Domestic Funds Research Articles

국내 펀드의 적극적 리스크와 성과 지속성 사이 관계

[연구목적] 본 연구는 펀드의 적극적 리스크 배분과 성과 지속성 사이 관계를 분석해서 리스크예산의 효용을 탐색한다.<BR>[연구방법] 본 연구는 국내 공모 펀드를 분석대상으로 해서 적극적 리스크와 성과 척도를 실증분석한다.<BR>[연구결과] 본 논문의 주요한 연구결과는 다음과 같다. 첫째, 리스크예산 배분시 타 펀드의 경우와 유사하게 기준 정보비율(IR)을 0.2로 설정할 수 있다. 이는 주식형 펀드의 장기평균 정보비율(IR) 수준이고 채권형 펀드가 양(＋)의 초과수익률을 달성할 경우의 평균적 정보비율(IR) 수준이라고 할 수 있다. 둘째, 추적오차(TE)의 상태 지속 비율은 무작위 비율 이상으로 매우 높다. 적극적 리스크는 시점별로 조정이 쉽지 않고, 투자전략이나 투자대상 선별기준 등에 따라 일정기간 지속되는 경향이 있음을 고려할 때, 보유 펀드의 리스크가 과도하게 발생한 이후 이를 줄이는 전략보다는 리스크가 과도하지 않은 펀드만을 투자대상으로 한정하는 것이 유용할 것이다. 셋째, 초과수익률(α)과 정보비율(IR)의 상태지속 비율은 무작위 비율을 상회하나 추적오차(TE)에 비해 낮다. 펀드 운용시 리스크가 허용 범위를 초과하지 않는 펀드들도, 초과수익률(α) 달성 가능성은 시기별로 재평가되고, 투자비중과 투자시점의 조절되어야 함을 보여준다. 넷째, 과거 추적오차(TE)의 미래 초과수익률(α) 예측 가능성은 무작위 비율을 하회한다. 이는 과거의 적극적 리스크가 상대적으로 작았던 펀드의 성과가 더 우량할 수도 있음을 보여주는 결과로서, 미래의 초과 수익은 과거의 추적오차(TE)보다는 다른 예측 지표를 이용해서 전망하는 것이 더 유용하고 적극적 리스크를 일정 수준 이하로 통제한다 할지라도 우량한 초과수익을 달성할 수 있다는 점을 시사한다.<BR>[연구의 시사점] 펀드의 리스크와 성과 지속성 사이 관계를 분석한 논문은 존재하지만 이를 리스크예산 관점에서 분석한 논문은 드물다. 본 연구의 결과를 통해 펀드의 자산운용 및 리스크관리 체계를 고도화할 수 있을 것이다.

CSI Index Reconstitutions: A Quasi‐Natural Experiment in China*

AbstractWe investigate whether the China Securities Index (CSI) reconstitutions are suitable as a quasi‐natural experiment to investigate the influence of institutional ownership. Using both actual and predicted CSI 300 and 500 index constituents, we document a sharp discontinuity in institutional ownership, especially of domestic mutual funds around index thresholds, overcoming a key concern of the Russell reconstitution approach. Using inclusion in the CSI 500 index as an instrument, we find that higher institutional ownership increases dividend payouts, improves firm performance, and improves the firms’ information environment. These findings inform us of the salience of domestic institutions in emerging markets.

Foreign Revenue: A New World of Risk Exposures

The predominant approach to classify securities geographically today is based on domicile, which is typically binary, and on the legal home of a company. This article explores whether foreign revenue exposure in addition to domicile should be considered when assessing the risk of an investment. The findings suggest that foreign revenue exposure explains a meaningful level of variation in excess returns and excess risks among domestic mutual funds at a level that is similar to more traditional domicile metrics. Investments focused on revenue exposure also appear to capture different economic risks that could make them attractive to certain investors. <b>TOPICS:</b>Emerging, mutual funds/passive investing/indexing, performance measurement <b>Key Findings</b> ▪ Domicile is the most common metric used to determine the geographic location, and risk, of investments today. This article explores foreign revenue exposure, which unlike domicile is not binary and allows for a more complex consideration of risk exposures. ▪ Evidence suggests that foreign revenue exposure captures different economic risks than domicile and that it explains a meaningful level of variation in excess returns and excess risks among domestic equity mutual funds across a variety of styles and countries. ▪ As global economies become increasingly interconnected, legacy metrics such as a domicile are likely to become less relevant in describing the risks of a given strategy. Therefore, additional metrics, such as foreign revenue exposure, should be considered when developing portfolios.

Factors Related to HIV AIDS Fund Expenditure 2010-2018 (NASA 2019 Data Analysis)

The prevalence rate of HIV/AIDS and various achievement targets are still challenges in HIV/AIDS intervention in Indonesia. Indonesia is required to map out the current resources and their allocation in dealing with HIV AIDS. The objective of this study is to know the distribution and the factors that related with the HIV/AIDS expenditure in the year 2010-2018. This study uses a correlation study design derived from the 2019 National AIDS Spending Assesment (NASA) report and other data sources. The results of the study show that the total expenditure on HIV/AIDS programs in 2017 was 143,053,754 USD and decreased to 107,680,959 USD in 2018. Of the total expenditure, about 60% each came from public funding, an increase of 30% over 10 years. There is a strong relationship between HIV expenditure and the variables of reported HIV cases, ARV coverage, GDP growth and health budget. Total domestic expenditure on HIV and the total health budget had the strongest relationship (R=0.885) with a contribution of 78.3% effect on the health budget (p=0.001). The availability of domestic funds is still limited and is dominated by the allocation of treatment. The high level of dependence on international funding especially on prevention means that the architecture of HIV/AIDS funding needs to be reorganized to protect the sustainability of HIV funding.

Mutual Fund Flows and the Information Channel of the Risk-free Rate

This study brings to light the new empirical fact that flows into US domestic equity mutual funds are less sensitive to past fund returns when the risk-free rate declines. In particular, a one-percentage-point drop in interest rates is associated with a decrease in the slope of the flow-performance relationship of around 18%. I demonstrate through a model of portfolio allocation with endogenous information choice that this novel finding is consistent with more privately informed fund investors when rates fall. Specifically, a lower riskless rate diminishes the opportunity cost of acquiring costly private information about a mutual fund, which leads to flows that are less dependent on publicly-available information (i.e., past fund performance). I provide empirical evidence for the model's mechanism by exploiting the cross-sectional implication that the weakening of the link between flows and past performance is more pronounced when information barriers are higher. With a fund class' retail clientele as proxy for information costs, I obtain ample support for this prediction. I also find that, in line with more intense information acquisition, flows are more positively related to future changes in fund performance when rates are low, with this effect similarly being stronger for retail fund classes.

The environmental, social, and governance (ESG) dimension of firms in which social responsible investment (SRI) and conventional pension funds invest: The mainstream SRI and the ESG inclusion

This study seeks to understand whether the mainstream SRI leads to similar investment decisions in conventional and SRI pension funds. The SRI is expanding beyond specialised SRI funds and increasingly conventional pension funds are integrating firms with certain ESG criteria, in line with legitimacy-theory premises. This phenomenon raises the questions whether SRI and conventional portfolios are converging and whether SRI funds preserve their ethical essence. Using fund holdings and ESG-stock scores, we examine the inclusion level of ESG firms by UK conventional and SRI domestic equity pension funds, taking into account the investment in controversial (socially-sensitive) firms (i.e. related to tobacco, alcohol, or gambling industries, among others). We find that conventional funds consider the firms in which SRI funds invest to integrate ESG criteria. Nonetheless, SRI funds maintain larger ESG-firm standards, preserving the ethical purpose, and larger ESG standards in SRI funds do not affect performance. Our results also show that the ESG integration into conventional funds evolves over time.

Do Lower Foreign Flows and Higher Domestic Flows Reduce Indian Equity Market Volatility?

This study examines the relationship that both domestic and foreign institutional net equity flows have with the India stock markets. The motivation behind is the study to examine whether increased net equity investments from domestic institutional investors has reduced the influence of foreign equity flows on the Indian stock market volatility. Our results indicate that only during periods in which domestic equity inflows surpass foreign flows by a significant margin, as seen during 2015–2018, is the Indian stock market volatility not significantly influenced by foreign equity investments. However, during periods of re-emergence of strong foreign net inflows, the Indian market volatility is still being impacted significantly, as has been observed since 2019. Furthermore, we find that both large-scale net buying and net selling by domestic funds increased the stock market volatility as observed during 2015–2018 and COVID-impacted year 2020 respectively. The implications of this study are multi-fold. First, the regulators should discuss with industry bodies before enforcing major structural changes like reconstituting of mutual fund investment mandate in 2017 which forced domestic funds to quickly change portfolio allocation amongst large-cap, mid-cap and small-cap stocks resulting in higher stock market volatility. Second, adequate investor educational and awareness programmes need to be conducted regularly for retail investors to minimize herd behaviour of investing during market rise and heavy redemptions at times of fall. Third, the economic policies should be stable and forward-looking to ensure foreign investors remain attracted to the Indian stock markets at all times.

Financial constraint and foreign direct investment of SMEs: evidence from Portugal

Este trabajo intenta explorar las limitaciones de financiación percibidas por las pequeñas y medianas empresas (PYMES) portuguesas que realizan inversiones directas extranjeras (IED) productivas. Se basa en datos primarios y presenta un análisis empírico exploratorio. Los resultados demuestran una fuerte dependencia de los fondos internos y ligero énfasis en las deficiencias del mercado en la financiación de la IED, no reportando diferencias notables en las limitaciones de financiación entre las inversiones nacionales y extranjeras, pero esta renuencia de las PYMES portuguesas a la financiación externa no se corresponde con la voluntad de abrir el capital social a nuevos accionistas. Los empresarios portugueses no conocen alternativas para aliviar la dependencia de los fondos nacionales a la IED. Los bancos y el gobierno podrían contribuir en este campo, también recomendamos una mayor alfabetización financiera en las PYMES portuguesas. Este trabajo está limitado por su muestra y su naturaleza cualitativa. Aunque existe abundante literatura sobre el acceso a la financiación de los agentes económicos, hasta el día de hoy este trabajo es el primero que se centra en las PYMES portuguesas a través de datos primarios, de ahí su originalidad. Al informar sobre la reticencia de las PYMES a la financiación externa, puede mejorar la capacidad de los financiadores externos en captar esos clientes.

Experience in uncertainty macroeconomic conditions and demographic factors as determinants of sharia stock portfolios in Indonesia

The purpose of this research is to know the influence of Uncertainty Macroeconomic and demographic factors such as Population, Gross Domestic Product, Government Sukuk and Sharia Mutual Funds to The Investment Yield Sharia Insurance in Indonesia. The method of research using a causal research design in Indonesia Sharia Insurance. The data used are secondary data sourced from Financial Services Authority, Indonesia. The method of analysis used in this research is the SEM method using SmartPLS software. The results show that Population, Gross Domestic Product, Government Sukuk and Sharia Mutual Funds do not influence Investment Yield Sharia Insurance in Indonesia. The implications of this research are the Indonesian Financial Services Authority policy which considers Population, Gross Domestic Product, Government Sukuk and Sharia Mutual Funds for Investment Yield Sharia Insurance in Indonesia. The limitation of this research is to use monthly samples and only observe for 2 (two) years. Originality of this research is using the latest observation variable that is 2018-2019 and observation at a sharia insurance company in Indonesia.

СУЧАСНІ ТЕНДЕНЦІЇ ГЕНЕЗИСУ ВЕНЧУРНОГО ПІДПРИЄМНИЦТВА В УКРАЇНІ

The article is devoted to the analysis of quantitative and structural parameters of venture business development in Ukraine, so it seems appropriate to focus on its most generalizing features and characteristics, which have been clearly outlined in recent decades. First of all, it should be noted the extremely low level of capitalization of the domestic venture capital market. Also important for a comprehensive analysis of the current state and trends in domestic venture entrepreneurship is the number of venture capital investment institutions and a significant increase in the level of concentration of the domestic asset management market. Another conclusion that follows from the data concerns the dominance of venture mutual investment funds, ie closed-end funds, in the subjective structure of domestic venture entrepreneurship. Domestic venture funds are also characterized by an extremely insignificant share of the value of their assets in the gross domestic product of our state. Another well-established trend in the structural dynamics of domestic venture funds in the last decade is the growing share of foreign capital in the structure of their investment flows. In addition, in recent years there has been a clear eloquent trend, namely: the growing share of domestic individuals in the subjective structure of investors in venture mutual investment institutions. International corporate structures, business incubators and accelerators are actively opening their innovative divisions and representative offices in our country. It is worth noting that the number and volume of funding for Ukrainian startups is increasing from year to year. In recent years, the processes of attracting funding through crowdfunding platforms and grant sources have been developing dynamically. Evidence of the growing interest of foreign venture capitalists in Ukrainian startups is the intensification of mergers and acquisitions in this area. Unfortunately, maintaining the extremely low economic motivation of venture capitalists to invest money in the early stages of research and self-search by inventors in most cases leads to dependence on investors and unequal exchange of property rights for scientific ideas for financial resources.

Stock Exchange Mutual Funds as the Drivers of the Stock Market Development in Terms of Profitability and Alternatives

The current stagnation in the development of the Russian stock market determines the need to master new investment instruments or to improve the activities of existing ones. The development of global stock markets clearly emphasizes the “immaturity” of the Russian stock market. Present situation indicates the need for the introduction and development of new investment instruments. This fact encouraged the development of ETFs in Russia. Russian ETFs have a relatively short story, but this does not prevent them from expanding the scope of activities, gaining momentum and demonstrating a high degree of profitability, which is a significant competitive advantage over other unit investment funds. The study offers the overlook of exchange-traded investment funds’ activities as a hybrid with foreign ETFs and an alternative to Russian domestic unit investment funds, which reach a high level of profitability in modern conditions.

On the informational efficiency of Saudi exchange-traded funds listed at home and away from home

This study compares the pricing efficiency of two domestic exchange-traded funds (ETFs) (i.e., Falcom 30 and HSBC 20) listed on the Saudi stock exchange (i.e., Tadawul), as well as an international...

Reimagining Section 94.1: The Offshore Investment Fund Property Rule

In this article, the author contemplates how section 94.1 of the Income Tax Act (Canada), the offshore investment fund property (OIFP) rule, might be reimagined considering its inefficacy in the face of unique non-resident investment funds. By tracing the anti-avoidance origins of the rule, the author shows that the source of this inadequacy is an expectation overload rather than legislative failure. While the OIFP rule was introduced as a stop-gap designed only to tackle a certain kind of basic intermediation strategy, it is now tasked with the much grander objective of creating a level playing field with respect to the tax treatment of domestic and offshore investment funds. The author shows how this mismatch of aspiration and reality has created the opportunity for savvy investors to manipulate the "motive" test within the rule, and avoid its application, simply by proving themselves to have a sufficiently credible and pervasive alternative reason for investing in an offshore fund (for example, the unique expertise of its manager). The author postulates that this flaw is likely to become more frequently tested as funds specializing in novel asset classes (such as cryptocurrency funds) proliferate and grow. The article closes with the proposition that if the test at the centre of the rule is recast as a purely objective analysis, and certain other changes are made, section 94.1 can be transformed to apply a transaction-cost model that will deter undesirable intermediation attempts and ensure that Canada's revenue authorities get a cut of any profits from superreturn investment opportunities. The author draws on key elements of the ultimately abandoned foreign investment entity rules and certain anti-avoidance provisions from elsewhere in the Act to provide a conceptual foundation for the proposed amendments. He also seeks to demonstrate how revising the OIFP rule in this way will achieve a greater degree of capital export neutrality—a policy thread that runs through the Canadian approach to international taxation—by creating a more (though not wholly) level tax playing field, but without the crippling administrative burden and incomplete tax coverage that may accompany a more capital export neutrality-driven approach.

Mutual Fund Efficiency in Europe

In this paper, we evaluate the market efficiency of the European mutual fund industry using daily mutual fund returns. With a unique sample of domestic equity funds for 17 European countries over a 30-year time period, we use several performance measures and non-parametric evaluation to reach the conclusion that mutual funds are not able to exceed profitability obtained by the risk-free asset or the reference market index in most countries, although funds are highly efficient in all cases. Using non-parametric Data Envelopment Analysis (DEA) we find evidence of high cost efficiency across countries. This high efficiency slightly decreases during the sample period, although still maintaining efficiency of over 60% for all countries after 30 years.

Does Corporate Governance Enhance Bank Efficiency in Taiwan

The purpose of this study is to investigate the relationship between bank efficiency and corporate governance in Taiwan. It aims to explain the effects of ownership structure, institutional investors' structure and manager turnover. The empirical results provide weak evidence to support the proposition that independent directors can improve bank efficiency. This study broke down the structure of institutional investors and found that when a higher percentage of banks were owned by domestic corporations, the efficiency-augmentation hypothesis was supported, whereas when a higher percentage of banks were owned by domestic trust funds, the efficiency-abatement hypothesis was supported. This study also found that in the Taiwanese banking industry in general, top executives of poorly performing banks are not more likely to lose their jobs and that, sometimes, boards did not appoint top executives based on ability but rather tended to appoint them based on the personal preferences of family board members.

Research on Prediction of Investment Fund’s Performance before and after Investment Based on Improved Neural Network Algorithm

There are more and more popular investment fund projects in the continuous economic development; the prediction and performance continuity become hot topics in the financial field. Scholars’ enthusiasm for this also reflects the domestic fund primary stage progress, and there is a huge application demand in China. The prediction of fund performance can help investors to avoid risks and improve returns and help managers to learn more unknown information from the prediction for the sake of guide market well and manage the market orderly. In the past research, the traditional way is to use the advantages of neural network to build a model to predict the continuous trend foundation performance, but the author found that the traditional single neural network (NN) algorithm has a large error value in the research. With the discussion, the particle swarm optimization (PSO) algorithm is added to the radial basis function (BRF) neural network, and PSO is conditioned to optimize and improve the RBF NN combining the advantages of both sides; a new set of PSO‐RBF neural network security fund performance prediction method is summed up, which optimizes the structure and workflow of the algorithm. In the research, the author takes the real data as the reference and compares the prediction results with the traditional method RBF and the improved PSO‐RBF. In the prediction results of the continuous trend, the highest value, and the lowest value in the period of the security fund performance, the new PSO‐RBF has a good prediction in the fund performance prediction, and its accuracy rate is greatly improved compared with the traditional method Sheng, with good application value, and is worth popularizing.

Who reacts to what information in securities analyst reports? Direct evidence from the investor trade imbalance

Using a comprehensive dataset that distinguishes the buy/sell volume of four investor types, we find that foreign institutions and domestic mutual funds are the primary users of analyst reports. Their buy–sell imbalances move in tandem with analysts' signals and significantly explain the size of cumulative abnormal returns across incidents of analyst report releases. Proprietary traders' buy/sell positions are less related to analyst opinions, and individual investors emerge as de facto liquidity providers to aggressive institutions. Institutional investors respond first to stock recommendations and then use target prices as supplementary information. Earnings forecasts, which contain nuanced information, do not elicit abnormal trade imbalances for any institutional investors. We further discover that trade reactions to target prices and earnings forecasts can be viewed more as a constant multiplier of the signal rather than as an increasing or decreasing function of the signal strength. The trade imbalance caused by analyst information is found to predict next-period stock returns, although the predictive ability is for the short-term period only.

Private Equity Buyouts in Japan: Effects on Employment Numbers

We examine the effects of majority buyout investments on employment numbers in unlisted firms and businesses taken private in Japan between 1998 and 2015. In our sample (n=184), regular employment grows at an uncorrected average of 12.3% during a mean holding period of 4.3 years, and an annual growth differential of +1.7pp relative to a matched-pairs sample. Evidence from field interviews indicates that the positive growth differential primarily results from funds not cutting jobs beyond a certain threshold for reputational concerns. These concerns moderate the decisions of funds at two stages in the investment process: funds tend to avoid investing in businesses with major restructuring needs, and to prefer growth-centred to cost-cutting strategies. The effect on employment differs neither between foreign and domestic investors, nor between domestic funds owned by management and domestic funds owned by large financial or corporate groups. This implies that the reputational concerns outweigh differences in ownership and origin.

Does institutional ownership and internationalization affect corporate social responsibility in emerging economy firms? An empirical evidence from India

PurposeThe preference of firm corporate social responsibility (CSR) spending is shaped by different groups of owners and the institutional environment in which the firm operates. This paper aims to study the heterogeneity among the controlling groups and firms’ internationalization in influencing the CSR decision in emerging economy firms.Design Methodology ApproachThis paper draws understanding from institutional theory to inspect the propensities of various ownership groups such as lending institutions (LI), domestic mutual funds (MF) and foreign institutional investors (FIIs). The empirical analysis was conducted from a sample of 1,594 unique Bombay stock exchange (BSE)-listed non-financial Indian firms during the 2014–2019 period using Tobit panel regression analysis.FindingsThe findings reveal that firms’ CSR activities are impacted differently by ownership share of different types of institutional investors after controlling for firm-level resources and capabilities. Lending institutions, FIIs and MF are supportive of CSR investments by firms along with international investments by the firm. Further, the results show that the CSR spend is positively influenced by the business group affiliation of the firm compared to the unaffiliated group of firms.Practical ImplicationsThe analysis has implications for both institutional investors and multinational firms. In the merging market context, managers and owners who target long term strategies such as CSR will benefit from increasing shareholdings of creditors (lending institutions). They can also take steps to improve their transparency and corporate governance structure so as to attract foreign institutional investments, thus, in turn, helping the internationalization process of the firm.Originality ValueThis paper considers the role of the diverseness of the ownership institutional investors along with the moderating effect of business group affiliation of the firm and international investments in impacting the CSR spend. This disparity has not been previously studied with the latest data in an emerging economy context.

Variegated financialization and pension fund asset demand: the case of Colombia and Perú

Abstract This article seeks to explain concretely how one ‘variegation’ of financialization in the emerging economy setting is being shaped by the growth of domestic pension funds. Taking Colombia and Perú as case studies, we explore the evolution of pension fund demand subsequent to substantial pension policy reforms in the 1990s. Drawing on comparative political economy and the recent literature on subordinate financialization in emerging economies, we present a three-tiered conjecture regarding what is shaping pension fund demand: (a) the particular institutional context of ‘hierarchical market economies’ and neoliberal market reforms, (b) the ‘extraverted’ growth regime and (c) subordinate financial integration. The resulting demand calls forth financial innovation and movement towards market-based financial mechanisms as seen with financialization elsewhere, yet in this instance occurring largely outside of domestic capital markets.