These automated strategies account for more than half of the total volume during any given session, and some institutional investors claim they impede liquidity.

    As a result of concerns about being preyed upon, institutional investors are forced to break large orders into smaller pieces that need to be traded across multiple venues, making them more susceptible to HFTs. In turn, new liquidity pools and networks have been created to provide a safe space. Yet, as Putniņš and Barbara point out, some studies show that, at best, high-frequency trading and algorithmic trading lower spreads and improve price discovery, and at worst, represented a benign force. So are HFTs good, bad, benign, or what?

    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    Putniņš and Barbara created a data cross-section reenacting trading of the largest 200 Australian equities (ASX 200 Index constituents) over a 13-month period (1 September 2014 through 30 September 2015), amounting to 273 trading days.

    Using unique trader-identified regulatory audit-trail data, they identified a subset of 187 of the most active nondirectional traders (AT/HFT) and measured their activity (roughly 25% of Australian volume on any given day) in terms of the impact on the execution costs for institutions, which control about 80% of Australian large-cap stocks. “Origin of order” identifiers, collected by the Australian Securities and Investments Commission, allowed the authors to reassemble smaller (child) orders back into larger (parent) ones.

    Upon close inspection, the AT/HFT gang of 187 proved decidedly heterogeneous. Putniņš and Barbara categorized these traders across a spectrum, ranging from those who drove costs up the highest (toxic) to those who lowered them the most (beneficial).

    WHAT ARE THE FINDINGS?
    The 12 most toxic traders increased the average order-implementation shortfall cost by 10 basis points or nearly double the cost without the harmful behavior. At the same time, the 14 most beneficial traders systematically decreased costs, effectively, in aggregate, countering the negative impact. However, this offset in aggregate would not have come as any consolation to those individual buyers and sellers specifically impacted by the toxic traders. “An investor that disproportionately interacts with harmful AT/HFT faced higher costs,” concluded the authors.

    Interestingly, HFTs were no more likely to be toxic than non-HFTs. And even those ATs/HFTs who drove up costs may have done so unintentionally, merely by trading on the most common entry and exit signals, behavior that could be described not so much as exploitative as lemming-like.

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    First, for buy-side asset managers, it bears underscoring that execution matters. Potentially large cost savings can be realized from trading in a manner that avoids overexposure to toxic counterparties. Such savings could mean the difference between a fund that performs well and one that underperforms.

    Second, in terms of execution strategy, more caution should be exercised in smaller stocks, where toxic traders tend to be more active.

    Third, effort spent avoiding HFTs may be in vain because many HFTs are beneficial and can reduce institutional execution costs. At the same time, toxic non-HFTs should be avoided if one wants to minimize execution costs.

    Finally, from a regulatory perspective, the empirical measurement tools featured in this research could be used to better monitor markets and identify predatory trading behavior.

    ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ 

    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.
  • SPIVA U.S. Year-End 2017 Scorecard

    Source: Aye Soe, Ryan Poirier
    Date Submitted: 20 Mar 2018
    Views: 0
    Downloads: 0
    Since its first publication 16 years ago, the SPIVA Scorecard has served as the de facto scorekeeper of the active versus passive debate.
  • NZFC - Investing in the Rich of this World: Family Investment Trusts and their Performance

    Source: Philippe Masset, Jean-Philippe Weisskopf
    Date Submitted: 19 Mar 2018
    Views: 4
    Downloads: 0
    This paper investigates the characteristics and performance of family investment trusts across the world. Their unique combination of family wealth and expertise and investments in stock markets make them a special asset class for retail investors. We find that families are strongly involved in terms of stake and management both in their trusts and the trust’s investments. We further document a significant outperformance of family investment trusts globally and especially in Europe and a more contained performance on Asian markets. Trust characteristics and the economic environment appear to have some influence on performance with European multi-holdings displaying a 9% risk-adjusted performance during crises.
  • SPIVA Australia Year-End 2017 Scorecard

    Source: Priscilla Luk
    Date Submitted: 16 Mar 2018
    Views: 421
    Downloads: 4
    The SPIVA Australia Scorecard reports on the performance of actively managed Australian mutual funds against their respective benchmark indices over 1-, 3-, 5-, 10-, and now 15-year investment horizons.
  • Understanding the Investment Fundamentals of Real Estate Investment Trusts (REITS). A part of the series "Sector Analysis: A Framework for Investors"

    Source: Alan Lok, CFA, Eunice Chu, Guruprasad Jambunathan
    Date Submitted: 13 Jun 2018
    Views: 16615
    Downloads: 296
    INTRODUCTION TO SECTOR ANALYSIS: A FRAMEWORK FOR INVESTORS

    The key to a company’s success depends on how well it executes its business model. This calls for optimising the allocation of limited resources to generate sustainable cash flows, for investing in new products, technologies, and services in responding to the wider competitive landscape or societal changes and mega trends, as well as for devising appropriate responses in the face of an evolving macroeconomic, regulatory, and political environment.  

    Different industries often require very different business models; and even within the same industry, the model that does add value to the business may vary somewhat from company to company.  

    To help investors undertake proper due diligence on a company, we have generated a framework of analysis designed to tease out the following: (1) whether the pertinent factors favour the firm in question; and (2) whether management is effective in executing its business model or value-generating strategies, while responding appropriately to its external environment.

    This framework is customised to specific sectors and incorporates interviews with professionals within those sectors. 
     
    REAL ESTATE INVESTMENT TRUST (REIT) SECTOR 

    REITs are vehicles that own and typically operate a portfolio of income-yielding real estate assets. Modelled along the lines of unit trusts, REITs allow for funds to be pooled from a group of investors. Such a structure provides retail investors with several advantages: a low-hurdle of entry and exposure to a diversified pool of real estate assets with a high level of liquidity, which would not otherwise be possible with direct investing. 

    Most REITs are publicly listed, and declare above 90% of their earnings as dividends to fulfil certain benefits accorded to REITs by the local securities regulator. As such, REITs provide a stable source of recurrent income, which serves as a yield play rather than an investment avenue for reaping capital gains. We believe an effective and accurate fundamental analysis can help the retail investor determine if the recurrent income is stable and/or trending upwards over the long term. 

    A REIT generally focuses on a specific category of property for investments.  Some common classifications of REITs include: Office & Commercial REITs, Retail REITs, and Industrial REITs.

    To read more, download the full sector analysis for REITs with accompanying question bank below.

    This publication qualifies for 1.0 CE credits under the guidelines of the CFA Institute Continuing Education Program.
     
  • Smart women and risk-taking

    Source: Barbara Stewart,
    Date Submitted: 12 Mar 2018
    Views: 487
    Downloads: 0
    Rich Thinking: Smart women and risk-taking

    The topic of this year’s study is smart women and risk-taking. Do smart women take risks? What types of risks do they take? Why do they take a risk? Do they prepare before taking a ‘big risk’ or do they just jump right in? What have they learned from taking risks? This is research that is 100% based on qualitative interviews. My previous research has shown that women are interested in learning about financial matters through the sharing of real-life stories. Conducting face-to-face meetings and listening intently is, in my view, the most powerful way to access much-needed data about women, finance, investing and risk.
  • S&P BSE Bharat 22 Index: A benchmark for “Bharat 22” disinvestment program of Government of India

    Source: Akash Jain, Mahavir Kaswa
    Date Submitted: 07 Mar 2018
    Views: 116
    Downloads: 2
    This paper highlights the salient features of S&P BSE Bharat 22 Index, its objective, and its
    characteristics.
  • S&P/JPX JGB VIX® Update January 2018

    Source: S&P Dow Jones Indices, Applied Academics
    Date Submitted: 23 Feb 2018
    Views: 1
    Downloads: 1
    JGB VIX Gets a Boost From the BoJ
  • No more excuses! Performance of ESG integrated portfolios in Australia

    Source: Darren D. Lee, John Hua Fan, Victor S. H. Wong
    Date Submitted: 23 Feb 2018
    Views: 1016
    Downloads: 45
    We find compelling evidence that integrating ESG (Environment, Social and Governance) into ongoing investment practices in Australia does not harm returns, limit diversification nor adds additional risk to portfolios and investments formed from high ESG rated firms. Portfolios formed from high-rated ESG firms can provide significant outperformance, superior diversification and lower overall portfolio risk when compared to portfolios comprised of low ESG rated firms. The inclusion of ESG into investment strategies in Australia is consistent with maximising shareholder value, minimising risk and is consistent with the fiduciary responsibilities required of professional asset managers and owners. 
  • Demystifying commodity futures in China

    Source: John Hua Fan, Tingxi Zhang
    Date Submitted: 22 Feb 2018
    Views: 111
    Downloads: 10
    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.
  • India ETFs Wrap-up: 2017

    Source: Mahavir Kaswa
    Date Submitted: 22 Feb 2018
    Views: 134
    Downloads: 0
    As of Dec 31, 2017, the total AUM of the ETF industry stood at INR 78,000 crores (USD 12 billion), with an annualized growth rate of 76.6% during the past four years.
  • Understanding female investors - women using capital to change the world

    Source: Moxie Future
    Date Submitted: 21 Feb 2018
    Views: 1472
    Downloads: 0
    New research published by Moxie Future shows that women are leading the way when it comes to investing responsibly with almost two thirds of those surveyed expressing an interest in pursuing investments that have a beneficial impact on society.
    The report entitled, “Understanding Female Investors: Women Using Capital to Change the World” (#UFI18) was commissioned by Moxie Future to better understand the investment preferences, habits and motivations of women and their interest in responsible investing, which entails channelling funds into companies and industries that are creating positive social and environmental change.  
     “Our survey shows that female investors want more than just good financial returns,” says Moxie Future’s Founder Ms. Jessica Robinson. “In addition, increasing numbers of professional women want to make investment decisions that positively influence the world and are aligned with their values.”
     In total, 2,536 women aged 18 to 65 were surveyed across the five major markets of Australia, China, Germany, United Kingdom and the United States through online interviews conducted between March and April 2017.
    Findings from the research highlight how female investors in China show the greatest interest and concern when it comes to responsible investment. In total, 84% of women surveyed in China expressed that they are motivated to be a responsible investor.
    Among those surveyed, globally 69% of women indicated that they would be interested in investing responsibly if suitable products were available. Interest in responsible investment products is notably highest among women in China (91%) and the United States (74%). 
    Across all markets poverty, income equality, healthcare and climate change are causes that matter the most to women when it comes to investing their wealth.
    In addition, while the research found that women are motivated, there are a number of barriers to be addressed. Many women view their lack of time, knowledge, understanding and distrust of information regarding investment products as the key obstacles in the responsible investment process. Within China however, the leading concern is lack of tested products in the market.
    “The research shines a light on the mindset of today’s female investors from their priorities when making investment decisions to the concerns that may be deterring them from investing responsibly,” says Ms. Robinson.
    “While our study has found that women are generally positive about responsible investing, it has uncovered the practical difficulties that they face when committing their money, not least a perception among women that the financial services industry is failing to offer advice that aligns with their goals and interests.
    “What this tells us is, not only is there a disconnect between women and the financial services sector, but there are untapped opportunities for the industry to work more closely with female investors to deliver products and services specifically designed around them. This includes catering to the investment preferences of women and addressing their needs in a more meaningful way.”
    With regards to China, Ms. Robinson attributes the higher levels of interest in responsible investing to the fact that Chinese women are facing more visible challenges, particularly environmental threats which may explain why they are more motivated.  
    “This is not forgetting that in terms of financial confidence, our research has uncovered that Chinese women tend to be the most bullish in their own investment abilities,” she continues.
    Results from the research also point to how of the five markets surveyed, women in Germany appear to be the most lacking in confidence. Concludes Ms. Robinson, “When it comes to responsible investment opportunities, confidence matters because the higher the level, the more likely female investors are to be concerned and engaged.”
    To view a full copy of the report, please see “Understanding Female Investors: Women Using Capital to Change the World. HONG KONG, 30 January, 2018 – New research published today by Moxie Future shows that women are leading the way when it comes to investing responsibly with almost two thirds of those surveyed expressing an interest in pursuing investments that have a beneficial impact on society.
     
     
  • The "Vynn-ing" Play

    Source:
    Date Submitted: 19 Feb 2018
    Views: 194
    Downloads: 4
    Vynn Capital's view on venture capital investment strategy.
  • Impact of Market-Wide Circuit-Breaker on Trading Activity and Volatility: Empirical Evidence from Indian Markets

    Source: Latha S Chari , Pradiptarathi Panda, Sunder Ram Korivi
    Date Submitted: 17 Feb 2018
    Views: 1724
    Downloads: 14
    To protect market integrity, regulators across the globe have applied trading constraining mechanisms like market-wide circuit-breakers, price limits, stock-based trading halts and the like. In June 2001, Securities Exchange Board of India (SEBI) introduced the market-wide circuit-breaker mechanism for Indian markets in a similar manner to other markets. Till date the Indian market has applied these marketwide circuit-breakers six times. This study attempts to examine the impact of market-wide circuit-breakers on trading activity and volatility. We consider data of Nifty closing price, turnover and number of shares traded for six different windows with event day, event plus 1-3 days, and 10 days average. The study estimates intraday return, overnight return high low volatility and day time volatility followed by T-test to measure the significance difference between average turnover, number of shares traded, high low and daily volatility with event day. The study finds that the effect of market-wide circuit-breaker continues up to three post-event days.
  • Why Revenue Exposure Indices Are Relevant in Today’s World

    Source: John Welling
    Date Submitted: 13 Feb 2018
    Views: 563
    Downloads: 12
    The S&P Geographic Revenue Exposure Indices seek to capture the performance of companies with revenues centered on specific target regions or countries.
  • Sustainable Investment in the Global Space

    Source: Emily Ulrich
    Date Submitted: 09 Feb 2018
    Views: 931
    Downloads: 16
    In recent years, sustainable investing has moved to the forefront of the global agenda.
  • IFA - Does Employees’ Interest Matter More than Shareholders’ Interest in Determining Cash Management Policy?

    Source: Kartick Gupta
    Date Submitted: 09 Feb 2018
    Views: 47
    Downloads: 1
    Extant literature suggests that firms that follow good corporate governance (CG) practices maintain lower cash holdings. However, emerging literature suggests that employee-friendly firms maintain higher cash holdings. Thus, the firm’s commitment towards employees, considered as a key stakeholder, seems to contradict with the good CG practices. Our study finds that the cash ratio is negatively related to good CG practices but not to employee-friendly practices. However, employee-friendly firms maintain lower cash holdings in the countries that have strong labour laws and regulations. This suggests that benefits provided at the country-level complement the benefits provided by the firm.
  • IFA - Analysis of Components of Investment Performance - An Empirical Study of Mutual Funds in India

    Source: Vartika Dashora, Dr. Dhiraj Jain
    Date Submitted: 07 Feb 2018
    Views: 85
    Downloads: 0
    In this paper, an attempt has been made to examine the components and sources of investment performance in order to attribute it to specific activities of Indian fund managers. It also attempts to identify a part of observed return which is due to the ability to pick up the best securities at given level of risk. 
  • Shooting the Messenger

    Source: Anu R. Ganti, Craig J. Lazarra
    Date Submitted: 07 Feb 2018
    Views: 9642
    Downloads: 16
    The rise of passive management was the consequence of active performance shortfalls.
  • Investing in the U.S. Corporate Bond Market From an Asian Perspective

    Source: Michele Leung
    Date Submitted: 06 Feb 2018
    Views: 64
    Downloads: 0
    As Asian market participants have become more aware of the importance of portfolio diversification, they have been paying more attention to the U.S. corporate bond market. 
  • Factor Performance Across Different Macroeconomic Regimes in India

    Source: Akash Jain, Priscilla Luk
    Date Submitted: 01 Feb 2018
    Views: 263
    Downloads: 7
    For this paper, we compared sector composition in factor portfolios and examine performance characteristics of factors in different macroeconomic regimes, including market cycles, business cycles, and investor sentiment regimes in India.
  • Market Outlook for 2018

    Source: Mohammad Rehan Kabir
    Date Submitted: 22 Jan 2018
    Views: 237
    Downloads: 42
    Our market outlook for 2018 is supported by optimism even after some glitches from economy are expected. In 2017, our capital market resembled a robust growth posting an impressive return of 24.0%. During that period, Dow Jones Industrial Average Index provided 24.2% return and SENSEX provided 29.4% return. We expect market return will remain positive in 2018, however market return may be lower than that of in 2017.Market Capitalization to GDP in DSE was 18.35% at the end of December, ’17 which was 23.56% in Colombo SE, 27.59% in Pakistan SE, 88.63% in BSE (India). We anticipate this proportion will increase further in 2018. Unlike 2017, market drivers will be from Fast Moving Consumer Good providers, Pharmaceutical and Construction Sectors. Though financial sector will face few challenges like governance issues, increased default loans, unexpected change in management, financial scams and liquidity crunch etc. but banks with strong financials and  corporate governance along with good dividend payout ratio will do well in 2018.
  • Fusion Stock Analytics

    Source: Md. Khurshed Alam
    Date Submitted: 22 Jan 2018
    Views: 159
    Downloads: 22
    Fusion Stock Analytics is the composition of  7 dimensions to analyze a stock including: Technical, Fundamental, Calendar Effect, Corporate disclosure effect, Mechanical (Trading) performance analysis and analysis of statistical (risk parameter). All together the offer is said "A Techno-Fundamental Psychoanalytic approach of Stock valuation"
  • S&P/JPX JGB VIX® Update December 2017

    Source: S&P Dow Jones Indices, Applied Academics
    Date Submitted: 17 Jan 2018
    Views: 72
    Downloads: 3
    JGB VIX Faced Year-End Downward Pressure
  • Asian Fixed Income: 2017 Pan Asia Report Card

    Source: Michele Leung
    Date Submitted: 16 Jan 2018
    Views: 164
    Downloads: 0
    The S&P Pan Asia Bond Index, which seeks to track local currency bonds in 10 countries and is calculated in USD, reversed its loss in 2016 and delivered a total return of 7.86% in 2017. Meanwhile, its yield-to-maturity widened 123 bps to 4.64% YTD. The S&P Pan Asia Corporate Bond Indexoutperformed the S&P Pan Asia Government Bond Index and gained 8.30% over the same period. The size of Asia’s local currency bond markets, as measured by the S&P Pan Asia Bond Index, continued to expand and grew 17% to reach USD 12.1 trillion in 2017.
  • Asian Fixed Income: Indonesian Sovereign Bonds Were the Big Winners in 2017

    Source: Michele Leung
    Date Submitted: 11 Jan 2018
    Views: 567
    Downloads: 0
    With the growing appetite for emerging market debt and in the hunt for better yields, Indonesian sovereign bonds have been popular this year.
  • Making the Case for International Small Caps

    Source: Michael Orzano, John Welling
    Date Submitted: 03 Jan 2018
    Views: 163
    Downloads: 7
    International small caps represent a meaningful portion of the global equity opportunity set, have historically generated strong absolute and risk-adjusted returns, have been less volatile than U.S. small caps, and have relatively low correlations to U.S. equities and other asset classes.
  • Equity Valuation Report- Singer Bangladesh Limited

    Source: MD. Mosavvir Al Ashick
    Date Submitted: 28 Dec 2017
    Views: 172
    Downloads: 21
    Singer Bangladesh Limited manufactures and markets color televisions, refrigerators, home appliance, furniture, sewing machine. The company is also engaged in marketing of electric cables, computer and instant power supply, kitchen appliances, other consumer electronics and household appliances of other brands.
     
  • Carbon Pricing: The Business Case for Low-Carbon Innovation

    Source: Rochelle March
    Date Submitted: 22 Dec 2017
    Views: 197
    Downloads: 0
    The belief that economic growth is possible without lowering carbon emissions is becoming harder to sell by the minute.
  • Is Stock Split a Manipulation Tool? Evidence from the Korean Stock Market

    Source: Kyung Soon Kim, Jinwoo Park, Chune Young Chung, Jin Hwon Lee
    Date Submitted: 18 Oct 2012
    Views: 5
    Downloads: 0
    This paper studies the economic motivations for stock splits in the Korean stock market. Specifically, we investigate whether a stock split can be used not only as a tool to reveal information, but also as a manipulation tool, by dividing sample firms into two groups between the firms that split stocks with and without subsequent corporate events.
  • The Speed of Stock Price Adjustments to Market Wide Information in India

    Source: Krishna Prasanna, Anish Menon
    Date Submitted: 18 Oct 2012
    Views: 0
    Downloads: 0
    The speed of price adjustment hypothesis suggests that some stocks tend to adjust faster to market wide information than others. This paper uses the speed of price adjustment hypothesis to identify firm level characteristics that determine the information assimilation pace of individual stocks in the Indian markets. The research sample consists of 64 stocks with yearly data for 10 years, a total of 640 firm-year observations.
  • Cross-asset Style Momentum

    Source: Daehwan Kim
    Date Submitted: 18 Oct 2012
    Views: 0
    Downloads: 0
    Previous studies have demonstrated style momentum within equity markets. This paper reports significant momentum profits among style portfolios of multiple asset classes, showing that style momentum is not merely an equity market phenomenon, but a cross-asset phenomenon. A decomposition of profits reveals that profits are mostly attributable to positive autocorrelations of style returns.
  • Exploring Forecast Error and the Informational Content of Implied Volatility in the Taiwan Market

    Source: Yen-Hsien Lee, Chi-Tai Lin, Shu-Mei Chiang
    Date Submitted: 18 Oct 2012
    Views: 138
    Downloads: 0
    This paper employs the autoregressive conditional jump intensity model, incorporating a forecast error, to investigate the relationships between the changes in the implied volatility and the relevant determinants in the Taiwan market. We further apply the orthogonality test to explore forecast error and content of information. The empirical results show that the changes in the implied volatility are affected by the contemporaneous returns, lagged returns, lagged changes in the implied volatility, contemporaneous daily changes in the realized volatility and lagged forecast error.
  • The Effect of Abnormal Turnover on Asymmetric Autoregressive Behavior of Index Returns: Evidence from the Chinese A-share Stock Markets

    Source: Jung-Lieh Hsiao, Teng-Tsai Tu
    Date Submitted: 18 Oct 2012
    Views: 0
    Downloads: 0
    This study tests the effect of turnover shocks on the asymmetric autoregressive behavior of index returns. The methodological approach adopted in this study is based on the relationship between market return and trading volume. This study first uses a vector autoregression (VAR) to model two market trading volume series by controlling for the variation associated with the sign and magnitude of both week t and week t - 1 or week t + 1 market returns.
  • ITMs versus OTMs

    Source: Sun-Joong Yoon, So Hyun Kang
    Date Submitted: 20 Aug 2012
    Views: 0
    Downloads: 0
    By comparing liquidity and price discovery effects, the market microstructure literature insists that in-the-money options (ITMs) are informationally inferior to out-of-the-money options. However, such an argument is at odds with the anecdotal point that ITMs may be more effective for hedging future volatility risk. ITMs are driven by institutional investors, who are considered to be informed traders, and can provide significant hedging benefits such that a hedging with ITMs requires fewer options and less frequent rebalancing.
  • The Information Content of OTC Individual Put Option Implied Volatility for Credit Default Swap Spreads

    Source: Yuen Jung Park, Tong Suk Kim
    Date Submitted: 20 Aug 2012
    Views: 60
    Downloads: 0
    This study investigates the information content of implied volatilities extracted from over-the-counter individual equity put options to explain credit default swap (CDS) spreads in the Korean market. Using out-of-the-money put options, we demonstrate that the implied volatility dominates historical volatility in explaining CDS spread variations and that both the predicted future volatility and the volatility risk premium inferred from the implied volatility are significant determinants of CDS spreads in an out-of-sample approach.
  • Do Investors Price Accruals Quality? A Reexamination in the Implied Cost of Equity Capital

    Source: Lee-Seok Hwang, Seung-Yeon Lim
    Date Submitted: 20 Aug 2012
    Views: 54
    Downloads: 0
    This study investigates whether accruals quality (AQ) influences the expected returns of stock investors. We employ estimates of the implied cost of equity capital (ICOE) as the expected returns of stock investors because they are well specified ex ante without the need for noisy realized returns. Extending a current debate on AQ pricing, we control for several properties of analysts’ forecasts and find that AQ is positively and significantly related to ICOE.
  • Does National Culture Influence the Firm’s Choice of Debt Maturity?

    Source: Kiyoung Chang, Jung Bum Wee, Ha-Chin Yi
    Date Submitted: 20 Aug 2012
    Views: 0
    Downloads: 0
    Debt is an effective mechanism to mitigate agency costs in relieving manager–shareholder conflicts. Similarly, debt maturity choice allows the firm to discipline entrenched managers. In this paper we show cross-country evidence that national culture, along with corporate governance factors, influences the lender’s (or the borrower’s) debt maturity choice. Uncertainty avoidance index, masculinity, and long-term orientation indices are negatively related to overall debt maturity in a country.
  • How Does Product Market Competition Interact with Internal Corporate Governance?: Evidence from the Korean Economy

    Source: Hee Sub Byun, Ji Hye Lee, Kyung Suh Park
    Date Submitted: 20 Aug 2012
    Views: 0
    Downloads: 0
    In this study, we empirically test whether firms that belong to a business group ( chaebol ) behave differently from stand-alone firms in their decisions regarding internal corporate governance, given product market competition. The existing literature has ignored the possibility that firm characteristics may differentially affect this relationship. We find that the member firms of chaebol maintain better internal corporate governance in a non-competitive environment, whereas stand-alone firms do so in a competitive environment.
  • Sales Maximization or Profit Maximization? How State Shareholders Discipline their CEOs in China

    Source: Sonja Opper, Sonia Wong, Yong Yang
    Date Submitted: 20 Jun 2012
    Views: 0
    Downloads: 0
    This study examines the determinants of Chief Executive Officer (CEO) turnover in Chinese state-owned firms. Based on a sample of 1 555 turnover cases among listed firms in China during the period 1999–2003, we obtain three main results. First, CEO turnover is negatively related to the sales performance but not the profitability of the core business.
  • Post-Takeover Financing Activities under Financial Repression: Evidence from China

    Source: Julan Du, Oliver M. Rui, Sonia M. L. Wong
    Date Submitted: 20 Jun 2012
    Views: 0
    Downloads: 0
    In China’s state-dominated financial system, many firms, especially non-state-owned or private organizations, face serious restrictions in gaining access to bank and equity market financing. This kind of highly discriminatory financial repression policy has induced some unique post-takeover financing activities, which are consistent with the desire to acquire firms in order to capitalize on their privileges in getting access to external finance.
  • The Effect of Structural Changes in the Organizational Form of Business Groups: Evidence from Korea

    Source: Hyungseok Kim, Woojin Kim, Kyung Suh Park
    Date Submitted: 20 Jun 2012
    Views: 0
    Downloads: 0
    This paper examines the effects of a series of regulatory changes that facilitated business groups in Korea to switch from a complex circular shareholding or “loop” structure to a more simplified and transparent pure holding company structure. Since these changes are likely to affect intra-group dynamics of member firms in terms of their interdependence, we focus on changes in risk characteristics and how they are reflected in initial announcement returns.
  • Is Business Group Structure Inefficient? A Long-Term Perspective

    Source: Chang-Soo Kim
    Date Submitted: 20 Jun 2012
    Views: 72
    Downloads: 0
    This paper investigates the long-term value implication of business group affiliation. In order to secure comparability between business-group-affiliated firms and independent firms we employ the matching estimator technique, which selects firms with business characteristics most similar to chaebol firms to create a control group of firms. We find that the long-term performance of chaebol -affiliated firms is superior to that of control firms although the two groups are very similar at the beginning of the sample period.
  • Earnings Manipulation, Corporate Governance and Executive Stock Option Grants: Evidence from Taiwan

    Source: Ming-Cheng Wu, Yi-Ting Huang, Yi-Jing Chen
    Date Submitted: 20 Jun 2012
    Views: 179
    Downloads: 0
    Executive stock options (ESOs), serving as a compensation mechanism, are widely used in business administration. ESOs link managerial wealth to firm performance and shareholder wealth. The intrinsic value of ESOs is determined by the difference between the stock price and the strike price. Executives, as a result of self-interested incentives, would therefore manipulate firms’ reported earnings for influencing stock prices.
  • Is There a Relationship Between Corporate Governance and Value-based Financial Performance Measures? A Study of Turkey as an Emerging Market

    Source: Ali Bayrakdaroglu, Ersan Ersoy, Levent Citak
    Date Submitted: 17 Apr 2012
    Views: 139
    Downloads: 0
    The purpose of this study is to investigate the relationship of value-based performance measures – economic value added (EVA), market value added (MVA) and cash value added (CVA) – with corporate governance using data on 41 corporations listed on the Istanbul Stock Exchange-100 Index. Multiple panel regression is used covering the 1998–2007 period.
  • Market Reactions to the Split-share Structure Reform and the Determinants of Compensation: Evidence from Chinese Listed Firms

    Source: Li Cheng, Jeng-Ren Chiou, Yenn-Ru Chen, Bong Soo Lee
    Date Submitted: 17 Apr 2012
    Views: 0
    Downloads: 0
    The split-share structure is a unique characteristic of corporate ownership in China, and is often linked to poor firm performance and inefficient corporate governance. In this paper, we investigate market reactions around several important event days during the process of the split-share structure reform (share reform) in Chinese listed firms. The market reacts differently to different events during the process.
  • The Effects of Outside Board on Firm Value in the Emerging Market from the Perspective of Information Transaction Costs

    Source: Sung Wook Joh, Jin-Young Jung
    Date Submitted: 17 Apr 2012
    Views: 0
    Downloads: 0
    This paper examines whether the problem of high information asymmetry lowers the positive impact of board independence on firm value. Independent directors are outside directors who have never had business and professional ties with the firm. We adopt various proxies for information transaction costs from the market microstructure literature and traditional measures, such as firm size, firm age, number of analyst reports, governance scores, credit ratings, and institutional ownership, to see how they interact.
  • The Effects of Executive Stock Options and Stock Bonuses on Payout Policies in Taiwan

    Source: Chia-Ying Chan, Vivian W. Tai, Chi-Hung Chan, Kuo-An Li
    Date Submitted: 17 Apr 2012
    Views: 101
    Downloads: 0
    This study investigates how executive stock-based compensation affects the payout policies of a company. Stock bonuses, which are dividend-protected, induce executives to pay out cash dividends. Conversely, stock options, which are not dividend-protected, discourage the payment of dividends. We posit that the structure of executive stock-based compensation plays a crucial role in determining the payout policies of a firm, particularly for those firms with higher percentages of institutional investors and shareholders with ultimate controlling power.
  • The Impact of Corporate Governance on the Relationship between Investment Opportunities and Dividend Policy: An Endogenous Switching Model Approach

    Source: Kun-Li Lin, Chung-Hua Shen
    Date Submitted: 17 Apr 2012
    Views: 140
    Downloads: 0
    This study investigates the role of corporate governance in the relationship between investment opportunities and dividend payouts. The study sample is divided into strong and weak governance regimes to investigate outcome and substitute effects, where the former stresses the negative relationship between investment opportunity and dividend payouts in a strong governance regime while the latter emphasizes the positive relationship between the two in a weak governance regime.
  • Empirical Comparison of Alternative Implied Volatility Measures of the Forecasting Performance of Future Volatility

    Source: Dong Woo Rhee, Suk Joon Byun, Sol Kim
    Date Submitted: 09 Feb 2012
    Views: 0
    Downloads: 0
    Implied volatility from the Black and Scholes ( Journal of Political Economy 81, 1973, p. 637) model has been empirically analyzed for the forecasting performance of future volatility and is well known to be biased. Based on the belief that implied volatility from option prices can best estimate future volatility, this study identifies the best way to derive implied volatility to overcome the forecast bias associated with the Black–Scholes model.
  • Corporate Governance and Diversification

    Source: Kimberly C. Gleason, Inho Kim, Yong H. Kim, Young Sang Kim
    Date Submitted: 09 Feb 2012
    Views: 0
    Downloads: 0
    Using 1640 observations of completed acquisitions from 1996 to 2003, we investigate the relation between corporate governance and returns to bidders and targets. We find that the cumulative abnormal returns for acquirers are significantly negative upon announcement of acquisitions for the full sample and for the related and diversifying subsamples. However, we find that diversifying acquisitions, when conducted by firms with a higher percentage of outsiders on the board, improve returns.
  • Syndicate Structure in Initial Public Offerings: Syndicate Formation, Share Allocation, Fee Distribution, and Underpricing in the Korean Market

    Source: Jong-Ryong Lee, Young-Gon Cho
    Date Submitted: 09 Feb 2012
    Views: 0
    Downloads: 0
    Using unique information obtained from Korea regarding syndicates’ underwriting of initial public offerings (IPOs), this paper examines how syndicates are formed into syndicate structures, including fee distributions among syndicate members, and also investigates how they affect the IPO process, such as the underpricing of IPOs. Reciprocal participation among syndicates affects the formation of syndicates, and the formation strongly depends on the regulation of underwriting.
  • Asymmetric Price Distribution and Bid–Ask Quotes in the Stock Options Market

    Source: Kalok Chan, Y. Peter Chung
    Date Submitted: 09 Feb 2012
    Views: 0
    Downloads: 0
    We present a model of the bid and ask quotes in the equity option market when option payoffs are asymmetrically distributed due to the limited liability of the option. We then provide empirical evidence for the actively traded Chicago Board Options Exchange stock options, which is consistent with the implications of our model.
  • Information Content of Unsolicited Credit Ratings: Evidence from Japanese Firms

    Source: Soku Byoun, Yoon S. Shin
    Date Submitted: 09 Feb 2012
    Views: 0
    Downloads: 0
    Unsolicited ratings are credit ratings of firms that have not requested rating evaluation and, therefore, do not pay fees. Accordingly, unsolicited ratings are issued solely at the discretion of rating agencies based on public information. Given the controversy surrounding unsolicited ratings raised in some published studies as well as by Japanese firms, we examine whether the market extracts any new information from unsolicited ratings.
  • Asset Allocation and Consumption Choices of the Representative Agent with External Habit Formation

    Source: Wonnho Choi
    Date Submitted: 06 Dec 2011
    Views: 0
    Downloads: 0
    In this paper, we examine the asset allocation and consumption policy of the investor with habit formation, given a set of publicly available information. We use time-separable preferences as a benchmark for comparing decisions made by an agent with habit formation. We find that external habit combined with the available information plays a prominent role in both asset allocation and consumption choices for the agent with habit.
  • Tax Benefits of Debt and Debt Financing in Korea

    Source: Jong Kwon Ko, Sung-Soo Yoon
    Date Submitted: 06 Dec 2011
    Views: 118
    Downloads: 0
    In this study, we attempt to determine whether or not Korean firms have failed to fully utilize the tax benefits of debt, particularly in the aftermath of the 1997 Asian financial crisis. Results suggest that underleveraged firms lost significant tax savings that would have been available had they increased debt levels to their kink.
  • Effect of Group Affiliation on Investments: Evidence from the Global Economic Crisis

    Source: Chang-Soo Kim
    Date Submitted: 06 Dec 2011
    Views: 0
    Downloads: 0
    This paper investigates the impact of business group structure on investment activities by group-affiliated companies. Using data on Korean business groups called chaebols we compare changes in investments across chaebol and control firms throughout the global economic crisis. To control for confounding effects, we applied an empirical strategy that identified a group of the most comparable control firms in terms of observables and eliminated the selection bias caused by unobservables.
  • Pyramidal Structures and Competitive Strategies of Business Groups

    Source: Jung Bum Wee
    Date Submitted: 06 Dec 2011
    Views: 0
    Downloads: 0
    A theoretical model is built to explore the organizational form of a diversified conglomerate, which depends on the competitive structure of the product market. The conglomerate may choose the form of either a business group, which consists of plural legally independent firms, or a multi-division firm. The analysis shows that, because of larger outside financing capacity, a business group generally needs less internal capital and invests more than a multi-division firm.
  • Contribution of Star Funds to Fund Families: An Empirical Analysis of the Korean Fund Market

    Source: Hyo-Keun Joo, Young K. Park
    Date Submitted: 17 Oct 2011
    Views: 0
    Downloads: 0
    This study investigates the contribution of star funds to fund families in the Korean fund market. We find that star-fund families that feature either star funds or higher relative holdings of star funds attract more new investment than non-star-fund families. Our test shows the existence of a spillover effect from star funds to non-star funds that helps non-star funds and newly launched funds in the family to raise fresh capital.
  • Performance Evaluation with Information on Portfolio Compositions

    Source: Sun-Wung Hwang, Jinwoo Park
    Date Submitted: 17 Oct 2011
    Views: 0
    Downloads: 0
    It is very important to evaluate fund managers who are presumed to have access to superior information (either from inside knowledge or superior analysis) as compared to other investors. As Dybvig and Ross point out, however, the majority of performance measures thus far developed can yield distorted performance appraisals, as the portfolio mix of assets being evaluated is held constant.
  • Innovations in the Future Money Growth and the Cross-Section of Stock Returns in Korea

    Source: Hosung Jung, Dongcheol Kim
    Date Submitted: 17 Oct 2011
    Views: 0
    Downloads: 0
    This paper proposes revisions in the expectation of future money growth as a macroeconomic state variable in the perspective of Merton’s ( Econometrica , 41, 1973, 867) intertemporal capital asset pricing model, and examines whether the factor related with innovations in the expectation of future money growth is priced on stock returns in the Korean stock market after controlling for the market factor, Fama and French’s SMB and HML , and the momentum factor.
  • Does Overconfidence Harm Individual Investors? An Empirical Analysis of the Taiwanese Market

    Source: Chi Ming Ho
    Date Submitted: 17 Oct 2011
    Views: 112
    Downloads: 0
    This article uses the approaches of ( Journal of Finance 53, 1998, 1775) and ( The Review of Financial Studies 19, 2006, 1531) to study the influence of overconfidence on the trading behavior of investors based on the accounts of 1185 individual investors in the Taiwan market. In addition, private information, interaction effect, and credit are treated in the analysis to establish a model of psychological bias and trading behaviors.
  • Retrospective Analysis of Financial Research Among Korean Institutions and Authors (1990–2010)

    Source: Kam C. Chan, Chih-Hsiang Chang, Yining Chen
    Date Submitted: 15 Aug 2011
    Views: 0
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    Using published studies in 24 leading finance journals across 21 years (1990–2010), we investigate the financial research productivity among Korean academic institutions and scholars. Overall, 61 Korean universities contribute a total of 158.50 weighted articles and make 382 appearances during the full sample period. The five most productive Korean universities are Korea Advanced Institute of Science and Technology, Korea University, Seoul National University, Yonsei University (Seoul), and SungKyunKwan University.
  • Nonparametric Interest Rate Cap Pricing: Implications for the ‘‘Unspanned Stochastic Volatility“ Puzzle

    Source: Tao L. Wu
    Date Submitted: 15 Aug 2011
    Views: 0
    Downloads: 0
    Asset prices depend on two elements: the dynamics of the state variables and the pricing kernel. Traditional term structure models differ in factor dynamics. However, most of them imply a log-linear pricing kernel. We investigate empirically the role of factor dynamics and pricing kernel in pricing interest rate derivatives using a nonparametric approach.
  • Structure of Spot Rates and Duration Hedging

    Source: Bing-Huei Lin, Jr-Yan Wang, Shih-Wen Tai
    Date Submitted: 15 Aug 2011
    Views: 139
    Downloads: 0
    The present study proposes a three-factor model using spot rates as proxies for the state variables of the term structure of interest rates. Empirical analysis is carried out on the in-sample explanatory power and the out-of-sample prediction ability of spot-rate models, and comparison is made between the modified Macaulay duration and spot-rate duration hedging for bond portfolios.
  • Information Content of Dividends and Share Repurchases

    Source: Inbong Ha, Gwangheon Hong, Bong Soo Lee
    Date Submitted: 15 Aug 2011
    Views: 0
    Downloads: 0
    Share repurchases have become a popular means of paying out cash to shareholders, and one of their often cited motives is their signaling of undervaluation of repurchasing firms. Dividends are often viewed as signaling future earnings. However, in theory, signaling of current undervaluation should be closely related to signaling of future cash flows.
  • Is Chief Executive Officer Power Bad?

    Source: E. Han Kim, Yao Lu
    Date Submitted: 15 Aug 2011
    Views: 24
    Downloads: 0
    This paper focuses on abnormal chief executive officer (CEO) structural power over top executives and examines its impacts on CEO pay for performance sensitivity and firm performance. We find that greater abnormal power is associated with weaker firm performance, but the relation is significant only when monitoring by external shareholders is weak.
  • Control of Luck in Measuring Investment Fund Performance

    Source: Sangwon Suh, Kyttack Hong
    Date Submitted: 13 Jun 2011
    Views: 0
    Downloads: 0
    This paper applies an efficient method for Korean investment funds that controls luck in fund performance measurement and classification. Unlike the case of US mutual funds, a large proportion of Korean investment funds are estimated to be skilled funds. Furthermore, the Korean investment fund industry does not show a conspicuous pattern of decline in the proportion of skilled funds over time as shown by its US counterpart.
  • Information Content for Investor Groups in TAIEX Futures Trading

    Source: Mei-Chen Lin
    Date Submitted: 13 Jun 2011
    Views: 0
    Downloads: 0
    This study uses a unique dataset to examine whether the trade types of different classes of traders in the Taiwan Stock Exchange Capitalization Weighted Stock Index futures market convey different information regarding underlying spot index returns and volatility. The evidence shows that open trading by foreign institutional investors conveys more information regarding the underlying index, and open selling of individual investors is more likely to introduce noise signals to the spot market.
  • Effects of Macroeconomic News Announcements on Risk-neutral Distribution: Evidence from KOSPI200 Intraday Options Data

    Source: Sol Kim, Geul Lee
    Date Submitted: 13 Jun 2011
    Views: 0
    Downloads: 0
    This study examines the effects of scheduled macroeconomic news announcements on the implied risk-neutral distribution (RND) from option prices. Using the KOSPI200 index options market as the sample market, this study investigates whether the implied RND responds to scheduled macroeconomic news announcements from South Korea and the US. We select six important macroeconomic news announcements each for South Korea and the US and classify them as good news and bad news according to the KOSPI200 index return on the day of the announcement.
  • Asymmetric Information or Asymmetric Reputation? A Theory on Why Foreigners Earn So Much in a Small Open Emerging Market

    Source: Jin Yoo
    Date Submitted: 13 Jun 2011
    Views: 0
    Downloads: 0
    In this paper, we theoretically examine whether, and why, more informed traders (for example, foreigners) in an emerging market earn more than their informational advantage would justify. Anecdotal evidence suggests that once foreign traders establish themselves in the market, they outperform other informed traders, such as local institutions, even in the absence of any informational advantage.
  • Mispricing of US Shocks in the Korean Stock Market

    Source: Chul W. Park, Andrew Chunwon Yi
    Date Submitted: 13 Jun 2011
    Views: 0
    Downloads: 0
    At the opening of each trading day, the Korean stock market closely follows the overnight US stock market performance, and yet the subsequent intraday return is negatively related to the US market. Using the minute-by-minute return data, we find that the return reversal is gradually magnified throughout the day, which suggests that the Korean market systematically misprices the overnight US shocks.
  • Dark Side of Institutional Shareholder Activism in Emerging Markets: Evidence from China’s Split Share Structure Reform

    Source: Yamin Zeng, Qingbo Yuan, Junsheng Zhang
    Date Submitted: 18 Apr 2011
    Views: 85
    Downloads: 0
    This study aims to investigate the role that institutional investors played exploiting the split share structure reform launched in 2005 in China. Since that time, non-tradable majority shareholders have had to compensate minority tradable shareholders to obtain the rights to transfer their shares in the capital markets. The compensation ratio proposed by non-tradable majority shareholders needs to be approved in at least two-thirds of the votes cast by tradable shareholders, among which the most powerful are the institutional investors.
  • Information Content of Changes in Index Composition

    Source: Jooyoung Yun, Tong S. Kim
    Date Submitted: 18 Apr 2011
    Views: 0
    Downloads: 0
    This study examines the effect of changes in the Korea Stock Exchange Price Index to determine the main cause of abnormal return behavior. It tests five prevailing hypotheses individually and simultaneously using both added and deleted stocks during the event window. We find evidence of permanent price effects and of temporary price pressure around the effective date.
  • Long-Run Performance of Chinese Initial Public Offerings: Further Evidence

    Source: Chen Su, Kenbata Bangassa, David Brookfield
    Date Submitted: 18 Apr 2011
    Views: 0
    Downloads: 0
    This study examines the long-run performance of 936 Chinese initial public offerings (IPOs) over the period 1996 to 2005 (the post-issue return evidence ends in June 2008). Using a number of empirical methods, including event-time and calendar-time approaches based on a size and industry matching firm benchmark, we find a significant long-run overperformance using the equal-weighted buy-and-hold abnormal returns, although not for the value-weighted returns, suggesting that the performance of small-size IPO firms is superior to that of large-size IPO firms.
  • Dividend Policy and Elimination of Double Taxation of Dividends

    Source: Lanfeng Kao, Anlin Chen
    Date Submitted: 18 Apr 2011
    Views: 0
    Downloads: 0
    Taiwan eliminated double taxation of dividends in 1999, and allowed firms to repurchase stocks from July 2000. Taiwanese firms tend to pay dividends as opposed to repurchasing stock, even with zero tax on capital gains, and firms pay larger dividends after the elimination of double taxation of dividends. The relation between dividends and director ownership has been reinforced by the elimination of double taxation of dividends.
  • Trading Behavior, Performance, and Stock Preference of Foreigners, Local Institutions, and Individual Investors: Evidence from the Korean Stock Market

    Source: Sung C. Bae, Jae Hoon Min, Sunbong Jung
    Date Submitted: 18 Apr 2011
    Views: 0
    Downloads: 0
    We examine the trading behavior and performance of foreigners, local institutions, and individual investors in the Korean stock market. The key research issue is whether the commonly-documented information disadvantage of foreign investors translates into their underperformance relative to local institutional and individual investors. Our results show the opposite, that the stocks foreigners buy significantly outperform the stocks they sell in terms of both stock returns and operating profitability, leading to the significant outperformance of foreigners’ trading strategies over those of local investors.
  • Reciprocity in Syndicate Participation and Issuer’s Welfare: Evidence from Initial Public Offerings

    Source: Cheolwoo Lee, Jin Q. Jeon, Bum J. Kim
    Date Submitted: 15 Feb 2011
    Views: 0
    Downloads: 0
    Using 1043 IPOs from January 1997 to June 2002, we examine whether syndicate participation is reciprocal and also whether such reciprocity is beneficial to issuers. Our empirical results show that reciprocal syndicates appear to make a lower level of price revision (lower information production), which lowers the amount of capital to be raised through going public, and that the lead underwriter in the reciprocal syndicate provides less analyst coverage.
  • Security Concentration and Fund Performance

    Source: Pando Sohn, Sungsin Kim, Jungsoon Shin
    Date Submitted: 15 Feb 2011
    Views: 0
    Downloads: 0
    We examine focused funds from 2002 to 2008 to see whether they offer superior performance to Korean equity funds without survivorship bias. Prior studies show that fund managers might allocate their funds to specific industries or focused securities to achieve superior performance. However, after controlling for various fund characteristics and using several alternative measures, our results show that fund performance has a positive relation to diversification.
  • Investor Perceptions of Earnings Processes and Post-announcement Drifts

    Source: Bong-Soo Lee, Oliver M. Rui
    Date Submitted: 15 Feb 2011
    Views: 122
    Downloads: 0
    In this paper, we generalize Bernard and Thomas’s [ Journal of Accounting and Economics 13 (1990), 305]“delayed response” hypothesis as an explanation of post-earnings-announcement drifts. By applying a modified version of Beveridge and Nelson’s technique of decomposing a time-series process of earnings into permanent and temporary components, we estimate the relative weight to proxy for investor perception on the temporary component of earnings.
  • Bank Loans, Trade Credits, and Borrower Characteristics: Theory and Empirical Analysis

    Source: Byung-Uk Chong, Ha-Chin Yi
    Date Submitted: 15 Feb 2011
    Views: 0
    Downloads: 0
    Trade credit is vendor financing offered by a supplier to increase the sale of its product. Trade credit prevails among riskier borrowers, in competing with bank loans in the corporate loan market. The present paper models the economic incentive for product suppliers to extend trade credits to relatively riskier borrowing firms that might not be able to obtain financing from commercial banks.
  • Value Information of Corporate Decisions and Corporate Governance Practices

    Source: Hae-Young Byun, Lee-Seok Hwang, Woo-Jong Lee
    Date Submitted: 15 Feb 2011
    Views: 13
    Downloads: 0
    Extant published literature reveals that sound corporate governance practices enhance firm value. However, how it affects firm value remains largely unexplained. This paper addresses this question by providing a direct link between corporate governance practices and strategic corporate decisions, such as investment, financing, dividend policies, and cash holdings. Applying a unique dataset of firm-level corporate governance practices obtained from the Korea Corporate Governance Service in Fama and French’s ( The Journal of Finance , 53, 1998, 819) framework, corporate governance practices are expected to influence firm value by enhancing value implications of firm-level decisions.
  • Assessing Sovereign Debt Strategies Under Alternative Term Structure Models

    Source: Geon-Ho Choi, Myung-Jig Kim, Hangyong Lee
    Date Submitted: 25 Nov 2010
    Views: 0
    Downloads: 0
    This paper examines the theoretical restrictions on alternative term structure models in assessing sovereign borrowing strategies. Our approach draws upon Hahm & Kim’s (2003) cost–risk analytic model of sovereign debt management within a mean–variance framework. To explore the effects of different interest rate modeling strategies on government debt portfolio selection, two models are considered; namely, the time series-based dynamic Nelson–Siegel (DNS) model proposed by Diebold & Li (2006) and the DNS model with arbitrage-free restrictions proposed by Christensen et al.
  • Heterogeneous Beliefs in Asset Pricing: When Investors’ Estimates of Asset Volatility Disagree

    Source: Chien-Chih Lin, Feng-Teng Lin
    Date Submitted: 25 Nov 2010
    Views: 0
    Downloads: 0
    The paper addresses the influence on asset prices of agents’ disagreement regarding asset volatility. Using a stochastic volatility model and assuming that the market is complete, a state-price density incorporating heterogeneous beliefs in volatility is derived and used to compute asset prices. How agent disagreement regarding volatility influences asset prices and volatility is discussed and empirical results are provided.
  • Effect of Investor Sentiment on Market Response to Stock Split Announcement

    Source: Keunsoo Kim, Jinho Byun
    Date Submitted: 25 Nov 2010
    Views: 0
    Downloads: 0
    This paper creates monthly investor sentiment indices for Korea and provides evidence that these indices have the power to predict the subsequent 6-month buy-and-hold returns. In addition, the paper shows that investor sentiment positively affects market response to stock split announcements by using stock splits on the Korea Exchange from 1999 to 2006.
  • Dividend Yields and Stock Returns: Evidence from the Korean Stock Market

    Source: Jinwoo Park, Moojoon Kim
    Date Submitted: 25 Nov 2010
    Views: 0
    Downloads: 0
    This paper examines the relation between dividend yields and stock returns in the Korean market, and provides some valuable implications in light of certain institutional features of the Korean market that differ from those in the USA and other countries. For five portfolios ranked by the long-term dividend yield we find that stocks with higher dividend yield earn higher risk-adjusted returns.
  • Valuation Effects of Private and Public Target Mergers in Korea

    Source: Hyung-Chan Jung
    Date Submitted: 25 Nov 2010
    Views: 0
    Downloads: 0
    Using data drawn from the Korea Exchange, the present paper examines the bidding firm’s stock price reaction to the announcement of a merger bid. The results indicate that bidders gain more from mergers involving private targets than from those involving public targets. In particular, bidders acquiring a private firm experience significant wealth gains when a new blockholder emerges from the target firm.
  • Hedge Ratio Stability and Hedging Effectiveness of Time-Varying Hedge Ratios in Volatile Index Futures Markets: Evidence from the Asian Financial Crisis

    Source: Janchung Wang, Hsinan Hsu
    Date Submitted: 28 Sep 2010
    Views: 146
    Downloads: 0
    Hedge ratio stability is especially important because hedgers are likely to use the estimate of historical hedge ratios to hedge future positions of their portfolios. One main purpose of the present study is to examine hedge ratio stability during the Asian financial crisis and post-crisis, periods characterized by high price volatility, using the Nikkei 225, Hang Seng, and KOSPI 200 index futures contracts.
  • Liquidity Commonality and its Causes: Evidence from the Korean Stock Market

    Source: Hyuk Choe, Cheol-Won Yang
    Date Submitted: 28 Sep 2010
    Views: 0
    Downloads: 0
    This paper investigates the causes of liquidity commonality. We consider information asymmetry, volatility, utilitarian trading interest, style-based trading, inventory cost, and investor sentiment as potential candidates. Our empirical analysis shows that greater information asymmetry causes higher liquidity commonality. The significant effect of the order imbalance beta supports our volatility hypothesis as a cause of liquidity commonality.
  • On the Determination of Contract Price in Credit Sales Transaction: Exchange Option Approach

    Source: Jong Yeon Choi
    Date Submitted: 28 Sep 2010
    Views: 0
    Downloads: 0
    Conditions for credit sales transactions vary to a great degree depending upon characteristics of the commodity, the buyer, and the seller. In this paper, we analyzed the buyer’s right to return purchased commodities and void his or her financial obligations as an exchange option written by the seller and held by the credit buyer.
  • Politically-Connected Boards and the Structure of Chief Executive Officer Compensation Packages in Taiwanese Firms

    Source: Hsin-Yi Yu
    Date Submitted: 28 Sep 2010
    Views: 104
    Downloads: 0
    This paper examines the relationship between the level of political connection of the board and chief executive officer (CEO) equity-based compensation. Using a sample of Taiwanese firms, the paper provides evidence that politically connected boards grant a lower proportion of equity-based compensation to CEOs. Political intervention can reduce the proportion of equity-based compensation and, thereby, can have negative consequences for the alignment between the interests of CEOs and shareholders in firms.
  • Reporting Bias and Information Discrepancy, and Consequences for Volatility in Financial Markets

    Source: Jae Joon Han
    Date Submitted: 28 Sep 2010
    Views: 0
    Downloads: 0
    This paper presents an analytical explanation of price volatility and mispricing in a rational financial market. In the proposed model, specialists might have private interest in manipulating their reports, which can affect the security price. Additionally, traders differ in terms of both rationality and available information. The present study shows that mispricing and price volatility occurs in a rational financial market when specialist reports are incorporated under different trader types.
  • Do Informed Traders Trade More When the Market Is Thick? Evidence from the Nikkei 225 Index Redefinition of April 2000

    Source: Hee-Joon Ahn, Jun Cai, Jay M. Chung
    Date Submitted: 30 Jul 2010
    Views: 0
    Downloads: 0
    Using the Nikkei 225 index redefinition that took place in April 2000, we examine whether informed traders strategically trade more when they face increased liquidity trading, as predicted by Admati & Pfleiderer (1988). The significant increase (decrease) in liquidity trading for the new additions (deletions) caused by index trading activities after index redefinition offers a valuable opportunity to empirically test the predictions of Admati and Pfleiderer.
  • Impact of the Change in Tick Size on Transaction Costs and Liquidity: An Empirical Investigation of the Taiwan Stock Exchange

    Source: Su-Wen Kuo, Chin-Sheng Huang, Chia-Cheng Chen
    Date Submitted: 30 Jul 2010
    Views: 100
    Downloads: 0
    The minimum price variation on the Taiwan Stock Exchange reduced for most price categories on March 1, 2005. The present paper simultaneously examines the institutional and endogenous impacts of tick size changes on transaction costs, market liquidity, and trading activity. The empirical evidence suggests that following a reduction in tick size, uniform declines are discernible in transaction costs and market liquidity.
  • Relative Efficiency of Price Discovery on an Established New Market and the Main Board: Evidence from Korea

    Source: Kyong Shik Eom, Junghoon Seon, Kook-Hyun Chang
    Date Submitted: 30 Jul 2010
    Views: 0
    Downloads: 0
    We examine the relative efficiency of price discovery between the new market (KOSDAQ) and the main board (KOSPI) in the Korean stock markets that have the same trading mechanism (i.e. electronic limit-order book), focusing on the comparisons of each market’s efficiency of price discovery in three aspects: speed, degree, and accuracy.
  • Can Sanctions Reduce Insider Trading? The Experience of the USA in the 1980s

    Source: Se-Jin Min
    Date Submitted: 30 Jul 2010
    Views: 0
    Downloads: 0
    This paper empirically examines whether insider trading sanctions in the USA in the 1980s reduced insider trading in advance of mergers and acquisitions (M&A). Using a sample consisting of 291 firms, both merged and non-merged in 1983 and 1989, I measured insider trading volume and the “news media effect.” I conclude that the sanctions reduced insider trading on average, and also resulted in larger noise trading on M&A-related news and rumors.
  • Avoidance Powers and Incentives to File for Bankruptcy

    Source: Jeong-Yoo Kim, Sang Lyong Joo
    Date Submitted: 30 Jul 2010
    Views: 0
    Downloads: 0
    In this paper, we examine the incentives for a failing debtor and creditors to file for bankruptcy either under Chapter 7 or Chapter 11, and discuss whether avoidance powers can provide proper incentives to file. We show that if the future profitability of a failing firm is known, avoidance powers can eliminate an inefficient delay in bankruptcy filing.
  • Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market

    Source: Hee-Joon Ahn, Jangkoo Kang, Doojin Ryu
    Date Submitted: 25 May 2010
    Views: 0
    Downloads: 0
    In the present study, we examine two important issues related to the information content of a trade in option markets: (i) whether trade size is related to information content; and (ii) whether buy and sell transactions carry different information content. Our analysis is based on comprehensive market microstructure data on the KOSPI 200 options, the single most actively traded derivative securities in the world.
  • Hedging Performance and Stock Market Liquidity: Evidence from the Taiwan Futures Market

    Source: Hsiu-Chuan Lee, Cheng-Yi Chien
    Date Submitted: 25 May 2010
    Views: 110
    Downloads: 0
    This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results indicate that information regarding stock market liquidity is useful in predicting the optimal hedge ratio under different market conditions.
  • Share Liquidity and Market Microstructure Reform: The Case of Screen-based Trading in Mumbai

    Source: Christopher J. Green, Ronny Manos, Victor Murinde, Nathridee Suppakitjarak
    Date Submitted: 25 May 2010
    Views: 0
    Downloads: 0
    We investigate the impact of the March 1995 move to screen-based trading on the Mumbai Stock Exchange, using separate samples of more liquid (A) and less liquid (B) shares. Following the move, the average cumulative abnormal return for A shares was 4.5%, whereas that for B shares was over 12%; market liquidity and efficiency increased but the effect on volatility was more ambiguous.
  • Insider Trading Regulation and Market Quality: Evidence from American Depositary Receipts

    Source: Kee H. Chung, Hao Zhang
    Date Submitted: 25 May 2010
    Views: 0
    Downloads: 0
    We investigate the relation between insider trading law enforcement and stock market quality using a sample of American Depositary Receipts (ADR) over the period from 1998 to 2006. We show that ADR from countries that have enforced insider trading laws have better market liquidity and lower information asymmetry than ADR from countries that have not enforced insider trading laws.
  • Friend or Foe? Foreign Investors and the Liquidity of Six Asian Markets

    Source: Diego A. Agudelo
    Date Submitted: 25 May 2010
    Views: 0
    Downloads: 0
    Studying foreign flows and the liquidity of six Asian markets and the Johannesburg Stock Exchange, we provide evidence of two contrary effects of foreigners on liquidity. On the one hand, foreign trade has a negative but transitory impact on the overall liquidity of the market on a daily basis, consistent with foreign investors demanding liquidity more aggressively than locals and incorporating market-wide information.
  • Information Uncertainty Risk and Seasonality in International Stock Markets

    Source: Dongcheol Kim
    Date Submitted: 22 Mar 2010
    Views: 0
    Downloads: 0
    A parsimonious two-factor model containing the market risk factor and a risk factor related to earnings information uncertainty has been developed to explain the seasonal regularity of January in international stock markets. This two-factor model shows apparently stronger power in explaining time-series behavior of stock returns and the cross-section of average stock returns in all major developed countries than do the competing models.
  • Impact of Government Ownership on Investment Banks’ Underwriting Performance: Evidence from China

    Source: Ning Jia, Haiyan Zhang
    Date Submitted: 22 Mar 2010
    Views: 0
    Downloads: 0
    This paper examines the effect of government ownership on investment banks’ underwriting performance in China. A large number of Chinese investment banks are owned and controlled by their respective regional governments. While regional governments may capitalize on their superior local knowledge and administrative power to help affiliated investment banks identify and land high quality local issuers, they may also leverage affiliated underwriters to facilitate the capital market access of those underperformed but socially and/or politically desirable local firms.
  • Nonlinear Dynamic Relations Between Equity Return and Equity Fund Flow: Korean Market Empirical Evidence

    Source: Sei-Wan Kim, Youngmin Kim
    Date Submitted: 22 Mar 2010
    Views: 0
    Downloads: 0
    This research studies the dynamic relationship between equity returns and equity fund flows by incorporating nonlinear properties of the two variables. Nonlinear estimation based on a smooth transition autoregressive model reveals results different from those previously reported based on a linear relationship. Our empirical results find that there is significant mutual Granger causality between equity returns and equity fund flows.
  • Regulatory Environment, Changing Incentives, and IPO Underpricing in the Korean Stock Market

    Source: Inseok Shin
    Date Submitted: 22 Mar 2010
    Views: 0
    Downloads: 0
    I examine the importance of price support regulation in explaining IPO underpricing in the Korean stock market from 2001 through 2007. In contrast to the US practice where price support is provided effectively at the cost of the issuing firms, the price support in Korea resulted in direct costs to the underwriters.
  • Pricing of Private Placements of Equity

    Source: Jaiho Chung, Joon Ho Hwang
    Date Submitted: 10 Feb 2010
    Views: 0
    Downloads: 0
    Building on the models of Benveniste & Spindt (1989) and Maksimovic & Pichler (2006), the present paper examines the optimal pricing and allocation mechanism for private placements of equity. Our model shows that for firms that receive favorable information prior to private placements, both the information acquisition cost and the value of information affect the offer discount.
  • Intraday Volatility Patterns in the Taiwan Stock Market and the Impact on Volatility Forecasting

    Source: Yaw-Huei Wang, Yun-Yi Wang
    Date Submitted: 10 Feb 2010
    Views: 109
    Downloads: 0
    Given the growing importance of the Taiwan stock market, the present study sets out to provide a comprehensive investigation of the intraday time series of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). We begin by exploring the intraday volatility patterns and then go on to examine their impact on intraday volatility forecasting.
  • Credit Spreads with Jump Risks and Stationary Leverage Ratio

    Source: Hwa-Sung Kim
    Date Submitted: 10 Feb 2010
    Views: 0
    Downloads: 0
    Recent structural models have utilized new factors to enhance their exploratory power over credit spreads. Some studies have shown that jump risks allow us to obtain credit spreads that are more realistic. However, according to the empirical studies on capital structure, another factor that affects credit spreads is the stationary leverage ratio of a firm.
  • Risk Management Lessons from ‘Knock-in Knock-out’ Option Disaster

    Source: Jaeuk Khil, Sangwon Suh
    Date Submitted: 10 Feb 2010
    Views: 0
    Downloads: 0
    Currency knock-in knock-out (KIKO) options had been widely used for hedging exchange rate risks in Korean financial markets. However, as the Korean won moved in an unexpected direction during the global financial crisis period of 2007 and 2008, the hedging instruments incurred huge losses to the option holders. In this paper, we analyze the event from the viewpoint of risk assessment and management.
  • Winner’s Curse in Initial Public Offering Subscriptions with Investors’ Withdrawal Options

    Source: Dennis K. J. Lin, Lanfeng Kao, Anlin Chen
    Date Submitted: 10 Feb 2010
    Views: 0
    Downloads: 0
    Contrary to fixed-priced initial public offering (IPO) subscribers in many other countries, IPO subscribers in Taiwan own the option to withdraw from their IPO allocations after learning the allocation rate ( ALLOC ). Investors’ option to withdraw reduces the information asymmetry between informed investors and uninformed investors but increases the firm-commitment underwriting risk.
  • Performance of Capital Markets in India Since Demonetization

    Source: Ved Malla
    Date Submitted: 15 Dec 2017
    Views: 157
    Downloads: 0
    Wherever the debate on demonetization goes, it’s easy to see that capital markets in India have been on a roll over the past year and have given exponential returns across size, segments, and sectors.
  • Passive Fund Providers Take an Active Approach to Investment Stewardship

    Source: Hortense Bioy, CFA, Alex Bryan, CFA, Jackie Choy, CFA, Jose Garcia-Zarate, Ben Johnson, CFA
    Date Submitted: 11 Dec 2017
    Views: 1253
    Downloads: 8
    As assets continue to flow from actively managed to index-tracking strategies, the largest index asset managers are becoming increasingly influential, often ranking among the largest investors of public companies. Despite this fact, little research has been done to understand how index managers carry out their investment stewardship responsibilities. In this paper, we share our findings and highlight what managers have in common and areas where they differ. We also provide a list of best practices that investors can use to assess how asset managers stack up.
  • Heterogeneity in how algorithmic traders impact institutional trading costs

    Source: Joseph Barbara
    Date Submitted: 10 Dec 2017
    Views: 219
    Downloads: 0
    Technology has fundamentally transformed how trading occurs on financial markets, but not everyone agrees that it is for the better.  Few changes in how securities are traded have ever generated as much debate and disagreement as algorithmic and high-frequency trading (AT and HFT).  On one hand, many academic and regulatory studies find that AT/HFT in aggregate is beneficial (e.g., lowering spreads and improving price discovery) or at worst benign. Yet, at odds with this view, many institutional investors claim that finding liquidity for large orders has become more difficult and their trading costs in contemporary markets are worse than before the technological advancements. 
     
    We reconcile these conflicting views using unique regulatory data for the Australian equities market. We show that behind the aggregate effects of algorithmic and high-frequency trading (AT/HFT) lies rich heterogeneity in the effects of individual traders/algorithms.  We find that the most harmful traders double the costs of executing institutional parent orders.  Beneficial traders offset much of this increase.  HFTs are no more likely to increase institutional trading costs than non-HFTs. We identify other characteristics that distinguish harmful and beneficial traders.  The paper explains why AT/HFT appear detrimental to some investors despite being beneficial or benign in aggregate.

    The paper can be obtained here: https://papers.ssrn.com/sol3/Papers.cfm?abstract_id=2813870

     
  • AFM - Mutual Funds and Affiliated Analyst Recommendations: Optimism or Information Sharing?

    Source: Kyoungwon Mo, Bobae Choi, Doowon Lee
    Date Submitted: 08 Dec 2017
    Views: 95
    Downloads: 1
    We question whether a new dimension of conflicts of interest exists for sell-side analysts due to a business group affiliation between asset management firms (AMFs) and brokerage firms. In family-controlled industrial conglomerates in Korea (chaebol), member firms keep close business ties and engage in mutual cross-debt guarantees with their fellow member firms. Interlocking ownership along with various business ties allows controlling families to exert substantial influences over all member firms of the same chaebol group. This study aims to investigate reporting incentives of affiliated analysts who are employed by a brokerage firm in a business group where the group holds both an AMF and a brokerage firm.
    In the US, mutual fund families have multiple distribution channels for their funds such as direct sales, fund supermarkets, or institutional sales. However, similar to European countries Korean fund management firms are heavily reliant on large banks, insurance companies or brokerage firms for their fund sales. Brokerage firms, therefore, are one of the most important marketing channel for mutual fund managers. In turn, mutual fund managers use brokerage service to trade, which makes them vital clients to brokerage firms. Ideally, fund managers should use brokerage firms which provide the most accurate research reports and the most competitive brokerage fees, while brokerage firms recommend the funds managed by the best performing AMFs. The problem is that the business groups in Korea are allowed to retain substantial ownership in both brokerage firms and AMFs, making those separate independent entities, by law, to be under influence of the same controlling families. This institutional structure restricts the chaebol member firms from following the ideal process in finding their business partners for brokerage services and fund distributions. However, both a brokerage firm and an AMF in the same business group can benefit by closely working with each other. First, brokerage firms can secure a steady stream of commissions from their affiliated AMFs. By commissioning a majority of the transactions to a fellow member firm, the AMF can also prevent their investment strategies from being leaked to other competitors in the market. Secondly, AMFs can secure a well-established distribution channel to promote their mutual funds. Employees in chaebol brokerage firms are also put under pressure to sell affiliated funds.
    In the presence of the group affiliation between a brokerage firm and an AMF, we conjecture two competing reporting incentives of affiliated analysts. On the one hand, to boost performance of affiliated fund management firm, analysts may give more optimistic opinions for affiliated stocks than other stocks. On the other hand, employees in the same chaebol can communicate more frequently via the internal media/portal services and through close business ties and employee movements between member firms. Therefore, affiliated analysts may utilize information advantages through the research pools provided by financial firms within the same chaebol and produce more accurate forecasts.
    By using analyst reports and the mutual fund holding data from July 1, 2000 to February 28, 2008, we calculate relative recommendations and forecast accuracy of affiliated and non-affiliated analysts. Our results show that more accurate and less biased earnings forecasts issued by the affiliated analysts on affiliated stocks, consistent with information sharing. However, affiliated analysts make more optimistic recommendations for affiliated stocks when the funding amounts on those stocks are high, when higher asset management fees are charged on the funds including those stocks and when those stocks are newly included to the affiliated fund.
    Our paper makes the following contributions to the extant literature. First, we investigate potential agency conflicts that analysts face caused by the business group affiliation between brokerage firms and AMFs. Our findings find that analysts become selectively optimistic to benefit affiliated mutual fund managers while maintain their reputation by providing more accurate forecasts for affiliated stocks in general. In addition, our findings contribute to the stream of literature on the investment strategies of mutual fund families. Mutual fund managers in US may face agency conflicts between their clients and mutual fund family that they belong to. The fund families are suspected to organize investment strategies across the member mutual funds to maximize the total group profit. Our study presents a special case where mutual fund managers strategically cooperate with affiliated analysts to maximize the total profits of their affiliated firms. Such tactical collaboration can also be used as window dressing purposes by mutual fund managers as we find the analyst recommendations are biased in favor of highly valuable stocks to affiliated fund managers.
     
  • AFM – The Loud Silence of Suppressed Short-Sale Demand

    Source: Jinjuan Ren, Yinghui Yu
    Date Submitted: 07 Dec 2017
    Views: 42
    Downloads: 2
    Utilizing the special institutional setting in the Chinese securities market, we innovatively propose suppressed short-sale demand as a new measure of short-sale constraint. We employ the revealed short-sale volume of shortable stocks and use a hedonic model to estimate the suppressed short-sale demand for non-shortable stocks. A higher short-sale demand being suppressed indicates a more binding short-sale constraint. Consistent with Miller (1977)’s overvaluation theory, we find that suppressed short-sale demand negatively predicts future returns, and such relation concentrates among firms with poor information environment. Consistent with Diamond and Verrecchia (1987)’s reduced-pricing-efficiency theory, we find that a higher suppressed short-sale demand is associated with a greater price delay and a stronger post-earnings-announcement-drift.
  • Does Value Enhance Quality Investing in China's A-Share Market?

    Source: Liyu Zeng
    Date Submitted: 07 Dec 2017
    Views: 871
    Downloads: 0
    Quality investing has gained attraction in China, as high-quality stocks recorded remarkable performance in the first nine months of 2017.  As a result, the risk of paying too much for high-quality stocks has become a concern.  To address the issue, on Sept. 29, 2017 we launched the S&P China A-Share Quality Value Index, which is designed to measure the performance of the top 100 high-quality stocks with reasonable valuation, (see Exhibit 1).
  • The Value of Institutional Brokerage Relationships: Evidence From The Collapse of Lehman Brothers

    Source: Jianfeng Shen, Jerry T. Parwada, Kok Keng Siaw, Eric K.M. Tan
    Date Submitted: 06 Dec 2017
    Views: 130
    Downloads: 19
    Using the sudden collapse of Lehman Brothers as a natural experiment, we examine whether mutual funds derive value from their institutional brokerage relationships. We find the impact of a damaged institutional brokerage relationship is greatest among mutual fund clients with concentrated brokerage networks and funds that specialize in small-cap stocks. Based on a difference-in-difference analysis, we find a drop in monthly fund alphas ranging from 34.2 and 70.9 basis points per month in risk-adjusted returns arising from a weakening brokerage relationship. Collectively, our results support the view that mutual funds significantly leverage their relationship capital with brokers.
  • Does Factor Investing Deserve More Attention in Hong Kong?

    Source: Priscilla Luk
    Date Submitted: 06 Dec 2017
    Views: 908
    Downloads: 0
    In the Asia Pacific region, factor-based ETPs only accounted for 4.3% of regional ETP assets. The adoption of factor-based products by market participants in the Hong Kong market has been far behind other Asian markets such as Australia and Japan.
  • AFM - Fund Flows, Slow-Moving Liquidity Provision, and Common Factors in Stock Returns

    Source: Jiacui Li
    Date Submitted: 05 Dec 2017
    Views: 96
    Downloads: 1
    Application for the "CFA Institute Asia-Pacific Capital Markets Research Award”
  • 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: 1428
    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)
     
     
  • Does Factor Investing Deserve More Attention in Hong Kong?

    Source: Priscilla Luk
    Date Submitted: 27 Nov 2017
    Views: 108
    Downloads: 0
    The adoption of factor-based products by market participants in the Hong Kong market has been far behind other Asian markets such as Australia and Japan.
  • AFM - Implications of Buy-Side Analyst Participation in Public Earnings Conference Calls

    Source: Andy Call, Nate Sharp, Tom Shohfi
    Date Submitted: 26 Nov 2017
    Views: 105
    Downloads: 2
    The Q&A session of public earnings conference calls represents a unique opportunity for stakeholders to interact with senior management. We examine buy-side analysts’ participation on these calls and the associated capital-market implications. Using 81,000 transcripts for 3,300 companies from 2007 to 2016, we find that buy-side analysts ask questions on approximately 18% of calls. Management prioritizes buy-side analysts, but discriminates against analysts from hedge funds when short interest is high. Relative to sell-side analysts, buy-side analysts’ interactions with management are shorter and less favorable. Buy-side appearances are also associated with increases in information asymmetry and reductions in sell-side activity.
  • Clear Path Analysis Report: Sustainable smart beta investing for institutional investors

    Source: FTSE Russell, Jeremy Randall, David Underwood, Paul R. T. Johnson Jr, Meryam Omi, Tony Campos, David Harris, Koen Van de Maele, Chris Varco, Robert Whitelaw, Kenneth St. Amand II
    Date Submitted: 16 Nov 2017
    Views: 403
    Downloads: 6
    Recently, a major shift has been observed among asset owners who once took a “tokenistic” approach toward environmental, social and governance (ESG) and are now looking to integrate it into core investment strategies. The pensions industry considers ESG themes, including the transition to a green economy, as an integrated part of their investment philosophy and processes. Asset owners, including defined benefit schemes, are citing ESG risks as central to their fiduciary responsibility. FTSE Russell recently surveyed 200 asset owners globally and asked what their strongest motive was for incorporating ESG considerations into their investment decisions.
  • Passive Aggressive: Is ESG integration into passive becoming the new norm?

    Source: FTSE Russell
    Date Submitted: 16 Nov 2017
    Views: 907
    Downloads: 6
    The world of index-based investing is in flux as ESG integration into passive is on course to become the norm for new mandates. In the last year there has been a quiet revolution taking place as asset owners have been moving to integrate ESG into index designs for new mandates on core passive portfolios.
  • S&P/JPX JGB VIX® 指数アップデート 2017 年 10 月

    Source: S&P Dow Jones Indices, Applied Academics
    Date Submitted: 16 Nov 2017
    Views: 214
    Downloads: 2
    選挙結果を受けてJGB VIX 指数は下落
  • S&P/JPX JGB VIX® Update October 2017

    Source: S&P Dow Jones Indices, Applied Academics
    Date Submitted: 16 Nov 2017
    Views: 102
    Downloads: 1
    JGB VIX Drops After Election Results
  • Different Faces of Understanding S&P BSE Sensex using valuation measures

    Source: Apoorva Ramani
    Date Submitted: 13 Nov 2017
    Views: 227
    Downloads: 15
    In India, investors often use to the BSE Sensex index to keep a track of market valuations. Most investors interpret the movement of Sensex in different ways using valuation measures. Price to earnings (P/E) and Price to book value (P/B) ratios are predominantly used to analyse the Sensex movement. When these ratios are used they in fact convey different stories about S&P BSE Sensex. These ratios help the investor to understand whether the market is undervalued or overvalued. The price to earnings ratio is calculated by taking the ratio of Market price of the stock to its Earnings per share (EPS). A high price to earnings ratio indicate that the investors are expecting high earnings growth in the future when compared to low P/E. The price to book value ratio is used to compare a stocks market value to book value. A low P/B ratio could indicate that the market/stock is undervalued. The growth of the equity market in India has been phenomenal in the present decade. Right from early nineties, the stock market witnessed heightened activity in terms of various bull and bear runs. One can identify and understand all the booms and busts of the equity market from the Sensex market. It has indeed emerged itself as one of the most prominent brands in the country.         
     
  • How much of your alpha do you pay away to your hedge fund manager?

    Source: Tanuj Khosla, CFA, CAIA, MBA
    Date Submitted: 09 Nov 2017
    Views: 1267
    Downloads: 58
    The construction of hedge fund portfolios by institutional investors around the world has been a combination of both science and art over the years. While some use a strict quantitative methodology like Risk Budgeting and/or Sharpe Parity along with a correlation matrix among different hedge fund strategies to create a portfolio, others use more ambiguous, discretionary and qualitative factors like the in-house view on an asset class or geography (or both) to do so.

    Either way a vast majority of institutional investors have been overpaying for beta that has been masked as alpha by the hedge fund manager or worse, paying for non-performance.

    In this paper, we attempt to come up with a metric that helps investors keep track of how much alpha they are giving away to the hedge fund manager, both for an individual hedge fund as well as for their entire portfolio.
  • Do Investors Benefit from DCA?  Evidence from the Stock Exchange of Thailand

    Source: Kanin Anantanasuwong, Sirithida Chaivisuttankgun
    Date Submitted: 07 Nov 2017
    Views: 569
    Downloads: 12
     
                  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.
  • A股选股模型从2.0到3.0的实践

    Source: Stanley Ouyang,CFA
    Date Submitted: 02 Nov 2017
    Views: 192
    Downloads: 8
    在2017年10月18日由CFA中国上海主办的量化金融分会中,来自国金证券资产管理分公司联席投资总监Stanley Ouyang,CFA 与现场观众分享了“A股选股模型从2.0到3.0的实践”的主题演讲。

    Stanley Ouyang,CFA结合2017年当下的投资风格和策略,认为A股的选股模型正从 2.0 走到3.0 ,他预计到2018年,将会增加更丰富的数据模型与技术,“新数据将会有200+因子库,会增加聪明一致预期因子、新数据源构造的因子;而新模型中会增加预期收益方法增加随机森林,CART等非线性模型;新技术中可能会诞生新的机器学习方法选择因子、构造权重的技术”。
  • 全球对冲基金发展的新趋势

    Source: 郭涛, CFA,CFA中国上海首席代表
    Date Submitted: 02 Nov 2017
    Views: 476
    Downloads: 22
    由CFA中国上海参与协办的资本市场交流盛会 “2017第四届中国北外滩对冲基金峰会”于10月27日在上海北外滩隆重举行。CFA中国上海首席代表郭涛,CFA在分论坛四“港股与量化市场的投资与发展机会”中,就“全球对冲基金发展的新趋势”发表了自己的见解。

    郭涛,CFA表示,全球对冲基金总资产规模近3.1万亿美元,从数量来讲的话,实际上是出现萎缩的,但是包括量化ETF和量化对冲基金,他们加起来管1.5万亿美金。未来金融科技在资产管理领域里的应用会以量化为主,量化smart beta策略的ETF将会有大的发展。

    在该主题演讲中,郭涛,CFA分别就以下几点做了分享:
    全球对冲基金行业概览
    对冲基金还能收2-20么?
    一个千亿美金对冲基金的终极思考
    Smart Beta崛起
    量化VS基本面?
    明星基金经理模式还有未来么?
    Long short VS Long cash ?
  • 价值投资理念在A股的可行性-质优股量化投资

    Source: 朱剑涛,东方证券首席金融工程分析师
    Date Submitted: 02 Nov 2017
    Views: 131
    Downloads: 2
            在2017年10月18日由CFA中国上海主办的量化金融分会中,来自东方证券首席金融工程分析师朱剑涛先生在主题为“A股金融工程卖方学术研究漫谈”的圆桌论坛中分享了其对“价值投资理念在A股的可行性-质优股量化投资”的研究。
            什么是价值投资呢?说法不一样,巴菲特89年致股东的信里有一个说法,你以合理价格买一个好公司,远比高价格买一般公司要强,这句话是两个层面,一个是公司的质量,二是估值。
            朱剑涛先生分别从对价值投资与质优股投资、质量因子的定义、合成大类因子表现、质量因子稳定性、市场对质量因子的BP估值定价几个方面的研究,得出以下结论:
    1.上市公司的质量可以从盈利、成长、财务稳健、公司质量四个维度衡量,大部分时间内优质股在估值和股价上相对劣质股都有溢价;
    2.优质股+合理估值的价值投资方式在A股收益颇丰,可结合投机因子做增强,适合长线大型机构投资者;
    3.质量因子可用于主动量化和Smart Beta 产品设计。
  • 周期三因子模型及资产配置

    Source: 林晓明,华泰证券首席金融工程分析师
    Date Submitted: 02 Nov 2017
    Views: 138
    Downloads: 2
    在2017年10月18日由CFA中国上海主办的量化金融分会中,来自华泰证券首席金融工程分析师林晓明先生在主题为“A股金融工程卖方学术研究漫谈”的圆桌论坛中分享了其对“周期三因子模型及资产配置”的研究。
     
    林晓明先生主要分享的是其团队在过去一年中关于整个市场周期的研究。这个研究讲的是,如果想做一个自上而下的研究,能不能找到一个框架,把所有相关的宏观变量和资产价格拉到一个统一的框架里面进行建模。

    林晓明先后从对全球/中国市场的周期三因子回测、股市与宏观经济关系、全球股票市场周期、统一周期假设、空间谱估计-2、中国和全球市场共同周期的实证检验、周期三因子资 产定价方程这几个方面阐述了他的观点。
  • 人工智能风口下的量化投资

    Source: 任瞳,兴业证券研究所,总经理助理、首席定量分析师、定量研究团队负责人
    Date Submitted: 01 Nov 2017
    Views: 280
    Downloads: 8
            在2017年0月18日由CFA中国上海主办的量化金融分会中,来自兴业证券研究所总经理助理、首席定量分析师、定量研究团队负责人任瞳先生在主题为“A股金融工程卖方学术研究漫谈”的圆桌论坛中分享了其对“人工智能时代的大数据投资”的研究。
            任瞳先生首先从人工智能与量化投资的关系、人工智能维度下量化投资的部分成果、人工智能在量化投资领域应用前景几个方面阐述了两者之间的紧密联系。
            随后,任瞳先生重点介绍了其团队针对雪球网在大数据方面进行的研究。根据雪球网的用户大概有三种行为:讨论(用户的发帖行为)、 交易(用户的关注行为)、 调仓(投资组合调整行为) ,总共构建了三个选股因子,分别是关注度因子、价值变动因子和负面情绪因子。其团队根据这三个因子分别构建了一些投资策略(见PPT),证实因子还是非常有效的,包括负面情绪因子如果跟反转因子如果结合起来的话,效应会更强。
            最后,任瞳先生提到了机器学习,其团队是比较早开始相关研究的。首先第一步是做了很多常见算法跟多因子模型的结合,即在常见的机器学习的算法和多因子体系结合的情况。机器学习为量化投资提供了新的工具,初步研究结果显示相比传统方法其更灵活效果更好,应用前景十分广阔,但同时须对过度数据挖掘等问题保持警惕。 
  • Practitioner's Brief: Friction Key to Exploiting Stock Market Inefficiencies

    Source: Söhnke M. Bartram, Mark Grinblatt
    Date Submitted: 29 Oct 2017
    Views: 2630
    Downloads: 0
    WHAT IS THE INVESTMENT ISSUE?
    The paper is one of a handful that seeks to address why some markets are less efficient than others. Although it is conventional wisdom, this premise is not universally accepted.

    Some academic research papers support the concept that developed markets are no more efficient than emerging markets. Authors Bartram and Grinblatt dispute this. Others have argued that investors rely too heavily on Fama’s Efficient Market Hypothesis (EMH)—that is, that stocks always trade at their fair value—rendering any effort to profit from mispriced stocks an exercise in futility.

    On the one hand, the authors ask, if no one can ever profit from active management, then what magical force exists to drive prices to fair value? They argue that a passive investor will buy the index fund, whatever the prices of its component parts. Active managers, who have performed relatively poorly of late, may well have another cycle to show off their talents—and so will want to take note of where and when mispricings and market inefficiencies cross paths.

    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    Bartram, of the University of Warwick, and Grinblatt, of UCLA, began their work by going through a database of company financials that went back more than two decades to capture all the information about the companies that would have been known at the time.

    They constructed a robust set of synthetic portfolios—nearly 26,000 stocks from three dozen countries—to theoretically trade on mispriced companies, with a few unique layers of variables to provide reality checks. Trading signals, suggesting a clearly identifiable deviation of a stock’s price relative to its estimated fair value, were built using international point-in-time accounting data covering 21 company-specific metrics. Trading activity was replicated with transaction cost data from Elkins McSherry, the gold standard for tracking such expenses.

    Transaction cost data included explicit commissions and fees as well as harder-to-quantify market impact costs. These costs were converted to alpha reductions using portfolio-turnover approximations, that is, two-way turnover.

    WHAT ARE THE FINDINGS?
    The results of running the mispricing replicating portfolios (and incorporating simulated buy/ sell executions) were definitive: Emerging and certain developed Asian markets were shown to be relatively less efficient in countries with quantifiable market frictions—particularly trading costs—that deter arbitrageurs. “If profits to trading strategies based on mispricing estimates are a measure of market inefficiency, then profits should vary across countries as a function of transaction costs, short sales restrictions, and other country characteristics that might influence limits to arbitrage, thereby impeding the process that makes a country’s stock prices reflect fair value.”

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    In regions where markets are most efficient, Bartram and Grinblatt caution that investors need to be aware of the costs of active management, noting that it is unlikely the fees associated with active management will outweigh its value. A caveat here, though, is that the data studied were annual accounting data. Conceivably, some improvement in the alpha may be generated by the strategy, even in the most efficient global markets, when using quarterly data. And there’s a catch as well: The least efficient markets, where the alpha opportunities may be the largest, can easily be eroded by those frictions—in other words, super-sophisticated investors are steering clear for good reason.
     
  • 亚太地区多重资产投资: 一个实践者框架

    Source: Prany Gupta, CFA
    Date Submitted: 24 Oct 2017
    Views: 278
    Downloads: 13
            为投资者提供他们实际想要的--绝对收益,投资界需要改变结构。这个变革的重点在于资产配置而不是选股。风险偏好和主动策略的定义需要修改,并且重点强调针对风险敞口管理配置。
  • September Splits Commodities, Led by Strong Energy

    Source: Jodie Gunzberg, CFA
    Date Submitted: 03 Oct 2017
    Views: 518
    Downloads: 0
    The energy fundamentals, helped by Hurricane Harvey, are now in place for solid rebalancing and for potentially continued strong performance. Metals have reflected bullish sentiment but have recently been hindered by Chinese growth and credit concerns. Agriculture has been well oversupplied on better than expected weather and from improving farming technologies.
  • 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: 886
    Downloads: 10
    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: 898
    Downloads: 66
    Academic Research Paper
  • Chinese Growth Concerns Weigh Heavy on Metals

    Source: Jodie Gunzberg, CFA
    Date Submitted: 18 Sep 2017
    Views: 187
    Downloads: 0
    Industrial metals hit multi-year highs last month with the S&P GSCI Industrial Metals Index up off its bottom nearly 60%.  This was mainly due to strong Chinese demand growth and a falling US dollar.  While the dollar has continued its fall in September, there is some concern over slowing growth in China. 
  • How Are Institutional Investors Using ETFs in Asia?

    Source: John Davies, Managing Director, Global Head of Exchange Traded Products
    Date Submitted: 15 Sep 2017
    Views: 1656
    Downloads: 73

    Although selecting ETFs can be challenging due the wide variety of products, they can be used as tactical and strategic tools for asset allocation. Market participants have recently been moving funds from underperforming products into more cost-effective ETFs. The sweet spot appears to be the intersection between active and passive smart beta products.

  • Cinematic Journey of Southeast Asia's Venture Ecosystem

    Source: Victor Chua Kok Hoe (https://www.linkedin.com/in/victor4chua/)
    Date Submitted: 07 Sep 2017
    Views: 1333
    Downloads: 37
    Southeast Asia's venture investing scene is booming, but not without its long history and influence by other regions in Asia. We are seeing a rush of investors from North Asia coming down to Southeast Asia, pushing the ecosystem to a more mature state and enhancing exit opportunities.
  • Metals Never Had An August This Hot

    Source: Jodie Gunzberg, CFA
    Date Submitted: 05 Sep 2017
    Views: 199
    Downloads: 0
    In August, the Dow Jones Commodity Index Total Return gained 0.7%, reducing its year-to-date loss to -1.4%, and the S&P GSCI Total Return lost 0.8%, increasing its year-to-date loss to -6.9%.  Industrial metals and precious metals were the only positive sectors, up 8.6% and 4.0%, respectively, while agriculture was the worst performing sector, losing 7.4%, posting its worst month since July 2015.  
  • Investment Opportunity in Cash Rich Japanese Equity 3: Stronger Support in Japan for Activist Funds Demanding Increase in Shareholder Returns

    Source: Kei Yamaguchi, MM Capital Investments
    Date Submitted: 03 Sep 2017
    Views: 907
    Downloads: 28
    Japanese regional banks have been suffering from the severe business environment and financial conditions since the 2008 Lehman Crisis. This situation has worsened since the Bank of Japan introduced negative interest rates in 2016.

    On the other hand, Japanese corporations still have not paid sufficient dividends to its shareholders. The dividend payout relative to net profit (Payout Ratio) and capital (DOE) are half or less of leading global markets.

    Shareholder proposals for an increased dividend payout of Japanese corporations are more supportive by large investors including banks in Japan. Another tail wind is the Japanese “Stewardship Code” which seeks for stronger corporate governance and deeper dialogues between corporations and shareholders
  • The Role of Real Assets in Portfolio Construction

    Source: Jodie Gunzberg
    Date Submitted: 03 Sep 2017
    Views: 1067
    Downloads: 0
    How can real asset combinations contribute to inflation protection, diversification, and volatility reduction when used as portfolio building blocks? S&P DJI’s Jodie Gunzberg takes a closer look at the characteristics influencing the growing global appetite for real assets.

    Video interview with Jodie Gunzberg, CFA at the link below:
    http://www.spdji.com/multimedia-center/the-role-of-real-assets-in-portfolio-construction
  • Harnessing China's Economic Growth

    Source: Vincent Chen
    Date Submitted: 03 Sep 2017
    Views: 234
    Downloads: 0
    ICBC Credit Suisse Vincent Chen, CFA discusses the key growth drivers for China and how the liberalization of China’s capital market impacts global asset allocation.
    Video interview with S&P DJI at the link below:


    http://www.spdji.com/multimedia-center/harnessing-china-s-economic-growth

     
  • Is Kuala Lumpur Kepong Berhad The Best Palm Oil Company To Own?

    Source: Stanley Lim
    Date Submitted: 02 Sep 2017
    Views: 59
    Downloads: 2
    Is Kuala Lumpur Kepong Berhad The Best Palm Oil Company To Own?
  • Prevent Valuation Mistake #1: Building Up too Much Cash

    Source: Dr. Andrew Stotz, CFA
    Date Submitted: 31 Aug 2017
    Views: 4685
    Downloads: 0
    In this research, I aggregate the financial statements of more than 17,000 companies across the world to then calculate the amount of cash that is held on the balance sheet of various countries across the world. From this, I then look at current cash levels at all markets across Asia, from Developed to Frontier.
    The benefit of this research is that it can help us to better forecast the balance sheets of companies in Asia. This is especially critical for free cash flow valuation.
  • Mergers and acquisitions: how do you view their underlying substance?

    Source: Hong Kong Institute of Certified Public Accountants
    Date Submitted: 30 Aug 2017
    Views: 2779
    Downloads: 74
    Are you a shareholder or analyst with an interest in mergers and acquisitions? 
    The accounting standard-setters need your expertise. 

    We are aware that M&As are common and can take the form of group restructurings or third party acquisitions. There is usually no question that there is underlying substance to acquisitions with third parties - the transaction price typically represents the fair market value of the acquired business. But M&As within a group might arguably be different.

    The findings of this M&A survey will be published and will help us consider whether all M&As should be accounted and reported in the same way. 

    To participate, click on this link: http://survey.hkicpa.org.hk/index.php?sid=57118&lang=en, or download and email us the attached survey: outreachhk@hkicpa.org.hk
  • AAM-CAMRI-CFA Institute Prize - Interfund Lending in Mutual Fund Families: Role in Liquidity Management      

    Source: Vikas Agarwal, Haibei Zhao
    Date Submitted: 29 Aug 2017
    Views: 129
    Downloads: 0
    Paper Submission for AAM-CAMRI-CFA Institute Prize in Asset Management
     
  • Chinese Demand Growth Lifts Every Commodity

    Source: Jodie Gunzberg, CFA
    Date Submitted: 21 Aug 2017
    Views: 1091
    Downloads: 0
    In this article, the impact of Chinese demand growth changes on overall commodities, sectors and individual commodities is examined, using year-over-year data from 1970.
  • Heterogeneity Effects on the Management of Retirement Fund

    Source: Thepdanai Danswasvong, Sira Suchintabandid
    Date Submitted: 07 Aug 2017
    Views: 205
    Downloads: 6
    ​This paper studies the importance of plan members’ heterogeneity to the management of defined benefit (DB) pension fund. We propose a new multi-member model of DB pension fund that allows for heterogeneity in plan members’ retirement ages, salary growths, and other characteristics.
  • Value at Risk and Expected Shortfall Estimation for China Securities Market

    Source: Yam-wing SIU
    Date Submitted: 07 Aug 2017
    Views: 513
    Downloads: 12
    Financial system stability matters for economic growth.  Instability generates adverse effects on the economy because of their spilled over effects as observed in the recent financial crisis.  Many US and European banks required governments capital injections to stay afloat.  In January 2016, Basel Committee on Banking and Supervision of Bank for International Settlements issued a new revised market risk framework – “Minimum capital requirements for market risk”.  One of the features of the revised framework is a shift to an expected shortfall measure of risk under stress.  In this paper, we performed both value-at-risk and expected shortfall estimations for US and China securities markets.  While we use S&P 500 index, SPX, for US market, we use the time series of iShares China Large-Cap ETF, FXI, as a proxy for the broad market indicator of China securities market.  It is because there is a corresponding volatility index, VXFXI, for this Large-Cap ETF.  In this study, efforts have been made to turn volatility index into a risk management tools in the context of value-at-risk and expected shortfall.  It is found that it would be inappropriate to simply scale up the 1-day volatility by multiplying the square root of time (or the number of days) ahead to determine the risk over a longer horizon of i days.  Instead, empirical constants that are used to multiply the levels of volatility indexes, VIX and VXFXI, for estimating value-at-risk and expected shortfall of various significance levels for 1 to 22 days ahead for SPX and FXI have been statistically determined using 16 years and 4.75 years of daily data respectively.  Results show that the shift to expected shortfall approach with significance level of 2.5% yields an unexpected impact on regulatory capital requirements from the value-at-risk approach with significance level of 1%.
  • Manager Selection - Mandarin

    Source: Scott Stewart
    Date Submitted: 02 Aug 2017
    Views: 1021
    Downloads: 11

    Manager selection is a critical step in implementing any investment program. Investors hire portfolio managers to act as their agents, and portfolio managers are then expected to perform to the best of their abilities and in the investors’ best interests. Investors must practice due diligence when selecting portfolio managers. They need to not only identify skillful managers, but also determine the appropriate weights to assign to those managers. This book is designed to help investors improve their ability to select managers. Achieving this goal includes reviewing techniques for hiring active, indexed, and alternative managers; highlighting strategies for setting portfolio manager weights and monitoring current managers; and considering the value of quantitative and qualitative methods for successful manager selection.

    Translated into Mandarin June 2017.

  • Energy Posts Its Best July Since 2004

    Source: Jodie Gunzberg, CFA
    Date Submitted: 01 Aug 2017
    Views: 1083
    Downloads: 0
    The S&P GSCI Energy Total Return gained 8.1% in July, the most for a July in 13 years, led by petroleum that was up 9.2%.  Finally the fundamentals may be showing the oil market is starting to rebalance with the rest of the commodities. 
  • RMBI Newsletter Issue 13 (Financial Crime Risk: Anti-Money Laundering and The Rise of Text Mining in Financial Markets)

    Source: Tsang Chiu Yu, Derek, Wong Ching Ip, Venice, Chiu Hok He, Angus, Li Chin Wa, Chin
    Date Submitted: 26 Jul 2017
    Views: 628
    Downloads: 0
    In the latest issue (Issue 13 – August 2017), it covers the stories of:
     
    Financial Crime Risk : Anti-Money Laundering Practices in Banking
    To understand anti-money laundering, we have to understand what money laundering is. Money Laundering is the process of converting illegal funds into seemingly legitimate assets with the purpose of concealing the ownership or original source of these funds. This makes it difficult for the authorities to trace the origins of the funds. To counter this, the banking sector has established a set of internal regulations and system known as anti-money laundering. These are legal controls taken by financial institutions to investigate suspicious transactions to help prevent money laundering activities within the banking sector.
     
    The Rise of Text Mining in Financial Markets
    The world is awash in data. Financial markets are awash in data. We are generating around 2.5 quintillion (2.5×1018) bytes of information every day, and there is an average of 4,000 brokerage reports a day comprising around 36,000 pages in 53 languages. As market participants try to maximize their competitive edge from the growing mountain of information, the nancial world increasingly feels there is a need to harness the power of big data and it has been shaping the way they acquire, analyze and utilize data. The recent development is the rapid expansion of text mining. Hence, this article will focus on the development of Text Mining technology as well as Text Mining technique.
  • 温氏投资逻辑

    Source: 杨杰
    Date Submitted: 25 Jul 2017
    Views: 229
    Downloads: 9

    温氏17-21年,预计五年生猪活鸡累计净利润785.79亿,平均每年157.158亿。温氏集团当前股本52.20亿股(市值1034.67亿)。1只考虑这两项业务情况下,7-21年,每股净利润(EPS)分别为:1.18元,2.47元,3.6元,3.83元,3.98元。

    当前10年期国债收益率3.6%附近,2倍于10年期收益率,要求投资收益率等于7.2%。也即E/P=7.2% P/E=13.89。按照13.89P/E17-21年末的期望价格为,16元,34元,50元,53.2 元,55.2 元。考虑到当前的价格为19.82,当前买入持有该标的,到17-21年,每年末期对应的理论收益为:-17%73%152%168%179%。考虑到一定的交易策略,未来2-3年的时间,投资温氏股份,可以实现200%的收益率。再考虑到温氏集团作为大公司,市场系统性风险Beta低,而高市值对应的流动性很强。因此,投资温氏集团在接下来2-3年可以获得,低风险下的200%收益。

  • Looking Beyond Traditional Benchmarks to Add Value in Emerging Markets

    Source: Michael Orzano, CFA, John Welling
    Date Submitted: 24 Jul 2017
    Views: 517
    Downloads: 10
    As emerging markets have grown in size and importance, emerging market equities have become a core part of many portfolio allocations. In addition, the increased diversity and liquidity of emerging equity markets have made strategies commonly used to manage developed market portfolios (such as tactical allocations across regions and size segments) much more accessible to emerging market investors.
    Despite these trends, the use of more complex asset allocation strategies within emerging market equities remains quite limited, as the vast majority of market participants continue to gain exposure to this asset class either via index-linked products that track traditional benchmarks or through active managers with mandates closely tied to those benchmarks. While accessing emerging markets through a single holding linked to a conventional benchmark can be an effective, low-cost way to obtain unbiased exposure to this asset class, evidence indicates that using a more discerning approach to managing emerging market portfolios may potentially add value in the same ways it can in the U.S. and other developed markets.
  • An Open Discussion on Current Market Situation

    Source: CFA Society Pakistan
    Date Submitted: 19 Jul 2017
    Views: 873
    Downloads: 0
    The Pakistan stock market has witnessed considerable turmoil in the past few weeks falling from a high of 52,876 in May to around 44,300 lately.  There have been various positive and negative factors at play – from inclusion in the MSCI Emerging Market Index followed by selling from investors coupled with political uncertainty exacerbating concerns on foreign exchange and economy.
                           
    Accordingly, CFA Society Pakistan has held a series of candid panel discussions with CEOs and CIOs of leading asset management companies and brokerage houses to understand what happened and what to expect going forward.
     
    You can view the panel discussions as given below and feel free to pass on to your colleagues, friends and family.
    -          Part 1: Sajjad Anwar, CFA,CIO NBP Fullerton Asset Management, Mohammad Sohail, CEO, Topline Securities, Muhammad Asad, CIO, Al Meezan Investment Management

    -          Part 2: Syed Suleman Akhtar, CFA, CIO, UBL Fund Managers, Mustafa O Pasha, CFA, CIO, Lakson Investments, Muhammad Asim, CFA, CIO, MCB Arif Habib Savings & Investments.

    -          Part 3: Raza Jafri, CFA, Director Research, Intermarket Securities, Muhammad Fawad Khan, Director Research, BMA Capital, Shamoon Tariq, CFA, Partner and Vice CIO, Tundra Fonder AB.
  • Corporate Governance for Asian Publicly Listed Family-Controlled Firms - Executive Summary

    Source: Tony Tan, DBA, CFA, Fianna Jurdant
    Date Submitted: 18 Jul 2017
    Views: 3277
    Downloads: 0
    EXECUTIVE SUMMARY
    Good corporate governance is increasingly considered one of the prime drivers of business success. Through transparency, equitable treatment of all shareholders, and a robust system of sound practices and procedures, good corporate governance can enhance performance and growth, both in the individual firm and at the national level.

    A solid corporate governance framework is particularly important for family firms, which face unique challenges as they balance the advantages and disadvantages of family involvement in the business.

    Based on an analysis of 56 family-controlled listed companies in 14 jurisdictions,* the CFA Institute report, Corporate Governance for Asian Publicly Listed Family-Controlled Firms, identifies opportunities to enhance corporate governance structures for family firms in the region. The report reveals how effective corporate governance can help these companies—and the regions in which they operate—continue to achieve economic success.

    FAMILY FIRMS AS THE DRIVERS OF ASIA’S FUTURE GROWTH
    Over the last few decades, Asian family firms have played a pivotal role in fueling the region’s economic growth, and their influence will continue to rise. By 2025, the number of firms in Asia with revenue exceeding USD1 billion is expected to be nearly equivalent to that in developed economies globally. Family firms will represent 75% to 80% of those entities.
    However, the growth of Asian economies in recent decades has been largely propelled by low labor and production costs. As the performance of Asian economies begins to mirror that of developed economies, their future capacity for growth will not be sustainable if they are competing on cost alone. To remain competitive, Asian family firms must innovate, expand outside of traditional markets, and professionalize, which will necessitate the tapping of global talent and capital. This will put pressure on these firms to have a corporate governance structure in place that can meet international standards and investor expectations.

    CHALLENGES FOR ASIA’S FAMILY FIRMS
    Challenges of Internationalization
    Between 2000 and 2010, the total market capitalization of Asian family firms grew significantly. A major driving force behind this was an entrepreneurial desire among Asian family firms to use capital market funding to expand in new markets, with the number of listed family firms increasing 62%. As more family firms use capital markets to fund their internationalization plans, they will face the challenge of developing sound corporate governance frameworks that meet the needs of the heightened regulatory environment and the scrutiny that comes with being listed.

    Challenges of Professionalization
    Although Asian family firms prefer to pursue family-management succession plans, many recognize the need to capitalize on external talent to meet future business pressures. Efforts to professionalize a family firm, however, may be double-edged.

    On the one hand, professionalization might boost a firm’s effectiveness. On the other hand, professionalization might give rise to additional agency costs, such as the need to offer incentives to align the interests of professional management with those of family members. If a family firm is to realize the benefits of bringing in external talent, then that incoming management will need the freedom to do the job for which they were hired. Defining an optimal equilibrium between family culture and external professionalism is therefore imperative to facilitate future value creation without incurring greater expenses.

    Challenges of Dispersed Ownership
    The average percentage of family ownership of large-size family firms in Asia is substantially lower than that seen in their European and North American counterparts. This implies increased ownership diversity, which can result in two major issues. First, with a widely dispersed minority ownership structure, the entity is potentially exposed to greater majority/minority owner conflicts. Second, Asian family owners who wish to expand their businesses while still retaining control may rely more on creditors than on further equity dilution. This could potentially lead to greater shareholder/creditor conflicts. Family firms should develop corporate governance policies to address these concerns.

    WHERE CORPORATE GOVERNANCE CAN PLAY ITS PART
    Research is inconclusive on whether the family-firm construct enhances or diminishes corporate governance practices. In theory, the long-term horizon and closer alignment of principal-agency interest in family firms should improve corporate governance. However, those same features could prove problematic by increasing risk, whether as a result of a lack of transparency, entrenchment, or wealth expropriation from minority owners.

    A solid corporate governance framework is essential for family firms to effectively balance the advantages and disadvantages of family involvement in the business. Combining governance, management, and ownership in the hands of family can bring benefits, but this centralized decision-making structure inevitably brings risks. Sound corporate governance practices can help family firms include different perspectives on their boards, which can mitigate risks. Moreover, such practices can help family firms balance the interest of different stakeholders, a task essential to the long-term sustainability of these entities. As well, sound corporate governance practices can help family firms reduce their cost of capital and reduce capital waste, making them more attractive investment targets and more competitive entities.

    THE WAY FORWARD
    The complex challenges facing publicly listed family firms in Asia are influencing the underlying corporate governance frameworks of those firms. Through a holistic understanding of corporate governance features supporting firm performance and value across the region, these firms will be better able to address the difficulties they face and to thrive in the future. The development of policy recommendations that assist in enhancing the corporate governance practices of Asian publicly listed family firms will also increase protection for minority owners from wealth expropriation by the majority, controlling family owners.

    Learn more about how corporate governance can impact family firm value and success at www.cfapubs.org/toc/ccb/2017/2017/1.
     
  • Investment Opportunity in Cash Rich Japanese Equity: Rising Opportunities in the Land of the Rising Sun

    Source: Masashi Murata, Kei Yamaguchi
    Date Submitted: 13 Jul 2017
    Views: 368
    Downloads: 31
    As a result of the “Abenomics” reform, listed Japanese corporations are steadily
    accumulating wealth in the form of cash and other liquid assets since 2013.

    The share price of these cash rich corporations remains undervalued. Nearly half
    of the listed companies in Japan have a PBR of less than 1.0. These undervalued
    corporations have a large potential for a hike in share price.

    In June 2017, the PBR of JASDAQ Japan listed Solekia (9867) soared from 0.3 to
    1.2 in less than six months. The new “Stewardship Code” introduced in 2014 forces
    stronger corporate governance in Japan. Since 2014, there have been significantly
    stronger shareholder dialogues thus expanding investment opportunities.
  • The Economic Reality of Non-Cash Charges

    Source: Gaurang S. Trivedi
    Date Submitted: 13 Jul 2017
    Views: 293
    Downloads: 17
    Statutory statements prepared for reporting purposes are a combination of accounting rules formulated to characterize the accrual process, management estimates based on past experience applied to projected events, and managerial judgment that is subject to cost-benefit rationale. The net earnings per share number, which in the ultimate analysis increases shareholders’ equity, is mostly neglected in management discussions and analysis. A majority of the managerial analysis is concentrated on alternative numbers arrived at by massaging the earnings information. The ensuing treatise is an endeavor to reconnect the economic implications of the accounting for depreciation, goodwill amortization/impairment charges (universally assumed to be non-cash charges), as well as other one-time charges, that are being neglected by most investors when analyzing manipulated pro-forma earnings reports from corporate managements. Since earnings comprise an integral part of expected returns, a sound knowledge of accounting theory and concepts is essential for conducting insightful financial analysis. The purpose of this research is to generate a healthy debate amongst accounting, finance, and other professionals who are consumers of company information to evaluate the efficacy of reported financial statements, management discussion and analysis that accompanies them, and current valuation methodologies practiced. Contrary to popular notions, if cognitive biases are removed, one may find that accounting earnings do mirror economic reality.
  • Title: A Resolution to the Problem of Multiple IRR: A Modified Capital Amortization Schedule (MCAS) Method for Non-Normal Cash flow (NNCF) to Obtain a Unique IRR (July 11, 2017).

    Source: Kannapiran C. Arjunan
    Date Submitted: 12 Jul 2017
    Views: 164
    Downloads: 1

    Title: A Resolution to the Problem of Multiple IRR: A Modified Capital Amortization Schedule (MCAS) Method for Non-Normal Cash flow (NNCF) to Obtain a Unique IRR 

     

     
    The problem of multiple IRR remained unresolved for almost a century. This problem is associated only with some of the non-normal net cash flow (NNCF) that wrongly includes reinvestment income as income or benefit stream. The reinvestment income, which is not a benefit from the investment or project under analysis, causes the multiple IRR problem. This is often misinterpreted as problem of IRR but its neither a problem with IRR nor NPV. It is a problem associated with some NNCF data and the failure to update the discounted cash flow (DCF) or capital amortization schedule (CAS) methods to handle such problem.
    Using NNCF data, analyses are conducted with special emphasis on topics such as:


    a.      A modified CAS (MCAS) method that eliminates multiple IRR associated with NNCF data;
    b.      Multiple IRR problem and the Descartes rule of sign and Norstrom’s criteria;
    c.      A NNCF data with a unique IRR under DCF / CAS methods vs IRR by MCAS method;
    d.      Resolving the problem of multiple IRR by MCAS Method Versus MIRR; and
    e.      A critical review of the GIRR and AIRR Methods to Estimate NNCF.
    The salient findings of the present analysis are:
    a.      The MCAS method, presented in this paper, identifies and eliminates the reinvestment income associated with NNCF investments (with positive opening balance in one or more years in the CAS) from the benefit stream;
    b.      This new method overcomes the multiple IRR problem and leads to a unique and real IRR; The effectiveness of MCAS to handle the NNCF data is illustrated with numerical analysis;
    c.      The assumption of reinvestment at IRR or at hurdle rate in NPV are false assertions in the cases of normal NCF and some of the NNCFs. However, such reinvestment is evident only with NNCFs with positive opening balance in one or more years under the CAS.
    d.      The reinvestment income under the benefit stream causes multiple IRRs and multiple NPVs too. As NPV is a static point estimate (at hurdle rate) the multiple NPVs are not exposed. Without eliminating the reinvestment income, none of the criterions viz. NPV, IRR or MIRR, is useful as a decision criterion. Neither NPV or MIRR is a preferred criterion, under such circumstances, as recommended in some published works.
    e.      The MCAS method is appropriate for both normal NCF and NNCF as illustrated in this paper. CAS or DCF method is appropriate only for normal NCF investments.
    f.       Even when there is no multiple IRRs with some NNCFs under DCF/CAS method, the MCAS method estimated IRR or NPV, without reinvestment income, are different from that of the DCF/CAS estimated IRR and NPV. For a consistent estimate of IRR and NPV, the MCAS method is most appropriate both for NCF and NNCF investments.
    g.      The generalized IRR (GIRR) and the Average IRR (AIRR) are also not appropriate estimates for NNCF and they are not NCF consistent as discussed in this paper. The problem of multiple IRR associated with the popular cases of NCF investments used in GIRR and AIRR, are also resolved now.
    In conclusion, the MCAS method resolves the problem of multiple IRR and leads to a unique IRR that is real and NCF-consistent. Neither the NPV nor the MIRR could resolve the problem of multiple IRR.

  • Mid-Year Research Update 2017: Active managers performance, factor-driven, ESG, and fixed income indices

    Source: Craig J. Lazzara, Priscilla Luk, Sunjiv Mainie, Charles Mounts, Aye M. Soe
    Date Submitted: 07 Jul 2017
    Views: 1464
    Downloads: 34
    Published in May 2017, this research reveals most active managers fail most of the time, at least if we define failure as underperformance of an appropriate passive benchmark. Success, when it does occur, tends not to persist.
  • Joint Feasibility Study on China-Georgia Free Trade Agreement

    Source: PMC Research Center, University of International Business and Economics (UIBE)
    Date Submitted: 27 Jun 2017
    Views: 530
    Downloads: 5
    China and Georgia are friendly countries. In 1991, China recognized the independence of Georgia -- among the first countries to recognize the independence of Georgia and established diplomatic relations. In 1992, China established diplomatic relations with Georgia. After twenty years of close interactions of leaders and people, fruitful cooperation in various fields is achieved.

    In 1993, relevant government departments of China and Georgia signed several agreements, such as economic and trade agreement, agreement on encouragement and mutual protection of investments, scientific and technical cooperation agreement, agreement on cultural cooperation, health and medical science cooperation agreement, cooperation agreements in agriculture and food industry, tourism cooperation agreements, customs mutual assistance agreement, inter-bank cooperation agreement, and the development of railway transport cooperation agreement and maritime cooperation agreements. In 1994, the two countries signed the "mutual exemption of visas for official travel and group travel visa-free mutual agreement", "China agreement to provide 30 million yuan commodity loans to Georgia." In 1999, the two countries agreeed in Tbilisi Georgia to establish a Commission on Economic and Trade Cooperation, and held the first meeting. China is always a friend of Georgia. In September 2013, during a visit to Kazakhstan, President Xi Jinping proposed the "Silk Road economic belt" strategic vision, enthusiasticly responded by many countries including Georgia. On March 9, 2015, the Chinese Ministry of Commerce and the Ministry of Sustainable Development of Georgia agreed to establish a joint working group on trade to study feasibility of China-Georgia Free Trade Agreement. The two sides also signed a memorandum on strengthening "Silk Road economic belt" to jointly promote economic and trade cooperation, and to enhance trade, investment, economic and technical cooperation and infrastructure interconnection level. To start a free trade agreement feasibility study for the two sides, serves as an important initiative to strengthen "Silk Road economic belt", which will reinvigorate bilateral economic and trade relations for the two countries.

    Georgia and China intend to intensify the trade and economic relations through creating free trade agreement. The goal of the report is to evaluate the potential, ex-ante effects of free trade agreement on existing trade flows and identify the specific areas of interest for further cooperation. The Research component of the report include the methodology and discuss some effects of differences in methodologies used by Georgian and Chinese experts, data description, detailed results of simulations and sensitivity analysis of parameters and discuss the specific sectors for potential augmentation of cooperation.

    This report seeks to analyze the potential benefits and challedges of a potential China-Georgia free trade agreement. It involves the study of foreign economic situation between the two countries, in particular, through analyzing foreign economic policies and bilateral economic and trade relations, investigating issues related to trade in goods, trade in services and investments. Based on that, solid scientific suggestions will be given to guide the potential free trade agreement negotiations.

    The objectives of the study are:
    - To provide background information to commence negotiations on CGFTA.
    - Identify specific products sectors for expansion and diversification of trade between the parties.
    - Identify the benefits and challenges that may derive from the proposed FTA.
    - To make conclusions and recommendations on options for future action including scope, framework and architecture and FTA for furthering bilateral trade investment and economic cooperation to expand and enhance the benefits in these areas.
  • Leviathan Inc. and Corporate Environmental Engagement (Video Presentation)

    Source: Tom Berry
    Date Submitted: 20 Jun 2017
    Views: 5305
    Downloads: 0
    State-owned enterprises (SOEs) have been criticized for poor governance and questionable efficiency. In a recent paper titled ‘Leviathan Inc. and Corporate Environmental Engagement,’ Dr. Pedro Matos from the Darden School of Business, University of Virginia, and his colleagues from the University of Hong Kong and Singapore Management University conducted an international study of the impact of state ownership on a firm’s engagement in environmental, social, and governance (ESG) issues. 

    There has been significant debate on the effects of ESG issues on shareholder value. In this paper, it was found that SOEs are, in fact, more engaged in environmental issues and, more importantly, this engagement does not come at the expense of shareholder value. Furthermore, SOEs are also more engaged in social issues, but they do not reveal better corporate governance performance.

    This is a recording of the presentation hosted by CFA Institute, HKSFA, ACCA, FSDC, HKIRA, and HKU SPACE Executive Academy on June 6, 2017 at HKU SPACE Po Leung Kuk Stanley Ho Community College in Hong Kong.
  • Home Purchase Restriction and Housing Price: A Distribution Dynamics Analysis

    Source: Victor Jing Li, Andy Wui Wing Cheng, Tsun Se Cheong
    Date Submitted: 16 Jun 2017
    Views: 538
    Downloads: 7
    China’s residential housing market has been largely influenced by the central government’s policy initiatives. This study examines how implementation and removal of home purchase restrictions affect housing price changes in major cities. Based on the dataset of 70 large and medium sized cities between 2014 and 2015, the price evolution trends are evaluated by the distribution dynamic analysis based on the method of Mobility Probability Plot (MPP). This newly developed method allows for better exploring housing price dynamics under home purchase restriction policy. There are four major findings: First, home purchase restriction has salient effect on curbing speculative investment demand in terms of lowering large sized housing price growth; Second, home purchase restriction has long run effect in bringing down housing prices if current price increase does not exceed 5 percent on a month-to-month basis; Third, small or large sized housing may face more downward pressure of housing prices than medium sized housing under home purchase restriction; Fourth, removal of home purchase restriction may saliently increase the housing price levels that had been contained.
  • PRACTITIONER’S BRIEF:  Turn Seemingly Irrelevant Beta Into A Potentially Powerful Predictive Tool Using The Implied Cost Of Capital

    Source: Wenyun Shi, Yexiao Xu
    Date Submitted: 15 Jun 2017
    Views: 394
    Downloads: 0
    WHAT’S THE INVESTMENT ISSUE?
    Still widely considered as bedrock financial theory yet often criticized, CAPM is a simple, formal methodology to price securities. Its fundamental idea of systematic risk is reflected in all modern asset-pricing theory. Because math-based models are built on sets of assumptions (e.g., “markets are frictionless and efficient”) that may not always reflect reality, all models are, to some degree, suspect. Such models are still relevant, however, in trying to gauge the differences in risk premiums of individual stocks. CAPM dictates that beta is the solely relevant measurement of a given stock’s risk—its co-movement with the market—relative to the movements of the market as a whole.
    The foundation for asset-pricing theories such as CAPM is the Efficient Market (EM) hypothesis, which, over the years, has taken on water like the hull of a leaky boat. Skeptics, have poked holes in the EM hypothesis and cast CAPM in a contradictory light. Numerous studies have shown that beta, which came from CAPM, loses relevance when closely scrutinized. Shi and Xu are careful to set the stage by conceding from the outset that beta in and of itself exhibits weak power in explaining return differences of individual stocks. However, they also seek the source of this weakness: Could there be a glitch with standard “cross-sectional regression tests” that shows, when comparing one stock to another stock, statistical beta estimates to be overly noisy and/or limited measures of expected return? Might these backtests have a fundamental design flaw? And if so, is there a better proxy for expected return?
     
    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    With a long-horizon investing approach in mind, Shi and Xu assert that most beta-bashing research shares a common denominator: the use of short-term testing methods to demonstrate the inconsistency of beta patterns. A common example, they find, is inputting the next month’s realized return as a proxy for the (retroactively assigned) expected return. Shi and Xu believe that CAPM may be better suited to capturing the risk-return relation in the long-run. To refashion CAPM to achieve this goal, they create a new way to model longer-horizon expected returns in their tests by having the future Implied Cost of Capital (ICC) play the part of expected return. “ICC is in the same spirit as internal rate of return,” they write. “It is perceived average return over time even when actual future expected returns might be time varying.” To test their theory, the authors examine all U.S. public companies on major exchanges (stripping out financial companies due to their overabundance of leverage, which skews the model) and pulling together, as a proxy for future cash flows, a mountain of analyst earnings forecast data (annualized). They supplement those data with long-term growth-rate assumptions for certain industries, forming a 710,840-variable dataset. The key output is the estimated ICC, which is calculated by asking what expected returns have investors used to discount future cash flows (approximated in part by the analysts’ earnings forecasts) to observe the current equity prices. Although the use of actual future returns might seem like a reasonable means of representing expected returns, an approach in which ICC is used as a proxy for expected return is, the authors insist, a better estimate when running models that aim to drill down into the explanatory power of beta.
     
    WHAT ARE THE FINDINGS?
    Despite abundant current evidence that seems to reject the explanatory power of the market beta in expected returns, Shi and Xu assert that when tests are run with ICC as a proxy for expected return, the weaknesses seen by others are not necessarily present. They find that the future implied cost of capital is “both positively and significantly related to the conventional beta estimate,” implying that beta could still explain future cross-sectional expected return differences over a longer horizon. In other words, the conventional estimate of the market beta risk might be a good measure of the long-term market risk. As an example of how long-term expected return measures can be useful, Shi and Xu show a connection between individual stocks with high levels of uncertainty (i.e., an additional dimension of risk surrounding them as measured by analyst forecast dispersion) and long term expected returns as approximated by future ICC. Stocks with large dispersion—when analysts’ forecasts do not agree—tend to have high long-term expected return, suggesting that investors are compensated for taking on the uncertainty risk. Thus, not only is beta—or rather, long-term beta—of use when trying to forecast expected return, but it may bring with it unexpected positive results.
     
    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    CAPM may not be perfect, but it is intuitive, easy to apply, and powerful in practice. In fact, Shi and Xu’s research justifies the continued use by industry members of models such as Fama and French’s three-factor model, which includes the market factor as its most important factor. In addition, their results carry important implications across finance. For private equity firms and investment bankers assessing the value of a young company, what matters most? The answer (or at least what should be the answer) is the company’s growth potential and long-term expected return. The market risk beta value attached to the company is the risk associated with the company for many years to come. For portfolio managers struggling to rationalize, perhaps even to themselves, that a long-term conviction is worth holding, running numbers through a long-term prism can bring peace of mind and justify additional allocations. Shrewd investors will, of course, not just pay attention to a manager’s absolute performance, but also to their own level of beta risk. In addition, they will invest in strategies carrying levels of beta risk with which they can feel most comfortable.



    ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

    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.
     
  • Two insightful reports on Fintech and Distributed Ledger Technology (DLT) by Financial Services Development Council (FSDC)

    Source: Financial Services Development Council (FSDC)
    Date Submitted: 13 Jun 2017
    Views: 1690
    Downloads: 0
    Given most of the FinTech innovations, in particular the DLT, are developed for providing services directly to consumers, FinTech has initially been regarded as disruptive to the established financial institutions. However, a more recent development is that increasingly FinTech innovations are developed by, and in collaboration with, the well established incumbents in the financial sector. There are two very insightful reports on FinTech and DLT published by the FSDC in May 2017; which covers extensively the following areas including cybersecurity, payment and securities settlement, digital ID and KYC utility, WealthTech and InsurTech (including data analytics, automation and artificial intelligence), RegTech as well as Distributed Ledger Technology.  

    Attached are the two links to these two reports by FSDC.  

    http://www.fsdc.org.hk/sites/default/files/FSDC%20Paper_FinTech_E.pdf

    http://www.fsdc.org.hk/sites/default/files/FSDC%20Paper_DLT_E.pdf
     
  • The Finance Industry and Educational Providers Need Tight Relationships

    Source: Dan Daugaard
    Date Submitted: 12 Jun 2017
    Views: 200
    Downloads: 7
    A new CFA Institute study predicts large scale trends will have a significant impact on the investment industry. The landscape is expected to change dramatically and new skill sets will be necessary for investment professionals to be successful in this new environment. This is likely to produce fresh challenges for organisations providing education to the investment industry. They will need to adapt and construct educational services relevant for the industry of tomorrow. Some are evidently already moving towards a more engaged role. 
  • Presentation deck of ARX seminar - Stock Market Efficiency, Participants and Investment Delegation

    Source: Yeguang Chi
    Date Submitted: 09 Jun 2017
    Views: 2346
    Downloads: 22
    Presentation deck of CFA China Shanghai seminar - Stock Market Efficiency, Participants and Investment Delegation

    In December 2016 CFA Institute supported the 29th Australasian Finance and Banking Conference by sponsoring two research awards in Banking / Finance / Investment Management in Asia-Pacific markets and the winner of the first prize goes to Yeguang Chi, associate professor of Shanghai Jiaotong University SAIF.

    In addition to uploading Professor Chi’s winning paper “Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders onto ARX, to bridge the gap between academics and practitioners we have created a Practitioner’s Brief, a short practitioner-focused digest of the research paper and an accompanying video edition of that digest.  The brief and video were well received and CFA China Shanghai decided to bring it to life by hosting the first o2o seminar on June 6.

    During the event Professor Chi first illustrated the conditions of China’s stock market in terms of trading volume of retail investors and performance of mutual funds. Then he presented his research findings on how and why mutual funds and institutional investors in China outperform the market, highlighted the disadvantages retail investors possess in a considerably inefficient market and encouraged retail investors in China to consider delegate the investment decision to fund managers, trade less or to go for passive investments. Meanwhile he also urged for more disclosures on private meetings and stronger enforcement against insider trades to enhance market efficiency.

    Professor Chi's presentation deck can be downloaded in the attached.
  • Investigating the vastness of Investment Risks Surviving the markets through strategy

    Source: Syed Danish Ali
    Date Submitted: 01 May 2017
    Views: 180
    Downloads: 5
    Investigating the vastness of Investment Risks Surviving the markets through strategy
  • 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: 3513
    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.
  • Equity Insight on Golden Harvest Agro Industries Ltd

    Source: Mohammad Asrarul Haque, Tajkera Rahman
    Date Submitted: 06 Apr 2017
    Views: 302
    Downloads: 22
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Practitioner’s Brief: Paying Attention to Stock Ranking

    Source: Danling Jiang, Jingyu Cui
    Date Submitted: 03 Apr 2017
    Views: 696
    Downloads: 0
    WHAT’S THE INVESTMENT ISSUE?
    Investors have a limited amount of attention to give to their investment decisions. Many believe that paying attention to rankings of stocks provides them with a less attention demanding decision making shortcut. In reality, however, does paying attention to stocks ranked in a more salient place help improve financial decisions and market efficiency? Existing research on ranking and attention typically encounters the difficulty of separating out the pure effect of attention from that of fundamental news, which is especially true when rankings correlate with fundamentals. Thus, findings based on fundamental based rankings are subject to the confounding effects of both attention and fundamentals. The author tackles this challenge by exploring the price limit rule in China’s stock markets. Under that rule, stocks that hit the 10% upper price limit on a day are ranked by their daily returns, whose differentials are produced by mechanical rounding of maximum price changes as opposed to differential fundamental news. Investment practitioners in markets with the price limit rule in place may wish to exploit the impact of stock rankings for those stocks hitting the upper price limit. Thus, relevant questions to practitioners would pertain to (1) whether hitting the 10% upper price limit is truly an attention-grabbing event; (2) whether differential attention is allocated across the stocks hitting the price limit based on their rankings; and (3) whether stocks hitting the price limit that are ranked differently exhibit different subsequent returns, trading volume, volatility, and liquidity.

    HOW DOES THE AUTHOR TACKLE THIS ISSUE?
    The author conducted a series of tests to address the empirical questions posed above, studying a sample of China’s A-shares (shares that are quoted and traded in Chinese RMB) on China’s Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE). The time period is from 16 December 1996, when SSE and SZSE initially established the current price limit rule, to 31 March 2015, when the research project was initiated. The author selects 2,505 out of 4,910 trading days; during these days the markets had at least 5 upper price-limit events. We hereafter call stocks that hit the upper price limit on a day the “event” stocks. For most stocks, the daily absolute price movement is regulated to be 10% of the previous trading day’s closing price. When the 10% price change is not an integer number of cents, the daily price limit is rounded to the nearest cent. This creates different maximum returns allowed across stocks with different previous closing prices. For example, stocks with the previous closing price of RMB 9.99, RMB 10.00, and RMB 10.01 would all have a daily maximum price change of RMB 1.00; this results in a maximum return limit of 10.01%, 10.00%, and 9.99%, respectively. The differential maximum return limit is, therefore, caused by mechanical rounding and not by differential fundamental news. As a result, the author identifies the pure effect of ranking by exploring the differential attention paid to the more saliently ranked stock, which returns 10.01% in a day in the previous example, versus those with less salient rankings, which return 10% or 9.99%, and the implications of rankings for the financial market. To carry out the tests, the author hand collected the website viewer data from hexun.com, one of the largest financial websites in China. The number of viewers from different IP addresses measures the attention paid by investors to a particular stock on a day. The author tested the impact of investor ranking by comparing two groups of event stocks, based on whether their event-day return was above median (usually 10%) or not, across dimensions of contemporaneous and subsequent returns, volume, volatility, and liquidity. Event stocks with the above median return were assigned to the high-rank group (with an average of above 12 stocks per day); the remainder were assigned to the low-rank group (with an average of near 10 stocks per day).

    WHAT ARE THE FINDINGS?
    The author finds that investors do pay significantly more attention to stocks hitting the price limit for several days on and after they hit the upper limit, measuring attention by the number of viewers on the hexun.com webpage. The abnormally high attention persists for two weeks after the event day. Furthermore, the high-rank group receives even more attention than the low-rank group on the event day and the subsequent three days. Relative to the low-rank group, the high-rank group of event stocks experiences a greater price increase for two days as well as a greater price reversal that follows within one to two weeks. As for trading volume, liquidity, and return volatility, the results suggest that during the post-event period, the high-attention group of event stocks exhibits higher trading volume, better liquidity, and higher volatility. Smaller investors are more affected by the rank effect. Moreover, the effect of trading volume and volatility is larger and persists longer, but the effect of liquidity is smaller and lasts only for a few days. These effects are noticeably stronger when a larger number of stocks are hitting the upper price limit on a particular day—thus, investors are more attention constrained and top rankings are more salient. The author conducts similar analyses on stocks with a 5% price limit and stocks that hit the 10% lower price limit. The evidence is overall weak, suggesting that it is the rankings of stocks that hit the upper price limit that matter most for attention allocation. When the maximum return is not extreme enough to make the top ranking, or the ranking is for losers and mainly attracts sellers, neither strong investor attention nor the effect of attention is found.

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    The findings send a clear message that even pure rankings that are uncorrelated with fundamentals dictate investor attention and lead to large and predictable effects on asset prices. Understanding how ranking affects asset prices will help to improve portfolio performance for institutional and individual investors who trade in securities markets where financial assets are presented in various ranking formats. Investors may consider exploring the temporary price momentum and subsequent price reversal of highly ranked stocks, and more importantly, exploring the return differential between high- and low-rank groups of stocks using a long-short portfolio. The conventional wisdom is that having investors who pay attention is a good thing; it means that important fundamental news is received and consumed, leading to more efficient asset prices. Advances in behavioural finance in recent years, however, suggest that attention may have a detrimental effect when it interplays with behavioural biases, such as the pure order effect. The findings of this article demonstrate such evidence as well as opportunities for smart investors who are paying attention in the right places. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Summarized by Danling Jiang and Jingyu Cui. Danling Jiang is an Associate Professor of Finance at Stony Brook University—SUNY and the Chang Jiang Scholar Visiting Professor at Southwest Jiaotong University. Jingyu Cui is a Master of Science in Finance student at Stony Brook University—SUNY.
  • Practitioner's Brief: Short-Sale Restrictions Imply Higher Returns

    Source: Danling Jiang, Xiao- Ming Li
    Date Submitted: 02 Apr 2017
    Views: 2129
    Downloads: 0
    WHAT’S THE INVESTMENT ISSUE?
    Short-sale restriction is an important form of limits to arbitrage. In markets with partial shortsale restrictions, some stocks can be sold short (shortable stocks) whereas others cannot (no-short stocks). The latter are more subject to mispricing because of greater limits to arbitrage. Mispricing can be a source of risk, because investors may lose money if mispricing persists in the near term while they are betting against mispricing. Accordingly, finance theories predict that stocks more subject to mispricing—in this case, the no-short stocks—should on average earn a return premium as compensation for mispricing risk. Despite extensive research on short-sale constraints, few studies have directly tested the no-short return premium. Investment practitioners in markets with partial short-sale restrictions may want to exploit the no-short return premium induced by such regulations. To do so, they would ask two questions: Do the real-world data support the claim that no-short stocks on average earn higher returns? If so, how can they determine investment strategies based on the no-short return premium? The authors thus set out to reveal the superior expected excess and abnormal returns on no-short stocks over those on shortable stocks, as well as to demonstrate the strong return predictive power of the loadings on various long–short portfolios constructed using shortable and noshort stocks.

    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    The authors test their prediction about the no-short return premium using the Hong Kong stock market’s unique regulatory setting. In the Stock Exchange of Hong Kong (SEHK), stocks are periodically added to or deleted from the list of shortable stocks. This list is selected from the pool of stocks satisfying criteria based on market capitalization, liquidity, and so on. Stocks on the list are “shortable,” and stocks excluded from the list are “no-short”. The authors form a portfolio consisting only of no-short stocks (denoted as N) and a portfolio of only shortable stocks (denoted as S). They then create a long–short portfolio (denoted as NMS, for “no-short minus shortable”) as the return spread between N and S. They consider four different NMS portfolios, using the SEHK size and liquidity criteria to decide which stocks should be added to, can remain on, or should be removed from the official short-sale list. Further, the authors use Fama–MacBeth two-pass regressions to investigate how well the loadings of the test assets (portfolios and stocks) on each of the four NMS portfolios can predict the cross-section of future asset returns.

    WHAT ARE THE FINDINGS?
    The authors find that from 1997 through 2014, the NMS portfolio earns a monthly return of 2% to 3%, or an abnormal monthly return of about 1.3%, after accounting for its correlations with a set of standard common factors (market, size, value, liquidity, etc.). Thus, on average, no-short stocks indeed earn a return premium over shortable stocks. Moreover, the authors discover that no-short and shortable stocks tend to co-move negatively: When no-short stocks do better, shortable stocks tend to do worse. Mostly importantly, the factor loadings on the four NMS portfolios are strong positive predictors of future portfolio and stock returns in the cross-section. For example, the regression estimates imply that moving from the lowest 20% to the highest 20% NMS loading stocks increases the expected return next month by 1.5% to 2.0%. Moving from the lowest five shortable to the highest five no-short size and book-to-market portfolios increases the future average return by more than 4% per month. The loadings on the other three NMS portfolios, formed by considering the size and liquidity criteria for the official shorting list, exhibit similar or somewhat stronger forecast power.

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    The findings will help to improve portfolio performance for institutional and individual investors who trade in securities markets with partial short-sale restrictions. Investors may consider gaining exposure to the NMS factor beyond their exposures to other standard factors. A refined strategy would require extracting stocks with the most extreme loadings on the NMS factor, as well as forming a portfolio that is long the highest NMS loading stocks and short the lowest NMS loading stocks. Furthermore, the refined trading strategy can be combined with strategies based on other style characteristics. Popular wisdom is that investors should pay more attention to the information revealed by short selling and take advantage of this information through observed short positions. The findings in this article direct investor attention to another side of the market, however: the stocks that cannot be sold short. These no-short stocks actually earn higher average returns because many investors may shy away from trading these more likely mispriced stocks. As a result, investors who are willing to invest in these stocks are paid to do so. For firms, however, regulation is bad news: Short-sale restrictions imply higher cost of equity. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
    Summarized by Danling Jiang and Xiao-Ming Li. Danling Jiang is an associate professor of finance at SUNY at Stony Brook and the Chang Jiang Scholar Visiting Professor at Southwest Jiaotong University. Xiao-Ming Li is a professor of financial economics at the School of Economics and Finance (Albany), Massey University. The views expressed herein reflect those of the authors and do not represent the official views of CFA Institute or the authors’ employers.
  • Practitioner’s Brief: Demystifying Seasonal Chinese Stock Return Synchronicity

    Source: Jing Wang, Steven X. Wei, Wayne Yu
    Date Submitted: 02 Apr 2017
    Views: 734
    Downloads: 0
    WHAT'S THE INVESTMENT ISSUE?
    How much of a stock’s movement can be attributed to movements in the index in which it resides? And, if a stock moves in line with an index (or, in academic parlance, has a "high R-squared") what, exactly, accounts for that co-movement? Industry members and academics have numerous theories: shared information being digested in lockstep by portfolio managers; index funds rebalancing themselves; or random noise—some inexplicable yet observable factor that for whatever reason creates an environment of stock-return synchronicity. For quant managers spotting trends, there’s no point in asking why; they just want the trend to repeat. Not so for researchers such as Wang, Wei, and Yu, who want to bring new perspective to this puzzle, one that has proved tricky for active fundamental managers seeking to differentiate themselves against the benchmark. In tackling the question of synchronicity, the authors explore the issue across a dynamic setting—earnings season in China, when more-robust information on companies becomes available—and also consider newer companies versus older ones.

    HOW DO THE AUTHORS TACKLE THIS ISSUE?
    They examine synchronicity levels during earnings season, which for 98% of Chinese companies is January through April. The authors also go a step further, overlaying a variety of variables such as changes in fundamentals, fluctuating liquidity conditions, and corporate events. These events include any activity that could increase assets by 50% or more (e.g., a merger) and thus affect a company's systematic volatility.

    WHAT ARE THE FINDINGS?
    The authors discover that in rich information environments (i.e., earnings season), the degree of synchronicity (stocks moving in tandem) actually is reduced; and in less informative environments (non-earnings periods, May through December), synchronicity is more prevalent. This finding is noteworthy, if only in light of the overriding preconceptions about emerging markets such as China, long thought to generally be more prone to synchronous behavior relative to developed markets (for a host of reasons, including property rights considerations). Here, the authors are able to observe a repeated pattern: During Chinese earnings season, the degree of systematic volatility in that market is reduced. The trend is more pronounced for older companies with longer track records of meeting (or failing to meet) their numbers. One explanation stems from a concept that the authors call "intra-industry, cross-asset learning." Drilling down into this concept rather simplistically for illustration's sake, suppose three large companies from different industries (e.g., an automaker, a coal miner, and a retailer) make earnings announcements on the same day. Investors may make inferences about other companies in these respective industries. Now, further suppose that the following happens: The automaker’s earnings come in as expected; the coal miner’s come in better than expected; and the retailer’s do much worse than expected. In this example, one might expect share prices to behave distinctly among the three industries: mostly flat for auto firms, up for coal mining firms, and down for retailers. The market as a whole, however, may change little that day, with the offsetting share price changes in the different industries dampening the market or systematic volatility. In other words, share prices move in a less synchronized fashion because of intra-industry, cross-asset learning during the earnings announcement season, which reduces market or systematic volatility in the meantime.

    WHAT ARE THE IMPLICATIONS FOR INVESTORS AND INVESTMENT PROFESSIONALS?
    This study challenges the prevailing wisdom that Chinese stocks tend to move in step with each other, particularly with a time consideration (i.e., earnings season, when a higher intensity of firm-specific information arrives in the market). For stock pickers trying to differentiate themselves from a benchmark, earnings season would thus provide an especially opportune moment to show their ability to make a judgment call on a stock, take a position (bullish or bearish), and not have it mooted by the whims of the overall market. Conversely, for index investors, the authors’ findings suggest that the time to rebalance toward a passive approach would be during non-earnings season when Chinese stock market return synchronicity appears to be at a higher level. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
    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.
  • Analyst Report - Best World International Ltd

    Source: Charles Phan Zhong Wei, Jeremy Liang Jinrong, Ai Xin
    Date Submitted: 27 Mar 2017
    Views: 340
    Downloads: 38
    Sell-side research report on Best World International Ltd. Initiate a Buy Call with upside of 47.7%. Includes: - detailed report of analysis - slide deck to pitch the stock recommendation - financial model with detailed accounting adjustments, performance analysis, forecasts and valuations
  • Practitioner’s Brief: The Power of Private Information

    Source: Yeguang Chi
    Date Submitted: 12 Mar 2017
    Views: 1178
    Downloads: 0
    WHAT'S THE INVESTMENT ISSUE?
    During the last 18 months, China has witnessed a flurry of securities fraud investigations and arrests involving a wide cross-section of the industry, from high-rolling financiers to humble accounting professors, and even some regulators. The insider-trading crackdown is partly an effort to wash away perceived stains of corruption following the crash of summer 2015. Even before that, though, Chinese insider trading cases had begun to mount as the market, and mechanisms to regulate it, matured. Despite its relative inexperience, China’s stock market is the second largest on earth. Still, an assumption persists (and is studied by researchers such as Chi) regarding the relative information inefficiency and asymmetry of less developed markets such as China. In his article, Chi makes no secret of his own perceptions about the pervasiveness of non-public information used for investing. One given in the hypothesis suggesting there are greater inefficiencies to potentially exploit in China relative to the United States is the fact that most Chinese mutual funds can outperform the index—certainly not the case in the United States. For Chi, then, the driving question becomes: To what extent is private information exploited in a less developed financial market such as China? To a significant degree, as it turns out. Chi’s research suggests that at a minimum, the insider buy is a powerful predictive tool for the generally upward direction of the stocks being bought, particularly for issues from state-owned enterprises (SOEs), and even more so for highly volatile stocks.

    HOW DOES THE AUTHOR TACKLE THIS ISSUE?
    Chi sets out to study insider trading in China via a proxy that, although an obvious choice, is nevertheless not to be conflated with criminal insider trading. That is, he looks at legal, disclosed trades made by corporate insiders, which, despite being purportedly aboveboard, still carry a connotation of information advantage. By creating a basic strategy to mimic insider buys, Chi demonstrates, at least on paper, the ability to add considerable alpha. Note that mimicking insider sells is not a good idea because sellers can have multiple motivations (e.g., liquidity or diversification needs). Buyers, on the other hand, generally are motivated by positive information. Mimicking insider buys may once have worked in the United States, when its stock market was nascent. Today, however, although by no means devoid of insider trading, the US market is viewed in academic terms as "efficient in semi-strong form." More informally, the system is not "rigged." If it were, Chi asserts, more US mutual fund managers would beat the index. In China, the perception of a rigged system became increasingly rampant after the summer of 2015 crash, as traders such as Xu Xiang (the Carl Ichan of China) seemed impervious to the market collapse when most other investors were crushed. Xu would later admit to conspiring with executives to control the timing of corporate announcements. To explore how private information is wielded in China, the author tapped the Wind Information database to study trading activity of corporate insiders (top executives, board members) between April 2007 and June 2014, focusing on the A-share market on two exchanges (Shanghai and Shenzhen) comprising some 2,555 stocks with a combined market cap (in 2013) of RMB20 trillion, or USD$3.3 trillion. The insiders' trading activity amounted to RMB900 billion, or 0.3% of total trading. Chi found the following: • Insiders reap large profits trading their company stocks. • Insider buys possess predictive power to stock prices; insider buys from SOEs have even stronger predicative power. • A rudimentary “mimicking-strategy” implemented for 12-month periods added 14.4% worth of annual alpha above the benchmark. And guess what else he found? The best-performing Chinese mutual funds' returns strongly correlated to the insider-mimicking strategy. Importantly, the fact that a fund trades in the same direction as insiders does not necessarily imply trading on material inside information. The author merely claims “that more correlated trading patterns point to a higher likelihood of private information shared by stock funds and corporate insiders." Because of data limitations, he cannot make a further claim about how fund managers obtain such private information.

    WHAT ARE THE IMPLICATIONS FOR PORTFOLIO MANAGERS?
    Before one delves into the art and science of insider-mimicking strategies, it is important to note an additional finding by the author. Chi split his six-year study into two three-year periods. In the latter period, the predicative power of the insider buy diminished significantly compared with the first period. So, as time passed, the Chinese market appears to have become more, not less, efficient. Here’s one last bit of material information that is hardly any secret: China’s recent insider trading crackdown will serve only to accelerate this trend. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
    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 author(s) 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: 950
    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 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: 400
    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 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.
  • Equity Insight on ACI Limited

    Source: Tajkera Rahman, Mohammad Asrarul Haque
    Date Submitted: 09 Mar 2017
    Views: 377
    Downloads: 18
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • IPO Note on Shepherd Industries Limited

    Source: Rehan Kabir
    Date Submitted: 08 Mar 2017
    Views: 342
    Downloads: 15
    EBLSL prepares IPO Notes for the newly listed issues that provide brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • The No-Short Return Premium

    Source: Danling Jiang, Xiao-Ming Li
    Date Submitted: 05 Mar 2017
    Views: 233
    Downloads: 6
    This report is published on January 2017.
  • Evaluating Sustainable Investment Trends

    Source: Martina Macpherson, Emily Ulrich
    Date Submitted: 05 Mar 2017
    Views: 2134
    Downloads: 28
    This is a research report on Sustainability, published by S&P Dow Jones Indices.
  • Ranking and Salience

    Source: Baolian Wang
    Date Submitted: 05 Mar 2017
    Views: 202
    Downloads: 9
    This is a research paper published in February 2017.
  • Understanding the Role of National Savings in Pakistan

    Source: Zafar Masud
    Date Submitted: 23 Feb 2017
    Views: 194
    Downloads: 10
    National Savings is Government of Pakistan's initiative to encourage savings locally, and especially targets to provide financial security to certain segments of the society including women, senior citizens etc. The presentation highlights the savings rate in Pakistan and important achievements of National Savings and how it works.
  • Equity Insight Report- IFAD Autos Ltd.

    Source: Tajkera Rahman
    Date Submitted: 18 Feb 2017
    Views: 528
    Downloads: 70
    EBLSL prepares Equity Insight Report on regular basis that provides brief company insights based on fundamental analysis along with a preview of respective industry in which the company operates. Besides, factors affecting stock prices i.e. investment positives and negatives are also presented in the report.
  • Equity Insight- Olympic Accessories Limited

    Source: Mohammad Asrarul Haque, Salman Rahman
    Date Submitted: 06 Feb 2017
    Views: 429
    Downloads: 21
    Equity insight report is part of a regular product from EBLSL Research Portfolio. The attached report contains brief analysis and investment insight on Olympic Accessories Limited.
  • Bangladesh Steel Industry Review

    Source: Mohammad Asrarul Haque
    Date Submitted: 04 Feb 2017
    Views: 588
    Downloads: 69
    Industry analysis is a part of EBLSL research product basket. The attached report contains the current market condition and competitive structure of the steel industry in Bangladesh. Besides, the report also contains a comparative review on the listed steel manufacturing companies in the capital market of Bangladesh.
  • Myanmar Trade and Investment Strategy

    Source: MDRI-CESD
    Date Submitted: 03 Feb 2017
    Views: 348
    Downloads: 1
    MDRI-CESD | February 2015
  • Determinants of Singapore’s Outward FDI

    Source: Lee, Cassey, Lee, Chew Ging, Yeo, Micheal
    Date Submitted: 02 Feb 2017
    Views: 112
    Downloads: 1
    Lee, Cassey; Lee, Chew Ging; Yeo, Micheal | February 2016
  • Equity Insight Report- Bangladesh Steel Re-Rolling Mills Limited

    Source: Mohammad Asrarul Haque
    Date Submitted: 01 Feb 2017
    Views: 418
    Downloads: 17
    Fundamental analysis on Bangladesh Steel Re-Rolling Mills Limited
  • Generating Alpha Using Economic Moats

    Source: Heather Brilliant, CFA
    Date Submitted: 31 Jan 2017
    Views: 363
    Downloads: 2
    This is the presentation powerpoint presented by Heather Brilliant at CFA Institute 7th India Investment Conference, on 13 January 2017.
  • Generating Alpha In A Divergent World: From Reflation To Stagflation

    Source: Peter Berezin
    Date Submitted: 31 Jan 2017
    Views: 249
    Downloads: 4
    This is the presentation powerpoint presented by Peter Berezin at CFA Institute 7th India Investment Conference, on 13 January 2017.
  • 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: 1661
    Downloads: 55
    Are Tightened Trading Rules Always Bad? Evidence from the Chinese Index Futures Market
  • NZFC: Measuring the potential effect of taxes and weight constraints on the home bias in New Zealand PIEs

    Source: Shaun McDowell
    Date Submitted: 19 Jan 2017
    Views: 238
    Downloads: 4
    Using historical monthly index data with an in-sample data-based mean-variance optimization approach, weight constraints on overseas market allocations and FDR taxes applied to PIEs are shown to reduce the RR gains from diversification to statistically insignificant levels compared to the domestic market portfolio.
  • Private Equity in China Concept Stocks’ Privatization and Relisting —A case study of CITIC PE and 3S Bio

    Source: Zhou Xinling
    Date Submitted: 13 Jan 2017
    Views: 534
    Downloads: 0
    China Concept Stocks’ “returning home”, privatization and relisting, is a hot topic in recent years. And private equity firms play important roles in this trend. However, understanding to private equity’s investment decisions and roles in this area is very limited. Motivated by this phenomenon, this paper combines theoretical analysis and the case study of CITIC PE investing 3S Bio, one of the latest and most successful cases, to conduct comprehensive research. Innovatively, this paper highlighted special considerations for private equity firms in the following 4 aspects: 1) favored characteristics of the target companies for privatization and relisting projects 2) considerations in choosing relisting exchange 3) intrinsic value creation of the target company 4) return creation of such investments.
  • NZFC-Evaluating the Tracking Performance and Tracking Error of New Zealand Exchange Traded Funds

    Source: Jun Chen, Yi Chen, Bart Frijns
    Date Submitted: 12 Jan 2017
    Views: 2223
    Downloads: 25
    This study examines the tracking performance and tracking error of New Zealand Exchange Traded Funds (ETFs). We document that New Zealand ETFs do not replicate their corresponding indexes perfectly. At the daily frequency, we observe that the ETFs have substantially different exposures to their underlying indexes from what they should be, which is confirmed by cointegration analysis. At the monthly frequency, tracking performance improves, but still shows significant differences between the ETF and its underlying index. When we examine the tracking errors of the ETFs, we observe that these are substantial, and that there is considerable variation in tracking error. Regression analysis shows that both characteristics of the ETF and the constituents of the index the ETF tracks, as well as the volatility of the underlying benchmark are determinants of the tracking error of the ETFs.
  • NZFC-To Carry, Or Not To Carry, That Is The Question

    Source: Jedrzej Bialkowski, Glenn Boyle, Mark Carrodus
    Date Submitted: 11 Jan 2017
    Views: 407
    Downloads: 7
    In the paper, we use unique and proprietary information on industry stop-loss rules to evaluate the feasibility of currency carry trades considered by academic researchers. We find that these rules cause reported carry trade profitability to largely disappear, with most trades having to be closed out early. The much-vaunted profitability of the carry trade appears to depend on staying the course, contrary to standard risk management policies. This calls into question much of the literature that seeks to explain reported carry trade returns.
  • The Growing Importance of Infrastructure as a Core Asset Class

    Source: QIC, Asian Investor
    Date Submitted: 27 Dec 2016
    Views: 377
    Downloads: 0
    QIC recently partnered with Asian Investor magazine to conduct a survey to gauge the attitudes of Asian investors towards infrastructure as an asset class. Questions revolved around; allocation strategies, likely exposure trajectories, factors effecting manager choices as well as what challenges they face. The results have been illuminating, and on the whole they show a growing interest in infrastructure as an asset class that is well suited to current market conditions
  • Strategic Considerations for ORSA

    Source: Syed Danish Ali
    Date Submitted: 23 Dec 2016
    Views: 141
    Downloads: 0
    This report takes a strategic review of "Own Solvency Risk Assessment (ORSA)" for a insurance company to undertake under Solvency 2 and local regulations.
  • Risk management and environment breaking points, exposures and stop loss

    Source: Syed Danish Ali
    Date Submitted: 23 Dec 2016
    Views: 147
    Downloads: 0
    Description on key concepts that can be practically applied at an insurance company for ERM.
  • Core Tenants of Re-Insurance Strategy

    Source: Syed Danish Ali
    Date Submitted: 22 Dec 2016
    Views: 219
    Downloads: 3
    One of the most important risk management tools that can be used by an insurer is Reinsurance. The insurer can utilize reinsurance in order to reduce its insurance risks and the volatility of its financial results, stabilize its solvency, use its available capital more efficiently, improve its ability to withstand disasters, increase its underwriting capacity and draw on the reinsurer's expertise with respect to product development.
  • Basis for Design of Reinsurance Program

    Source: Syed Danish Ali
    Date Submitted: 22 Dec 2016
    Views: 160
    Downloads: 1
    There are several factors which affect the reinsurance program and strategy of which some of the more important ones have been discussed in this report.
  • Framework Construct for a Basic Re-Insurance Optimization Model

    Source: Syed Danish Ali
    Date Submitted: 22 Dec 2016
    Views: 260
    Downloads: 1
    The basic purpose of modeling for reinsurance optimization should be to help develop an appropriate cession strategy that will maximize achievement of the reinsurance goals. This involves modeling a variety of mixes of reinsurance coverage at various limits and retention and with various loss-sensitive features in order to achieve an optimal program.
  • Key Considerations for Pricing Re-Insurance in the GCC

    Source: Syed Danish Ali
    Date Submitted: 22 Dec 2016
    Views: 261
    Downloads: 1
    This article will concentrate on highlighting a number of key considerations to be taken by reinsurers when pricing for reinsurance in the GCC region especially for small and national reinsurers that generally lack the skills available to global multinational reinsurers.
  • Practical Reinsurance Reflections

    Source: Syed Danish Ali
    Date Submitted: 22 Dec 2016
    Views: 267
    Downloads: 1
    This reports highlights briefly the practical considerations when handling with different aspects of reinsurance.
  • Capacity Analysis

    Source: Geoff Warren, Camille Schmidt, Michael O'Neill
    Date Submitted: 12 Dec 2016
    Views: 518
    Downloads: 7
    This study illustrates methods for estimating fund capacity, highlighting the sensitivity of estimates to the approach and identifying key drivers. The analysis applies measures to an actual equity fund; coupled with modeling for Momentum and Value signals.
  • Dimensional Fund Advisors

    Source: Peng Chen, CFA
    Date Submitted: 05 Dec 2016
    Views: 227
    Downloads: 13
    This is one of the presentation powerpoint in CFA China Conference on 20 August 2016.
  • THE WAY OF THE FUTURE: ACTIVE VERSUS PASSIVE INVESTING?

    Source: Phil Graham
    Date Submitted: 05 Dec 2016
    Views: 421
    Downloads: 6
    This is one of the presentation powerpoint in CFA China Conference on 20 August 2016.
  • 多资产投资决策中的关键选择

    Source: Larry Cao, CFA
    Date Submitted: 04 Dec 2016
    Views: 418
    Downloads: 9
    This is one of the presentation powerpoint in CFA China Conference on 20 August 2016.
  • CFA China Conference - Global Asset Allocation Trends

    Source: Aaron Low
    Date Submitted: 04 Dec 2016
    Views: 207
    Downloads: 6
    This is one of the presentation powerpoint in CFA China Conference on 20 August 2016.
  • CFA Institute Asset Manager Code Gives Firms Head Start on Operational Due Diligence

    Source: Irene Cheung, CFA, CAIA, FRM
    Date Submitted: 01 Dec 2016
    Views: 3452
    Downloads: 32
    Investment performance is certainly an important consideration for any investor, but operational failures can be a stumbling block to investors’ investment decisions. Hence, apart from generating competitive investment returns, investment managers also need to demonstrate their commitment to protecting investors’ best interests by adhering to fundamental ethical principles, professional conduct, applicable rules and regulations, and industry best practices if they want to build a sustainable business. This is where operational due diligence (ODD) comes in.
  • AFM-Sample selection bias, return moments, and the performance of optimal versus naive diversification

    Source: Bowei Li
    Date Submitted: 29 Nov 2016
    Views: 167
    Downloads: 0
    This paper examines the sample selection bias in portfolio horse races. Numerous studies have developed mean-variance portfolio rules to outperform the naive 1/N portfolio rule. However, this outperformance is often justified with a small number of pre-selected datasets. Using a novel performance test based on a large number of datasets, this paper compares various “1/N outperformers” with the naive rule. The results show that a majority the “1/N outperformers” on average underperform the 1/N rule. More surprisingly, none of the mean-variance rules significantly outperform the naive benchmark in more than 10% of the datasets. To further understand portfolio performance, this paper explores the theoretical relations between assets’ return moments and the performance of optimal versus naive diversification. These relations not only imply strong performance predictability, but also can be exploited to deliver out-of-sample portfolio benefits.
  • Volatility Dynamics in an Emerging Economy: Case of Karachi Stock Exchange

    Source: Mahreen Mahmud, PhD, Nawazish Mirza, PhD
    Date Submitted: 25 Nov 2016
    Views: 274
    Downloads: 0
    The paper aims to model and forecast the volatility in the stocks traded at the Karachi Stock Exchange before and during the recent financial crisis using the GARCH, EGARCH and GJR-GARCH models. We find the stock return volatility to be characterized by clustering and displaying asymmetries. Results point to the capability of the EGARCH(1,1) model at forecasting for both periods lending support to the use of GARCH family of models for emerging markets during crisis. We find evidence for a synthetically constructed index based on trading volume capturing the volatility structure of the market as well as that based on market capitalization which has important implications for investors.
  • Changing Landscape of Pakistan for FDI and FPI

    Source:
    Date Submitted: 25 Nov 2016
    Views: 393
    Downloads: 0
    The opinion piece highlights some of the prominent reasons for doing FDI and FPI in Pakistan.
  • 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.
  • AFBC - Starting on the Wrong Foot Seasonality in Mutual Fund Performance

    Source: Stephen J. Brown , Juan M. Sotes-Paladino , George Jiaguo Wang , Chelsea Yaqiong Yao
    Date Submitted: 18 Nov 2016
    Views: 174
    Downloads: 2
    This is the paper to be presented at AFB conference. For consideration for the CFA award.
  • AFBC - Correlated Volatility Shocks

    Source: Xiao Qiao, Yongning Wang
    Date Submitted: 16 Nov 2016
    Views: 482
    Downloads: 4
    Commonality in idiosyncratic volatility can be decomposed into two components, both of which are priced in the cross section. We propose a multivariate GARCH model to fit the data.
  • Momentum Life Cycle around the World and Beyond

    Source: Weikai Li, K.C. John Wei
    Date Submitted: 15 Nov 2016
    Views: 382
    Downloads: 5
    Buying low turnover winner stocks and shorting high turnover loser stocks (early-stage momentum) improves significantly over simple momentum strategies in 36 countries.
  • 号外 - 价格的革命 | 对全球资产配置的思考(中文版)

    Source: Hao Hong, CFA
    Date Submitted: 14 Nov 2016
    Views: 266
    Downloads: 4
    This research report is published on 14 November 2016 by BOCOM.
  • A Price Revolution – On Global Asset Allocation

    Source: Hao Hong, CFA
    Date Submitted: 14 Nov 2016
    Views: 427
    Downloads: 20
    This research report is published on 14 November 2016 by BOCOM.
  • Global Asset Allocation Trends

    Source: Aaron Low, CFA
    Date Submitted: 14 Nov 2016
    Views: 547
    Downloads: 15
    2016 CFA China Conference
  • Principles of Risk Management for Takaful: Policies & Procedures

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 192
    Downloads: 0
    Principles of Risk Management for Takaful: Policies & Procedures
  • Risk Mitigation Strategy: Overcoming crises before they begin

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 184
    Downloads: 1
    overcoming crises before they start by taking a pro-active approach to risk management.
  • Making Sense of ERM Framework: An Integrated Guide

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 198
    Downloads: 0
    This report serves as a broader ERM framework structure, which would allow any company (especially insurance company) to set in-place an ERM implementation approach. ERM framework encapsulates, in a single structured document, the company-wide risk management principles and processes.
  • Risk Policy Structure for General Insurance

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 192
    Downloads: 2
    examing the Risk Policy Structure for General Insurance/takaful.
  • Risk Policy Structure for Life Insurance

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 185
    Downloads: 1
    examing risk policy structure for a life insurance/takaful company.
  • Stress Testing Exercise for Banks

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 181
    Downloads: 2
    stress testing banks and results.
  • Investment Strategy for Takaful: Nurturing metamorphosis of Assets

    Source: Syed Danish Ali
    Date Submitted: 12 Nov 2016
    Views: 334
    Downloads: 1
    investment strategy making for takaful insurance companies.
  • AFBC - Conditioning the Information in Portfolio Optimization

    Source: Carlo Sala, Giovanni Barone Adesi
    Date Submitted: 11 Nov 2016
    Views: 176
    Downloads: 0
    Conditioning the Information in Portfolio Optimization
  • 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: 391
    Downloads: 2
    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: 409
    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.
  • Emerging market equities: an Australian perspective

    Source: Daniel Radcliffe, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 504
    Downloads: 6
    Examines investing in emerging markets from an Australian perspective; noting how currency relationships reduce risk for Australian investors.
  • Interviews with Institutional Investors: The How and Why of Active Investing

    Source: Doug Foster, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 345
    Downloads: 5
    Australian institutional investors are interviewed to learn how they choose between active and passive management, select active equity managers and construct multi-manager portfolios.
  • Equity home bias in Australian superannuation funds

    Source: Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 485
    Downloads: 4
    Equity home bias for Australian super funds is modelled as a 2-asset choice under the influence of legacy, a trade-off between expected returns against portfolio risk and peer risk, and adaptive expectations, and taxation differences.
  • Alpha generation in portfolio management: Long-run Australian equity fund evidence

    Source: Scott Bennett, David Gallagher, Graham Harman, Geoff Warren, Yuki Xi
    Date Submitted: 07 Nov 2016
    Views: 350
    Downloads: 2
    Skill is identified for a comprehensive sample of active Australian equity funds by analyzing trades inferred from monthly holdings, including examining performance by different types of categorizing trades and across funds styles.
  • Do Franking Credits Matter? Exploring the Financial Implications of Dividend Imputation

    Source: Andrew Ainsworth, Graham Partington, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 483
    Downloads: 2
    Examines the implications of dividend imputation for stock prices and returns, cost of capital, project evaluation, capital structure, payout policy and investor portfolios. it is argued that its removal would be detrimental.
  • Are imputation credits capitalised into stock prices?

    Source: Shaun Saiu, Stephen Sault, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 317
    Downloads: 0
    Examines DCF valuations and earnings yields, and finds at best mixed and largely unconvincing evidence of imputation credits being capitalised into share price levels for Australian shares.
  • A new perspective on performance persistence: evidence using portfolio holdings

    Source: Scott Bennett, David Gallagher, Graham Harman, Geoff Warren, Yuki Xi
    Date Submitted: 07 Nov 2016
    Views: 186
    Downloads: 1
    Investigates performance persistence for Australian equity funds using holdings data. Significant persistence is found among outperformers rather than underperformers, and is primarily related to security selection skill.
  • Designing an Investment Organization for Long-Term Investing

    Source: Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 481
    Downloads: 6
    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.
  • Evaluating Fund Capacity: Issues and Methods

    Source: Michael O'Neill, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 199
    Downloads: 0
    Examines the issues and methods for evaluating the capacity of a fund that invests on an investment signal. Discusses how capacity is defined; identifies ten drivers; and outlines approaches for conducting capacity analysis.
  • How Much Does Tax Erode Fund Excess Returns?

    Source: Zhe Chen, David Gallagher, Graham Harman, Geoff Warren, Lihui Xi
    Date Submitted: 07 Nov 2016
    Views: 180
    Downloads: 0
    Models the tax drag for Australian active equity funds versus passive indices. Tax erodes 65% of the 0.74% excess return in Broad Market funds, but only 21% of the 1.80% excess return in Small-Cap funds for superannuation investors.
  • MySuper: A New Landscape for Default Superannuation Funds

    Source: Warren Chant, Mano Mohankumar, Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 389
    Downloads: 1
    This report examines the Australian superannuation default fund landscape following the introduction of MySuper at the beginning of 2014.
  • MySuper vs. KiwiSaver: Retirement Saving for the Less Engaged

    Source: Geoff Warren
    Date Submitted: 07 Nov 2016
    Views: 492
    Downloads: 4
    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: 519
    Downloads: 2
    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: 481
    Downloads: 1
    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.
  • AFBC-Sample selection bias, return moments, and the performance of optimal versus naive diversification

    Source: Bowei Li
    Date Submitted: 31 Oct 2016
    Views: 211
    Downloads: 0
    This paper examines the sample selection bias in portfolio horse races. Numerous studies have developed mean-variance portfolio rules to outperform the naive 1/N portfolio rule. However, this outperformance is often justified with a small number of pre-selected datasets. Using a novel performance test based on a large number of datasets, this paper compares various “1/N outperformers” with the naive rule. The results show that a majority the “1/N outperformers” on average underperform the 1/N rule. More surprisingly, none of the mean-variance rules significantly outperform the naive benchmark in more than 10% of the datasets. To further understand portfolio performance, this paper explores the theoretical relations between assets’ return moments and the performance of optimal versus naive diversification. These relations not only imply strong performance predictability, but also can be exploited to deliver out-of-sample portfolio benefits.
  • 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.
  • Daniel Goleman: Three Steps to Better Investing

    Source: Matthew Borin
    Date Submitted: 14 Oct 2016
    Views: 779
    Downloads: 0
    It is a blog posted on CFA Institute's website on 20 September 2016
  • A mistake for dividend investors

    Source: Kyith Ng
    Date Submitted: 13 Oct 2016
    Views: 355
    Downloads: 0
    There is this article from Clear Eye Investing I would like to share. It touches on some problems that I observed recently during the REIT ran up as well as some investors. There is an absence of looking at the importance of valuation. In most models the much discussed aspects have been the Business, the Cash Flow nature, and the operation conditions. With that in mind, a stock like SATS with a business model that does seems very sturdy when it was announced we will have terminal 4 and 5. Some will look at 4-4.5% as a good return with a 3% growth rate and buy based on that premise. At times the share price of 3.40 could have already baked in a 4% yield growing at 3%. In fact, to be worthy of 3.40, the growth rate would need to be 7-8%. Is that possible? Perhaps. You have to be right on the conditions for it to grow above average. What happens if you overpay?
  • Correlated Volatility Shocks

    Source: Xiao Qiao, Yongning Wang
    Date Submitted: 05 Oct 2016
    Views: 207
    Downloads: 8
    Commonality in idiosyncratic volatility can be decomposed into two components, both of which are priced in the cross section. We propose a multivariate GARCH model to fit the data.
  • AFBC - Chasing Ghosts: Are Investors Fooled by Portfolio Composition at Fund Inception?

    Source: Thomas Ruf, Oleg Chuprinin
    Date Submitted: 04 Oct 2016
    Views: 406
    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: 429
    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.
  • AFBC - Dynamic conditional correlation between Chinese sector returns and the S&P500 index: An interpretation based on investment shocks

    Source: Lingxia Sun, Myeong Hyeon Kim
    Date Submitted: 30 Sep 2016
    Views: 525
    Downloads: 4
    This paper examines the dynamic conditional correlations between the Chinese sector returns and the S&P500 index returns and o ffers an interpretation for the heterogeneity of sector-level return correlations. Using a sample of 12 Chinese sectors for the period of 2006-2014, we first observe that their conditional correlations with the S&P500 index vary signi cantly across sectors and across the two crises, namely, the 2008-2009 Global Financial Crisis and the 2010-2011 European Debt Crisis. We then interpret the heterogeneity of sector-level conditional correlations as arising from their heterogeneous sensitivities to investment shocks. We finally verify our interpretation. Our main finding is that sector-level investment opportunities, as proxied by book-to-market ratio, capital expenditure, long-term debt ratio, growth rate of industry size, and Tobin's Q, are signifi cantly associated with the magnitude of their dynamic conditional correlations. This paper thereby advances our understanding of sectoral heterogeneities from the perspective of their responses to an outer investment shock.
  • Australian Stock Indexes and the Four-Factor Model

    Source: Bruce A. Costa, Keith Jakob, Scott J. Niblock, Elisabeth Sinnewe,
    Date Submitted: 29 Sep 2016
    Views: 197
    Downloads: 3
    Stock indexes are passive ‘value-weighted’ portfolios and should not have alphas which are significantly different from zero. If an index produces an insignificant alpha, then significant alphas for equity funds using this index can be attributed solely to manager performance. However, recent literature suggests that US stock indexes can demonstrate significant alphas, which ultimately raise questions regarding equity fund manager performance in both the US and abroad. In this paper, we employ the Carhart four-factor model and newly available Asian-Pacific risk factors to generate alphas and risk factor loadings for eight Australian stock indexes from January 2004 to December 2012. We find that the initial full sample period analysis does not provide indication of significant alphas in the indexes examined. However, by carrying out 36-month rolling regressions, we discover at least four significant alphas in seven of the eight indexes and factor loading variability. As previously reported in the US, this paper confirms similar issues with the four-factor model using Australian stock indexes and performance benchmarking. In effectively measuring Australian equity fund manager performance, it is therefore essential to evaluate a fund’s alpha and risk factors relative to the alpha and risk factors of the appropriate benchmark index.
  • AFBC - Is Beta Still Useful over a Longer-Horizon?: An Implied Cost of Capital Approach

    Source: Wenyun Shi, Yexiao Xu
    Date Submitted: 26 Sep 2016
    Views: 3335
    Downloads: 71
    A research paper to be presented in the 29th AFBC, which re-examines the beta effect under implied cost of capital settings.
  • Portfolio allocation in an overvalued market

    Source: Asif Khan
    Date Submitted: 22 Sep 2016
    Views: 601
    Downloads: 0
    This is a blog post describing various ways investors can construct portfolios in an environment where low interest rates have lead to high asset prices. It is written from the perspective of an US equity investor although the conclusions apply to all countries.
  • Survey data suggests a blended robo model is best for advising investors

    Source: Dan Daugaard, Senior Lecturer and Director of CFA Institute Partnership Program at Macquarie University Applied Finance Centre
    Date Submitted: 22 Sep 2016
    Views: 578
    Downloads: 0
    A review of industry surveys suggests that a blended business model combining both robo and face-to-face advice would best fit investor needs - both across the range of investor categories as well as flexibly accommodating the evolving demand by investors for different forms of advice through time.
  • AFBC-Asset diversification and efficiency: Evidence from the Chinese banking sector

    Source: Kai Du, Andrew C. Worthington, Valentin Zelenyuk
    Date Submitted: 20 Sep 2016
    Views: 540
    Downloads: 12
    This paper investigates the impact of earning asset diversification on Chinese bank efficiency from 2006 to 2011. To do so, we adapt the Simar and Wilson (2007) (Journal of Econometrics) approach to panel data context so that approach allows for technology change over time. Regression results reveal that increasing the asset share of other earning assets (including securities and derivatives) is positively associated with bank efficiency. Decreasing the share of nonearning assets in total assets or increasing total equity has a similar impact. Our results also suggest that financial reforms currently being undertaken in China, including removing the regulatory requirement concerning the ratio of loans to deposits (a new draft amendment to the existing commercial banking law) and interest rate liberalization (a proposed draft amendment), are likely to induce a significant positive effect on bank efficiency in China.
  • 最拥挤的交易(中文版)

    Source: Hao Hong, CFA
    Date Submitted: 19 Sep 2016
    Views: 387
    Downloads: 8
    This article appear on WenXin's blog "洪灝的中国市场策略" on 13 September 2016.
  • 最拥挤的交易 (English Version)

    Source: Hao Hong, CFA
    Date Submitted: 19 Sep 2016
    Views: 253
    Downloads: 1
    This article appear on WenXin's blog "Hong Hao China Strategy" on 12 September 2016.
  • AFBC – Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders

    Source: Yeguang Chi
    Date Submitted: 19 Sep 2016
    Views: 1133
    Downloads: 62
    Title: Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders
  • Environmental Protection Funds Recommendation

    Source:
    Date Submitted: 18 Sep 2016
    Views: 220
    Downloads: 2
    Environmental Protection Funds Recommendation
  • SOE Reform Funds Recommendation

    Source:
    Date Submitted: 18 Aug 2016
    Views: 408
    Downloads: 6
    SOE Reform Funds Recommendation
  • Financial leverage and stock returns: evidence from an emerging economy

    Source: Nawazish Mirza, PhD, Birjees Rahat, Krishna Reddy, PhD
    Date Submitted: 18 Aug 2016
    Views: 590
    Downloads: 1
    The aim of this research was to examine the propositions of Campbell et al. and Mirza et al. on pricing of leverage in stock returns using a comprehensive set of firms listed on the Karachi Stock Exchange (KSE) over a period of 13 years. This is original research published by Economic Research (Impact Factor 0.46).
  • The Ex-Dividend Day Stock Price Behavior: Evidence from Pakistan

    Source: Sana Tauseef, Mohammad Nishat
    Date Submitted: 10 Aug 2016
    Views: 352
    Downloads: 13
    Original research by author
  • Impact of Pakistan Market Upgradation by MSCI

    Source: Saad Hashemy
    Date Submitted: 05 Aug 2016
    Views: 464
    Downloads: 34
    Pakistan Market has been upgraded from Frontier Markets to Emerging Market status by MSCI with significant positive impact.
  • Pakistan Investment Strategy 2016

    Source: Saad Hashemy
    Date Submitted: 05 Aug 2016
    Views: 467
    Downloads: 23
    Briefly describes the author's recommendations for pursuing investment strategy in Pakistan
  • Medical & Healthcare Funds Recommendation

    Source: Shanghai Vstone Asset Management Co. Ltd
    Date Submitted: 22 Jul 2016
    Views: 251
    Downloads: 3
    Medical & Healthcare Funds Recommendation
  • The end of A-share DaXin Strategy and its Implication to China Bond Investment

    Source: WeiYong Gu, CFA
    Date Submitted: 17 Jul 2016
    Views: 267
    Downloads: 3
    This is a research report published by UCON Investments in July 2015.
  • The Effects of Political Uncertainty on Financial Markets

    Source: Asjeet S. Lamba
    Date Submitted: 14 Jul 2016
    Views: 239
    Downloads: 4
    This is a presentation made to members of the CFA Society Melbourne on 14 July 2016.
  • 对冲基金回报率中的隐性生存

    Source: Rajesh K. Aggarwal, Philippe Jorion
    Date Submitted: 13 Jul 2016
    Views: 474
    Downloads: 7
    此项研究确定了 TASS 数据库中一项未曾报告过的偏差。由于和崔盟 (Tremont) 数据库合并,1999 年 4 月至 2001 年 11 月期间添加到 TASS 数据库的基金中,60% 可能得以幸存(例如,仅从截至 1999 年 3 月 31 日时存在的基金中选取的基金)。由此产生了巨大的生存偏差,平均每年超过 5%。通常被界定为回填期间的词语实际上代表了隐性生存。于是提出排序算法,来排除这些基金的历史。
  • 书评 “资产管理:因素投资的系统化途径”

    Source: William J. Bernstein
    Date Submitted: 13 Jul 2016
    Views: 528
    Downloads: 6
    The book "Asset Management: A Systematic Approach to Factor Investing" is written by Prof. Andrew Ang from University of Columbia Business School. It is published in 2014.
  • 科学、艺术与投资管理

    Source: Nathan Jaye, CFA
    Date Submitted: 13 Jul 2016
    Views: 472
    Downloads: 10
    This article appears on CFA Institute's Magazine Nov/Dec 2014.
  • 对冲基金回报是否可以 被廉价的复制?

    Source: Lars Jaeger, CFA
    Date Submitted: 13 Jul 2016
    Views: 547
    Downloads: 16
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 《基金业斗士先锋创始人 ——约翰·博格毕生将投资人放 在第一位》

    Source: Murad J. Antia, CFA
    Date Submitted: 13 Jul 2016
    Views: 442
    Downloads: 5
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 收益预测和动态资产配置文摘

    Source: Himanshu Almadi, David E. Rapach, Anil Suri
    Date Submitted: 13 Jul 2016
    Views: 422
    Downloads: 3
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 关于分散投资与系统风险的文摘

    Source: Louis Raffestin
    Date Submitted: 13 Jul 2016
    Views: 238
    Downloads: 1
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 报纸上的文章能预测 总体股票收益吗?

    Source: Manuel Ammann, Roman Frey, Michael Verhofen
    Date Submitted: 13 Jul 2016
    Views: 317
    Downloads: 9
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 授人以鱼不如授人以渔

    Source: Michael A. Ervolini
    Date Submitted: 13 Jul 2016
    Views: 383
    Downloads: 10
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 超越比特币:加密货币初露锋芒

    Source: Sviatoslav Rosov
    Date Submitted: 13 Jul 2016
    Views: 395
    Downloads: 5
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 暗池中的规则交易

    Source: Sherree DeCovny
    Date Submitted: 13 Jul 2016
    Views: 293
    Downloads: 3
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 与众不同的标志

    Source: Jason Voss, CFA
    Date Submitted: 13 Jul 2016
    Views: 364
    Downloads: 13
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • 论投资决策力的决定性优势

    Source: Jason Voss, CFA
    Date Submitted: 12 Jul 2016
    Views: 544
    Downloads: 10
    This article appears on CFA Institute Hedge Fund Journal 2016 issue, season 1.
  • Managing Multi-Asset Strategies

    Source: Larry Cao
    Date Submitted: 11 Jul 2016
    Views: 490
    Downloads: 38
    Managing Multi-Asset Strategies identifies key challenges the investment management industry faces today in providing a sound solution to investors. The insights shared here by some of the most sophisticated institutional investors and the brightest minds in academia form the foundation for tackling these critical issues. Paul Smith, CFA President and CEO CFA Institute
  • Three Things Investors Can Learn from Surfers

    Source: David Allison, CFA, CIPM
    Date Submitted: 04 Jul 2016
    Views: 249
    Downloads: 1
    This is a blog posted on CFA Institute's website on 26 January 2015.
  • 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 .
  • Three Reasons Why It Is Still a Good Time to Talk about Inflation

    Source: David Allison, CFA, CIPM
    Date Submitted: 03 Jul 2016
    Views: 468
    Downloads: 1
    This is a blog posted on CFA Institute's website on 11 November 2015.
  • India’s Infrastructure Investments: Huge Opportunities but No Takers

    Source: Laurel Teo, CFA
    Date Submitted: 29 Jun 2016
    Views: 401
    Downloads: 2
    This is a blog posted on CFA Institute's website on 26 January 2015.
  • Investing in China May Just Get Easier

    Source: Larry Cao, CFA
    Date Submitted: 29 Jun 2016
    Views: 304
    Downloads: 1
    This is a blog posted on CFA Institute's website on 22 April 2014.
  • What Makes Emerging Market Debt Tick?

    Source: Larry Cao, CFA
    Date Submitted: 29 Jun 2016
    Views: 303
    Downloads: 4
    This is a blog posted on CFA Institute's website on 29 April 2014.
  • Emerging Market Debt: An Overlooked Source of Alpha?

    Source: Larry Cao, CFA
    Date Submitted: 29 Jun 2016
    Views: 497
    Downloads: 3
    This is a blog posted on CFA Institute's website on 28 May 2014.
  • Impact Investing in India: Poised to Grow?

    Source: Heda Bayron
    Date Submitted: 29 Jun 2016
    Views: 2220
    Downloads: 29
    This is a blog posted on CFA Institute's website on 7 July 2014.
  • Reality Check: What Is India’s New Budget Telling Investors?

    Source: Larry Cao, CFA
    Date Submitted: 29 Jun 2016
    Views: 359
    Downloads: 1
    This is a blog posted on CFA Institute's website on 28 July 2014.
  • India and the Road Ahead

    Source: Mark Harrison, CFA
    Date Submitted: 29 Jun 2016
    Views: 519
    Downloads: 5
    This is a blog posted on CFA Institute's website on 14 January 2014.
  • Japan Enters Recession: Should We Be Surprised?

    Source: Ron Rimkus, CFA
    Date Submitted: 29 Jun 2016
    Views: 267
    Downloads: 0
    This is a blog posted on CFA Institute's website on 17 November 2014.
  • Shadow Banking Is Hurting China’s Banks — And That’s a Good Thing

    Source: Paul Smith, CFA
    Date Submitted: 29 Jun 2016
    Views: 241
    Downloads: 1
    This is a blog posted on CFA Institute's website on 10 March 2014
  • Where to Invest in China: Four Powerful Trends Long-Term Investors Can’t Ignore

    Source: Larry Cao, CFA
    Date Submitted: 29 Jun 2016
    Views: 374
    Downloads: 0
    This is a blog posted on CFA Institute's website on 26 November 2014.
  • Nobel Laureate Myron Scholes on the Common Mistakes Research Analysts Make

    Source: Larry Cao, CFA
    Date Submitted: 28 Jun 2016
    Views: 538
    Downloads: 4
    This is a blog posted on CFA Institute's website on 20 October 2014.
  • Nobel Laureate Robert Engle on VaR, Systemic Risk, and Liquidity

    Source: Larry Cao, CFA
    Date Submitted: 28 Jun 2016
    Views: 294
    Downloads: 1
    This is a blog posted on CFA Institute's website on 16 July 2014.
  • Nobel Laureate Robert Engle on High-Frequency Trading and Portfolio Management

    Source: Larry Cao, CFA
    Date Submitted: 27 Jun 2016
    Views: 253
    Downloads: 0
    This is a blog posted on CFA Institute's website on 21 July 2014.
  • Seven Essential Steps in Portfolio Management

    Source: Larry Cao, CFA
    Date Submitted: 27 Jun 2016
    Views: 728
    Downloads: 0
    This is a blog posted on CFA Institute's website on 12 August 2014.
  • How to Invest in China: Five Myths Stock Investors Should Ignore

    Source: Larry Cao, CFA
    Date Submitted: 27 Jun 2016
    Views: 589
    Downloads: 0
    This is a blog posted on CFA Institute's website on 19 November 2014.
  • Weekend Reads for Global Investors: What Drove Chinese Stocks Up 128% Last Year?

    Source: Larry Cao, CFA
    Date Submitted: 27 Jun 2016
    Views: 375
    Downloads: 0
    This article appeared on CFA Institute's website on 29 May 2015.
  • To Rebalance or Not to Rebalance

    Source: Larry Cao, CFA
    Date Submitted: 24 Jun 2016
    Views: 225
    Downloads: 0
    This is a blog posted on CFA Institute's website on 4 August 2015
  • Myron Scholes on the Challenges the Investment Management Industry Faces

    Source: Larry Cao, CFA
    Date Submitted: 24 Jun 2016
    Views: 228
    Downloads: 0
    This is a blog posted on CFA Institute's website on 21 July 2015
  • Portfolio Evaluation: Benchmarking for Success

    Source: Larry Cao, CFA
    Date Submitted: 24 Jun 2016
    Views: 401
    Downloads: 2
    This is a blog posted on CFA Institute's website on 11 May 2015.
  • An Advance in Portfolio Construction

    Source: Larry Cao, CFA
    Date Submitted: 24 Jun 2016
    Views: 532
    Downloads: 3
    This is a blog posted on CFA Institute's website on 8 March 2016.
  • Three Key Decisions in Formulating an Asset Allocation Strategy

    Source: Larry Cao, CFA
    Date Submitted: 24 Jun 2016
    Views: 228
    Downloads: 0
    This is a blog posted on CFA Institute's website on 10 March 2015.
  • Multi-Asset Strategies: A Primer

    Source: Larry Cao, CFA
    Date Submitted: 23 Jun 2016
    Views: 223
    Downloads: 0
    This is a blog posted on CFA Institute's website on 8 March 2016.
  • Where to Invest in Emerging Markets: Lessons from the Taper Tantrum

    Source: Larry Cao, CFA
    Date Submitted: 23 Jun 2016
    Views: 248
    Downloads: 0
    This is a blog posted on CFA Institute's website on 10 February 2015.
  • Have Emerging Markets Emerged?

    Source: Larry Cao, CFA
    Date Submitted: 23 Jun 2016
    Views: 440
    Downloads: 0
    This is a blog posted on CFA Institute's website on 3 February 2015.
  • Robert Engle on Systemic Risk in China and around the World

    Source: Larry Cao, CFA
    Date Submitted: 23 Jun 2016
    Views: 521
    Downloads: 2
    This is a blog posted on CFA Institute's website on 8 March 2016.
  • Technical Basic Guide to Deep Learning

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 252
    Downloads: 3
    Investigate the basic tenets of deep learning and why deep learning is becoming very important for investments.
  • Impact Investing and Social Finance: Relevance for Property & Casualty Insurance

    Source: Syed Danish Ali
    Date Submitted: 23 Jun 2016
    Views: 369
    Downloads: 1
    Relevance of impact investments to Property & Casualty Insurance
  • 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.
  • 除了房子,还有诗和远方

    Source: 黄凡, CFA
    Date Submitted: 21 Jun 2016
    Views: 482
    Downloads: 6
    This article is published on 16 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.
  • “India Does Not Need to Learn Capitalism from the West,” Says Lord Desai Share on Facebook Share on Twitter Share on LinkedIn Share via E-Mail

    Source: CK Lee, CFA
    Date Submitted: 20 Jun 2016
    Views: 524
    Downloads: 2
    This is a blog posted on CFA Institute's website on 26 January 2012.
  • A New Investment Thesis for China

    Source: CK Lee, CFA
    Date Submitted: 20 Jun 2016
    Views: 385
    Downloads: 2
    This is a blog posted on CFA Institute's website on 12 March 2012.
  • Introspection Can Improve Your Investing

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 260
    Downloads: 0
    This is a blog posted on CFA Institute's website on 5 February 2014.
  • Current Investment Traps

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 259
    Downloads: 1
    This is a blog posted on CFA Institute's website on 28 January 2014.
  • Is Your Age Everything in Investing, or Just a Number?

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 369
    Downloads: 1
    This is a blog posted on CFA Institute's website on 5 February 2014.
  • Is Fencing the Key to Evaluating Investment Performance?

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 221
    Downloads: 0
    This is a blog posted on CFA Institute's website on 11 February 2014.
  • 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.
  • Interaction of My Investment Muses

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 225
    Downloads: 1
    This is a blog posted on CFA Institute's website on 25 February 2014.
  • The Ultimate Contrarian Advice: Don’t Follow Buffett to the Peak

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 230
    Downloads: 0
    This is a blog posted on CFA Institute's website on 5 March 2014.
  • Successful Investing Is Not a Ranking

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 230
    Downloads: 0
    This is a blog posted on CFA Institute's website on 18 March 2014.
  • Opportunities Gained Through Losses for Some

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 230
    Downloads: 0
    This is a blog posted on CFA Institute's website on 24 March 2014.
  • Inflation, the Oldest and Most Powerful Force in the Galaxy

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 369
    Downloads: 3
    This is a blog posted on CFA Institute's website on 10 April 2014.
  • Shallow Investment Pitches Lead to Strike Outs

    Source: A. Michael Lipper, CFA
    Date Submitted: 20 Jun 2016
    Views: 242
    Downloads: 1
    This is a blog posted on CFA Institute's website on 18 April 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.
  • Premature Selling Is Tough but Beneficial

    Source: A. Michael Lipper, CFA
    Date Submitted: 19 Jun 2016
    Views: 254
    Downloads: 0
    This is a blog posted on CFA Institute's website on 17 June 2014.
  • Six Probable Investment Mistakes

    Source: A. Michael Lipper, CFA
    Date Submitted: 19 Jun 2016
    Views: 264
    Downloads: 0
    This is a blog posted on CFA Institute's website on 15 September 2014.
  • Bonds = Risks

    Source: A. Michael Lipper, CFA
    Date Submitted: 19 Jun 2016
    Views: 554
    Downloads: 0
    This is a blog posted on CFA Institute's website on 10 October 2014.
  • Two Questions I Am Asking to Survive This Market

    Source: A. Michael Lipper, CFA
    Date Submitted: 19 Jun 2016
    Views: 311
    Downloads: 2
    This is a blog posted on CFA Institute's website on 18 October 2014.
  • What Is the Relevant Time Period for Your Investment Portfolio?

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 370
    Downloads: 0
    This is a blog posted on CFA Institute's website on 11 December 2014.
  • My Investment Worries: The Dollar, Large-Cap Stocks, Treasuries, and ETFs

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 343
    Downloads: 0
    This is a blog posted on CFA Institute's website on 7 January 2015
  • Who Protects You from Losses?

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 387
    Downloads: 1
    This is a blog posted on CFA Institute's website on 29 January 2015
  • Focus for Investment Victory

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 264
    Downloads: 0
    This is a blog posted on CFA Institute's website on 23 February 2015.
  • Seven Reasons Active Management Underperformed in 2015

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 530
    Downloads: 0
    This is a blog posted on CFA Institute's website on 19 January 2016
  • Three Clues for Assessing Management

    Source: A. Michael Lipper, CFA
    Date Submitted: 17 Jun 2016
    Views: 393
    Downloads: 0
    This is a blog posted on CFA Institute's website on 30 November 2015.
  • 谢清海:成功基金经理的7大技能

    Source: 谢清海
    Date Submitted: 17 Jun 2016
    Views: 283
    Downloads: 5
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 投资要引入政局博弈论

    Source: Brian Singer
    Date Submitted: 17 Jun 2016
    Views: 299
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 人口年龄与投资回报

    Source: Susan Trammel
    Date Submitted: 16 Jun 2016
    Views: 385
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 从基于因子的方法中赢得动量

    Source: Barry B. Burr
    Date Submitted: 16 Jun 2016
    Views: 248
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 资产定价:两个交易日的不同故事

    Source: Pavel Savor, Mungo Wilson
    Date Submitted: 16 Jun 2016
    Views: 252
    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.
  • 领会夏普和马克维茨!

    Source: Laurence B. Siegel
    Date Submitted: 16 Jun 2016
    Views: 438
    Downloads: 3
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 蜂群和蜜蜂 仿生学能否改进投资决策?

    Source: Nathan Jaye
    Date Submitted: 16 Jun 2016
    Views: 253
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1.
  • 显微镜下的微秒

    Source: Sherree DeCovny
    Date Submitted: 16 Jun 2016
    Views: 294
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2015 issue, season 1. The original article appeared on CFA Institute Magazine, July/August 2014, Volume 25 Issue 4.
  • 投资行业的第二次机会

    Source: Robert Jenkins, CFA
    Date Submitted: 16 Jun 2016
    Views: 275
    Downloads: 0
    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.
  • 敏捷,灵活,无差错

    Source: Ed McCarthy
    Date Submitted: 16 Jun 2016
    Views: 269
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 理性预期和模糊性

    Source: Thomas J. Sargent
    Date Submitted: 16 Jun 2016
    Views: 274
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 对冲基金类阿尔法性业绩特征

    Source: Bill Fung
    Date Submitted: 16 Jun 2016
    Views: 263
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 大型对冲基金公司的业绩特征

    Source: William Fung
    Date Submitted: 15 Jun 2016
    Views: 407
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 高频交易的应对之道

    Source: Larry Harris, CFA
    Date Submitted: 15 Jun 2016
    Views: 290
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 中国信用市场的投资机会

    Source: 李向辉, CFA, FRM, CAIA
    Date Submitted: 15 Jun 2016
    Views: 423
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2014 issue, season 2.
  • 如何投资于 一个低收益的世界

    Source: Jason Voss, CFA
    Date Submitted: 15 Jun 2016
    Views: 295
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute's official website: http://annual.cfainstitute.org/2013/05/22/how-to-invest-in-a-low-yield-world/
  • THOMAS SARGENT: 关于风险、不确定性 以及投资决策

    Source: Ron Rimkus, CFA
    Date Submitted: 15 Jun 2016
    Views: 256
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute's official website: http://annual.cfainstitute.org/2013/05/21/nobel-prize-winner-thomas-sargent-on-risk-ambiguity-and-investment-decision-making/
  • 书评:《在音乐停止以后: 金融危机、当前应对及未来任务》

    Source: Martin S. Fridson, CFA, Michael A. Martorelli, CFA
    Date Submitted: 15 Jun 2016
    Views: 260
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute's official website: http://www.cfapubs.org/doi/full/10.2469/br.v8.n1.15
  • 生命周期投资: 金融教育及消费者保护

    Source: Zvi Bodie, Laurence B. Siegel, Lisa Stanton, CFA
    Date Submitted: 15 Jun 2016
    Views: 291
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute's official website: http://cfainstitute.org/learning/products/publications/contributed/privatewealth/Documents/rf_summary_life_cycle_investing.pdf
  • 真实世界中的投资风险

    Source: Lauren Foster
    Date Submitted: 15 Jun 2016
    Views: 276
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute's official website: http://annual.cfainstitute.org/2013/05/23/investment-risk-in-the-real-world/
  • 退休期的投资和退出策略: “安稳退休”水桶法

    Source: Lauren Foster
    Date Submitted: 15 Jun 2016
    Views: 263
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2. The original article appears on CFA Institute's official website: http://annual.cfainstitute.org/2013/05/22/investing-and-withdrawalstrategies-during-retirement-the-retire-well-bucket-approach/
  • 引入跌幅以衡量风险

    Source: 梁慧芝, CFA
    Date Submitted: 15 Jun 2016
    Views: 242
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2.
  • 投资管理费用结构

    Source: STEFAN WHITWELL, CFA, CIPM
    Date Submitted: 14 Jun 2016
    Views: 266
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2.
  • 泛资产管理的展望

    Source: 王峰, 万云
    Date Submitted: 14 Jun 2016
    Views: 423
    Downloads: 3
    This article appears on CFA Institute hedge fund journal 2013 issue, season 2.
  • On the Impact of Closet Indexing in Active Fund

    Source: Wai Mun FONG
    Date Submitted: 14 Jun 2016
    Views: 425
    Downloads: 1
    We develop a simple analytical model to quantify the performance impact of closet indexing in the active portfolio management. The practical value of the model to investors is illustrated using empirical data from a recent study of US mutual funds.
  • Unravelling the Idiosyncratic Volatility Puzzle

    Source: Wai Mun FONG
    Date Submitted: 14 Jun 2016
    Views: 482
    Downloads: 4
    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.
  • 对冲基金市场奇才: 成功的交易者是如何获胜的

    Source: Mark S. Rzepczynski
    Date Submitted: 14 Jun 2016
    Views: 273
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 量时钟: 洞察高频交易模式

    Source: David Easley, Marcos M. López de Prado, Maureen O’Hara
    Date Submitted: 14 Jun 2016
    Views: 249
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 走出黑暗: 对冲基金报告偏差与商业数据库

    Source: Adam L. Aiken, CFA, Christopher P. Clifford, Jesse Ellis
    Date Submitted: 14 Jun 2016
    Views: 255
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 受增长蒙蔽的投资者

    Source: Javier Estrada
    Date Submitted: 14 Jun 2016
    Views: 265
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 投资组合与狗的勇气

    Source: 刘儒明
    Date Submitted: 14 Jun 2016
    Views: 321
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 大格局判断与宏观投资

    Source: 刘海影,CFA
    Date Submitted: 14 Jun 2016
    Views: 297
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 启发新思维

    Source: Jonathan Barnes
    Date Submitted: 14 Jun 2016
    Views: 255
    Downloads: 0
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 资产管理的前景 标志性的趋势预示着未来

    Source: Maha Khan Phillips
    Date Submitted: 14 Jun 2016
    Views: 370
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • 市场和投资的经验之谈

    Source: Eugene F. Fama
    Date Submitted: 14 Jun 2016
    Views: 250
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2013 issue, season 1.
  • Model Request for Proposal—Real Estate: A Template for Small Institutional Investors

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 512
    Downloads: 5
    This paper appeared on CFA Institute's website in September 2008.
  • Model Request for Proposal—Fixed Income: A Template for Small Institutional Investors

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 382
    Downloads: 1
    This paper appeared on CFA Institute's website in September 2008.
  • Model Request for Proposal—Equity: A Template for Small Institutional Investors

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 518
    Downloads: 5
    This paper appeared on CFA Institute's website in September 2008.
  • Elements of an Investment Policy Statement for Institutional Investors

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 582
    Downloads: 4
    This paper appeared on CFA Institute's website in May 2010.
  • Elements of an Investment Policy Statement for Individual Investors

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 509
    Downloads: 1
    This paper appeared on CFA Institute's website in May 2010.
  • Global Investment Performance Standards (2005 edition)

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 261
    Downloads: 1
    This appeared on CFA Institute's website in February 2005.
  • Global Investment Performance Standards (GIPS®): As Adopted by the GIPS Executive Committee on 29 January 2010

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 267
    Downloads: 1
    This paper appeared on CFA Institute's website in January 2010.
  • Global Investment Performance Standards Handbook (3rd edition)

    Source: CFA Institute
    Date Submitted: 13 Jun 2016
    Views: 506
    Downloads: 6
    This appeared on CFA Institute's website in November 2012.
  • Best Practice Guidelines Governing Analyst/Corporate Issuer Relations

    Source: CFA Institute
    Date Submitted: 12 Jun 2016
    Views: 539
    Downloads: 2
    This paper appeared on CFA Institute's website in February 2005.
  • Apples to Apples: A Template for Reporting Quarterly Earnings

    Source: Kurt N. Schacht, CFA, Dean Krehmeyer, Tom Larsen, CFA, Matthew Orsagh, CFA
    Date Submitted: 12 Jun 2016
    Views: 426
    Downloads: 3
    This paper appeared on CFA Institute's website in March 2007.
  • Stock market volatility around national elections

    Source: Bialkowski, J., Gottschalk, K., Wisniewski, T.P.
    Date Submitted: 09 Jun 2016
    Views: 710
    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.
  • An Analysis of the Short- and Long-Run Relationships Between South Asian and Developed Equity Markets

    Source: Asjeet S. Lamba
    Date Submitted: 07 Jun 2016
    Views: 364
    Downloads: 0
    In this paper, I conduct a detailed, large sample analysis of the short- and long-run relationships between the South Asian markets of India, Pakistan and Sri Lanka and the major developed markets during July 1997 - December 2003. Using a multivariate cointegration framework and vector error-correction modeling I find that the Indian market is influenced by the US, UK and Japan and that this influence has persisted following the September 11, 2001 terrorist attacks on the US. For Pakistan and Sri Lanka I find that these markets are relatively isolated from the major developed markets during the entire sample period. I also find that the three South Asian equity markets are becoming more integrated with each other but at a relatively slow pace.
  • 货币增益:外汇市场是不是机构投资者追逐ALPHA的处女地?

    Source: Nathan Jaye, CFA
    Date Submitted: 07 Jun 2016
    Views: 309
    Downloads: 6
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on CFA Institute Magazine, November/December 2013, Vol. 24, No. 6: 20–23
  • 解密对冲基金策略配置

    Source: Ted Seides, CFA
    Date Submitted: 07 Jun 2016
    Views: 503
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on Investment Risk and Performance Feature Articles, July 2012, Vol. 2012, No. 1: 1–5
  • 解密对冲基金指数偏差

    Source: Deborah Kidd, CFA
    Date Submitted: 07 Jun 2016
    Views: 448
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on Investment Risk and Performance Feature Articles.
  • 浅谈中国对冲基金的过去,现在和未来

    Source: 费飞
    Date Submitted: 07 Jun 2016
    Views: 479
    Downloads: 2
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.
  • 活在混沌:不确定性下的估值

    Source: Aswath Damodaran
    Date Submitted: 07 Jun 2016
    Views: 414
    Downloads: 8
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1. The original article appears on CFA Institute Conference Proceedings Quarterly , December 2013, Vol. 30, No. 4: 22–36
  • 对冲基金的崛起

    Source: 郭涛,CFA
    Date Submitted: 07 Jun 2016
    Views: 516
    Downloads: 7
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.
  • 第四因素:在贝塔收益中追踪动量敞口

    Source: Steven L. Beach
    Date Submitted: 07 Jun 2016
    Views: 283
    Downloads: 1
    This article appears on CFA Institute hedge fund journal 2014 issue, season 1.
  • Retail Investment Funds Performance in Asia Pacific: What Every Investor Should Know

    Source: Lee Kha Loon
    Date Submitted: 06 Jun 2016
    Views: 259
    Downloads: 0
    This is a blog posted on CFA Institute's website on 30 May 2012.
  • Japan’s Government Pension Investment Fund, Among Others, Forced Away from Fixed Income

    Source: Alexander Flatscher
    Date Submitted: 06 Jun 2016
    Views: 385
    Downloads: 0
    This is a blog posted on CFA Institute's website on 23 October 2012.
  • Buyer Beware: the Common Traits of Investment Product Scams

    Source: Alan Lok
    Date Submitted: 06 Jun 2016
    Views: 501
    Downloads: 2
    This is a blog posted on CFA Institute's website on 5 August 2014.
  • Does Institutional Shareholding Affect Firm Value_An Empirical Analysis in Indian Market

    Source: Dr. Amiya Kumar Sahu
    Date Submitted: 29 May 2016
    Views: 5722
    Downloads: 141
    This is a working paper from my PhD thesis on "MONITORING BY FINANCIAL INSTITUTIONS AND IMPACT ON FIRM PERFORMANCE: EVIDENCE FROM INDIA". The paper empirical provides evidence of emergence of Institutional monitoring in India's corporate governance sphere dominated by foreign institutions (FIIs).
  • Property Fund valuation in Thailand

    Source: Pongtum Thavaramara
    Date Submitted: 29 May 2016
    Views: 559
    Downloads: 18
    Thailand's market in Property funds (REITs) is characterized by a large number of externally managed small funds, most of which are traded at a discount from their Net Asset Values (NAV). This paper will analyze the relationship between the REIT structure and deviations from NAV. Using panel data from 36 different Thai property funds from 2008 to 2014, a random effects model is applied to explain the variations from NAV. Empirical results show that factors that managers can control have significant positive effect on premia, and that the effect is observed in the very short run. This provides evidence that investors are willing to pay a premium for REITs with better fundamentals.
  • Key driving factors behind investment success in REITs (Asia pacific excluding Japan context)

    Source: Alan Lok
    Date Submitted: 20 May 2016
    Views: 1851
    Downloads: 74
    This dissertation attempted to examine the relationship between investment return variability and Real Estate Investment Trust (REIT) characteristics. A multifactor model based on a set of broader environment and firm-specific factors were developed to test out the explanatory power of each variable. The geographical scope of this study spanned across Australia, Hong Kong and Singapore. The quantitative analysis method utilized is linear regression and the length of data started from June 2007 and ended in June 2012 which covered the entire period of global financial crisis (GFC).
  • International evidence on the Democrat premium and the presidential cycle effect

    Source: Katrin Gottschalk, Martin T. Bohl
    Date Submitted: 09 May 2016
    Views: 676
    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.
  • The dynamic linkage among the Asian REITS market

    Source:
    Date Submitted: 27 Apr 2016
    Views: 529
    Downloads: 0
    This paper investigates the long-run relationship and short-term linkage among the Asian REIT markets before, during and after global financial crisis through the combination of Johansen Cointegration Test and Granger Causality Test. The results indicate that the existence of cross-border diversification opportunities remain even though the markets were cointegrated since the global financial crisis. Short-run causality tests show that the number of causality relationships decrease over the time. Overall, the results suggest that domestic REIT investors can achieve diversification benefits by incorporating certain international REITs into the domestic portfolio, but they need to review their portfolios periodically as the linkages among markets could change from time-to-time.
  • Mean Variance Portfolio Choice with Uncertain Mean and Variance Covariance Matrix

    Source: S.Suwanhirunkul
    Date Submitted: 20 Apr 2016
    Views: 497
    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.
  • Road blocks or the road to ESG integration?

    Source:
    Date Submitted: 10 Apr 2016
    Views: 768
    Downloads: 33
    Recent international forums such as COP21 and the World Economic Forum have drawn increased attention to global economic risks arising from corporate environmental, social and governance (ESG) practices and performance. The global drive towards considering ESG factors as core components of business and investment strategies gains momentum year-on-year. Based on a presentation shared with CFA members in New Zealand and Melbourne, this FTSE Russell article explains the trends taking place in Australia and Asia Pacific…
  • Capturing the Financial Investment Research Environment in China

    Source:
    Date Submitted: 22 Mar 2016
    Views: 431
    Downloads: 0
    Answer some basic questions about financial investement research environment in China,e.g. How is research understood, and the need for it, perceived? What themes/topics are currently receiving the greatest research interest?
  • Comment on Filipino Millennials' Investing Preferences

    Source: Jon Louis P. Santos
    Date Submitted: 21 Mar 2016
    Views: 641
    Downloads: 35
    This commentary takes a look at the current economic situation of the millennials, their opportunities and fears over the financial and investment systems in the Philippines.
  • Concept Paper: Grain Processing Complex (

    Source: Benedict D. Santos
    Date Submitted: 20 Mar 2016
    Views: 245
    Downloads: 1
    This paper is a short summary on addressing one of the major problems faced by the farmers in the Philippines. This is part of a more extensive research paper done by the author.
  • Investing 102: Sovereign Wealth Fund for Dummies

    Source: Abbygayle M. Estrella, Sharmaine H. Uy
    Date Submitted: 17 Mar 2016
    Views: 439
    Downloads: 8
    This article, which was originally published for Business students-readers, serves as an introduction to sovereign wealth funds, how it is managed and created, and its prospects in the Philippines.
  • A Company Outlook on Aboitiz Power Corporation 2015 onwards

    Source: Jeffrey Ayo, Daniel Camagay, Ronald Tan, Martin Whalley
    Date Submitted: 17 Mar 2016
    Views: 697
    Downloads: 34
    A general outlook on Aboitiz Power Corporation, a publicly listed company on the Philippine stock exchange.
  • A Win-Win for Telstra and SMC

    Source: Hans Roderick A. Cargullo
    Date Submitted: 17 Mar 2016
    Views: 354
    Downloads: 4
    This is a brief commentary on the reason Telstra backed out from the joint venture deal in the Philippines.
  • Efficiency of Hedging Against Fluctuating Prices of Dairy Products

    Source: Jan Koeman, Jędrzej Białkowski
    Date Submitted: 22 Feb 2016
    Views: 729
    Downloads: 16
    This article has been published in Applied Finance Letters, Volume 4(1&2), 2015, pp. 6-11.
  • KiwiSaver, Who Is Really Reaping The Benefits?

    Source: Bart Frijns, Alireza Tourani-Rad
    Date Submitted: 22 Feb 2016
    Views: 321
    Downloads: 2
    This article has been published in Applied Finance Letters, Volume 3(2), 2014, pp. 12-15.
  • The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities: Evidence from Asia-Pacific Markets

    Source: Jose Da Fonseca, Katrin Gottschalk
    Date Submitted: 26 Jan 2016
    Views: 682
    Downloads: 27
    This is an empirical research paper.