Profitability Of Funds Research Articles

BANK’S CREDIT POLICY IN CONDITIONS OF DIGITAL TECHNOLOGIES


 
 
 The article defines the essence and role of credit policy, substantiates the need for its improvement in current conditions. The basic principles and functions of credit policy are given. It is concluded that the basis of credit policy should be the main principles: reliability and profitability of funds and the principles of rational lending. The goals of credit policy and directions of its implementation are determined. The share of credit operations in the general structure of assets of domestic banks is estimated. It is noted that commercial banks' credit policy is an integral part of the strategy and tactics of the NBU and the government. Measures to improve the efficiency of commercial banks' current activities and improve their credit policy are proposed.
 
 

Fund Management and Profitability with Reference to APMDC

Fund Management and Profitability with Reference to APMDC

Економетричне моделювання показників ефективності використання основних засобів лісогосподарського підприємства

За даними показників діяльності лісогосподарського підприємства, типового для Малого Полісся України, побудовано множинні регресійні моделі для таких загальних показників ефективності використання основних засобів, як фондовіддача, фондоозброєність та фондорентабельність (залежні змінні). Встановлено чинники (незалежні змінні), які впливають на значення цих показників. Проведено попередній економетричний аналіз моделей: побудовано кореляційні поля та графіки залежності між усіма незалежними та залежними змінними; розраховано парні коефіцієнти кореляції та оцінено силу (щільність) зв'язку між усіма змінними моделей; виявлено незалежні змінні, які найбільше впливають на значення фондовіддачі, фондоозброєності та фондорентабельності. За допомогою покрокового регресійного аналізу побудовано адекватні регресійні моделі. Значущість моделей загалом перевірено за F-статистиками Фішера-Снедекора, а параметрів моделей – за t-статистиками Ст'юдента з довірчою ймовірністю p = 0,95. Моделі перевірено на наявність мультиколінеарності, гетероскедастичності та автокореляції. Розроблені моделі можна використати для вдосконалення планування використання основних засобів лісогосподарських підприємств Малого Полісся. Запропоновану методику також можна використати для розроблення відповідних моделей для будь-якого лісогосподарського підприємства.

Hedge fund ownership and voluntary disclosure

Using 13F filings from 1996 to 2011, we document that hedge fund holdings are negatively associated with the subsequent frequency of portfolio firms’ voluntary disclosure. This is opposite to the positive association documented in earlier studies for overall institutional ownership as well as for non-hedge fund ownership in our sample. The negative association is more pronounced for hedge fund ownership with short-term investment horizons. Tests using measures of hedge fund influence suggest that hedge fund ownership impacts voluntary disclosure as opposed to hedge funds selecting stocks with subsequent declines in disclosure. We also find that the stocks that decrease their voluntary disclosure subsequent to increases in hedge fund holdings earn positive abnormal returns. Overall, our findings suggest that the impact of hedge funds on firm voluntary disclosure policy differs from that of other institutional investors and potentially contributes to hedge fund profitability.

Fund Flows, Liquidity, and Asset Prices

This paper tests whether mutual funds on aggregate matter for the equilibrium stock returns due to (i) uncertain fund flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar across the separate portfolios and different model specifications, supporting the prediction that one pricing kernel of mutual funds prices a range of cross-sections.

Style Consistency and Mutual Fund Returns: The Case of Russia

This paper carries out style analysis for Russian mutual funds using monthly data from the National Managers’ Association over the period January 2008-December 2017; specifically, it applies the RSBA method developed by Sharpe (1992) for evaluating the impact of style on returns, and uses the Style Drift Score (SDS) introduced by Idzorek (2004) as a measure of a fund’s style drifting activity. The main findings can be summarised as follows. In the Russian case there is a significant positive relationship between style consistency and profitability of funds. Further, Russian funds are characterised by a high level of style drift, namely deviations from the investment strategy declared at the time of registration as required by Russian law.

Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias?

Liquidity constraints imposed to shareholders of investment funds, also known as lock-up periods, represent an alternative that managers can use to implement and maintain long-term strategies. The academic literature suggests that, as a result of liquidity constraints, funds should deliver a premium to their shareholders, and previous studies have documented this effect. Based on this context, in this paper we analyze the effect of lock-up periods on the profitability of Brazilian multimarket funds. We used a sample composed by 4,662 multimarket funds in the period from January 2009 to February 2016. The results showed a positive effect of lock-up periods on the average profitability of the funds, as well as on their risk-adjusted return. Our discussion highlights arguments that some measures taken by fund managers to protect their strategies against impulsive behaviors of funds’ investors can present a positive effect on the performance of their funds.

Convergência contábil e rentabilidade de fundos de investimentos em ações

Os fundos de investimento têm se tornado uma opção acessível e com expressiva participação no mercado financeiro, até mesmo para pequenos investidores. A literatura aponta alguns fatores que afetam sua rentabilidade, geralmente relacionados à estrutura do fundo e ao portfólio escolhido pelos gestores. Além disso, as recentes alterações nos padrões contábeis brasileiros podem ter também afetado a rentabilidade dos fundos, a partir da postulada melhoria na qualidade da informação e consequente redução na assimetria informacional. Neste contexto, o objetivo do presente estudo foi analisar a relação entre a adoção das IFRS pelas empresas abertas e a rentabilidade dos fundos de ações brasileiros. Trata-se de uma pesquisa descritiva com abordagem quantitativa, realizada por meio de uma pesquisa documental. Utilizou-se uma amostra de fundos de investimento em ações do tipo Sustentabilidade/Governança e de 27 empresas de capital aberto, das quais 9 realizaram a adoção voluntária ao padrão contábil internacional no ano de 2008. O período analisado foi de Janeiro de 2007 a Setembro de 2013. Os resultados da pesquisa não se mostraram alinhados às hipóteses iniciais, pois houve maior correlação da rentabilidade dos fundos com a rentabilidade das ações das empresas antes da adoção obrigatória, ou seja, quando elas não adotavam as normas IFRS.

Do Hedge Funds Profit From Public Information?

Do Hedge Funds Profit From Public Information?

Changes in the profitability of investment funds in Poland in the period 2005-2016

The paper examines the rates of return of three main types of investment funds in the period of from 2005 to June 2016. The analysis covers 120 equity, 55 bond and 60 mixed funds and is based on data taken from www.bossa.pl, www.analizy.pl and www.izfa.pl. The results of analysis indicate that macroeconomic conditions significantly shape fund returns, though the impact is diversified by fund type. Better stock market conditions benefit equity and mixed funds, and the periods of economic slowdown are favorable for safer funds, including bond and money market funds. For the entire period, equity funds achieved the highest returns, but with the highest risk. The opposite situation concerned bond funds. The average returns of every type of fund were higher than deposit rates – more than 50% of the funds outgained them.

Changes in Markets Trends and Effectiveness of Equity Mutual Funds in Poland in the Years 2005–2014

After a sharp decline in the value of mutual funds’ assets in 2008 in subsequent years , their situation has improved. In 2014 it resulted in tripling their assets comparing to 2005. Using monthly data on 18 equity funds operating continuously in Poland in 2005–2014, the profitability, level of risk and efficiency of funds were examined. The results indicate that profitability and efficiency of funds are significantly correlated with the trends in prices on the WSE. Taking higher investment risk brings additional positive results especially during periods of upward trends in share prices. In periods of crisis, smaller losses are suffered by funds with less aggressive investment policy. In the long term, better efficiency is obtained by funds reaching relatively stable rates of return throughout the entire period and better adapting current investment policy to the current stage of economy.

Incubation and copying equity funds in China

This study provides evidence on incubation practices in Chinese equity funds and examines the profitability of copying funds. The empirical findings are as follows. First, the incubation practice is evident among Chinese equity funds. Second, our findings exclude the profitability of copycat funds. An advisory company's fund incubation makes it harder to free-ride on new funds than to free-ride on old funds. Third, the logit analysis shows that copying could be successful for those funds with low performance or low turnover ratios. Finally, incubation is generally undertaken for new funds in a bullish market.

Cash Flow Management at the Insurance Company Aimed at Provision of Financial Stability

The insurance market of the Russian Federation is currently demonstrating the trend of slower growth rate of insurance premiums and problems, rising in certain sectors. The loss ratio of insurance operations is increasing along with reducing profitability of internal funds and assets, operational costs are growing. All these factors affect the financial stability of insurance companies and reduce the profitability of insurance business. There is no doubt that maintaining financial stability of insurance companies in the Russian insurance market under current conditions is an extremely important issue since this sector maintains stability of economic subjects in the most difficult economic situation, ensures the continuity of social reproduction and acts as the main provider of long-term investments to the country’s financial market. To keep their position on the market, the insurance companies should pay special attention to maintaining stable positive cash flow and reducing the cash outflow. The approach to cash flow management in the insurance company proposed in the article accounts for existing challenges and opportunities can maintain the financial equilibrium of the company and can improve the efficiency of performance as well as reduce the need for debt capital and the insolvency risk of the insurer. The purpose of work is to identify the problems of financial stability and cash flow management in the insurance company and to develop practical recommendations aimed at addressing these problems based on generalization of the theoretical aspects and analysis of financial indicators. The scientific novelty of the research is in developing theoretical and methodological provisions and elaborating practical recommendations in the field of the insurance company’s cash management in order to ensure financial stability.

Methods for evaluating innovation in the petrochemical enterprises

The development of petrochemical industry directly dependent on their innovation activity .Accordingly, the necessary measures to stimulate innovation in the enterprise have to be taken. Under these conditions it is very important to assess the effectiveness of innovative activity. The existing methods to evaluate it need to be systematized and extended to be practically applied by economic departments of petrochemical enterprises. The authors propose a method to estimate the innovative activity in the petrochemical enterprises, consisting of 7 stages. On the first stage the dynamics of “intangible assets” and “the results of research and development” in the enterprise for the certain period (usually three calendar years) are estimated. At the second stage the structure of «intangible assets» and results of research and development» are estimated in terms of the share of value of the overall property of enterprise for the same period. At the third stage the structure of «intangible assets» or the result of research and development are examined. At the fourth stage of the depreciation coefficient of “intangible assets” and the write–off coefficients in the “results of research and development” sector are calculated. At the fifth stage th e structure of “intangible assets” and “the results of research and development” and their share of the total value of all the innovation in the enterprise are examined. At the sixth stage four indicators: fund capital productivity of innovation; fund capacity of innovation; fund profitability of innovation; fund furnishing; the coefficient of innovation activity in not-circulating assets are calculated. At the seventh stage of the share of trained employees in the calendar year from the total number of employees is calculated.

Operational Risk, Fund Performance and Investors Protection: Evidence from China

This paper investigates the operational risk, fund performance and investor protection in the seven years subsequent to the 2001 liberalisation of the Chinese open-end funds market. The empirical results indicate that the fund type and fund manager’s qualification are positively associated with selecting the Big 4 auditing firms, while the size and profitability of open-end funds are not. The results also indicate that the open-end funds audited by the Big 4 firms do not outperform the funds audited by non-Big 4 firms.

Uninsurable Risks of Floods, Deluges, Overflows and the System of Solution

Uninsurable risks have significant impact on expenses of private and public sectors of economy. In spite of several commercial insurance products and high quality of insurance services current trend of insurance industry is set to define exceptions of insurance protection. The highest losses caused by realization of uninsurable risks in the Czech Republic are constituted by consequences of floods, deluges and overflows. Recent history of flood occurrence emphasizes insufficiency of prevention, protection and loss solution. Due to these risk factors we have focused our research on issues of uninsurable risks in conditions of the Czech insurance market. The system solution is based on fund approach to ensure commercial insurance protection. Multi-Source System Solution of Uninsurable Risks is purposed in the form of fund with participation of the state authority. Our solution depends on pool creation and primarily should cover enormous claims development. Assumption of fund profitability encourages insurer motivation to become a pool member. Important part of research represents calculation of gross premium. Assessment of input data and calculation of premium are based on real published data and conform to real market development in the Czech Republic. Calculations are also based on our estimations of risk development. This research highlights the importance of uninsurable risks solution. Effective instrument able to protect lives and property is an innovative commercial insurance product. Our commercial solution is a way to strengthen the role of insurance in a field of uninsurable risks. The system solution is designed to conditions of the Czech insurance market and takes into account special domestic factors. We suppose that our solution is possible to be adopted in conditions of any insurance market in case of relevant data and risk factors using.

Financial Management of the Company for Financial Crisis

Corporate Finance is a business process the company forecast capital movement, organization, coordination, analysis and control of a decision-making and management activities. If the long-term store the excess corporate cash, will result in capital investment flow can not, can not be profitable. At the same time, enterprises need to expand production but difficult to raise funds. Therefore, SME Banking, the key is enterprise fund safety, liquidity and profitability of organic combination.

Infrastructure Funds: Creative Use of Corporate Structure and Law - But in Whose Interests?

Infrastructure as an asset class has commanded increasing attention from investors and the financial press over the past two years. Major asset sales in the UK - most notably of ports and water utilities such as Thames Water - and ongoing attention on road infrastructure in the United States and Europe, has been met with increased competition for assets, not from 'trade buyers' (such as utility companies) but from investment banks and asset managers. The asset manager model for infrastructure, where a sponsoring manager - usually but not always an investment bank - establishes a separate publicly traded entity to own infrastructure assets while contracting out management functions to the sponsor, was pioneered by Australia's Macquarie Group Limited (known until recently as Macquarie Bank). Even as the managed infrastructure model has grown in popularity, at least among potential and actual asset managers, there are some signs of investor unease with the existing model. At the basis of these concerns is the unique governance structure that has emerged among publicly traded infrastructure vehicles. This paper initially outlines the main features of infrastructure assets. It then explains the importance of distinguishing between infrastructure assets and infrastructure funds. The predictable, and steadily growing, cash flow associated with infrastructure assets is commonly highlighted as a basis for providing an attractive, and steady, yield. However, the yield delivered by several infrastructure funds is sourced from operating cash flows of the fund's assets and from capital. The paper then summarizes the key features of the infrastructure fund model, pioneered by Macquarie. It then highlights a range of investment-related concerns with the infrastructure model: a series of issues related to the sustainability of the model; a danger of overpaying for assets; fee structures that provide an incentive to increase a fund's size without sufficient regard to returns; and accounting practices that have the capacity to provide an overly robust picture of a fund's profitability. The paper then describes a series of governance concerns with the infrastructure model. For instance, the existence of 'special shares' in some funds which entitle the external manager to appoint a majority of the fund's directors. The paper concludes with a series of reform proposals.

Bank Valuation Research: Experience of the Baltic States

The valuation of bank activity is important to shareholders, potential investors, supervisors, government institutions and society. They are interested in safety and profitability of funds invested as well as stable and safe growth of the economy. A lot of theoretical methods of valuation exist. The internal valuation of bank usually is concentrated on shareholders’ purpose – increasing of profitability and cash flow. The external valuation is many – sided and especially concentrates on risk. In order to clarify methods, the most useful for valuation and decision making, the investigation was performed. The research showed that methods of internal valuation can be divided into two groups: methods based on cash flow and methods based on profitability measurement. Methods of external valuation can be specified for assets quality, capital adequacy, liquidity, profitability, management and other qualitative factors. As external valuation is much wider, the internal valuation should be improved by adding necessary fields of appraisal for creation of effective valuation system. As different indicators may value the same aspects of performance, the practical determination of the most important indicators is needed. Therefore the research of the most frequent methods used by internal and external appraisers was performed for Lithuania and tested on the rest of the Baltic States. The main internal and external indicators were determined. Indicators are as follows: Total debt / Total common equity; ROA; ROE; Provisions / Total loan portfolio; Non – performing loans / Share capital and reserves; Provisions / Non – performing loans; Non – performing loans / Pre – provision income; Additional expenses in income; Deposits. The selection of the significant variables was performed by using the model, based on multidimensional regression. The set of basic indicators was tested on Lithuanian and both commercial banks of the Baltic States. Three key indicators were selected for Lithuanian banks: Non – performing loans / (Share capital + reserves); Non – performing assets / Pre – provision income; Deposits. The correlation and regression analysis of stated indicators was performed. It allowed determining strong linear dependence among individual credit rating of bank and 10 main indicators. Correlation analysis of Latvian banks was not successful due to insufficient adoption of basic indicators to Latvian banks. The significance of the equation was negative and it was not possible to determine significant indicators. The correlation analysis for Estonian banks failed, but it was successful for aggregate data and showed strong linear dependence among individual credit rating of bank and main indicators. The model led to find out these significant indicators for the commercial banks of the Baltic States: ROE; Provisions / Total loan portfolio; Nonperforming loans / (Share capital + reserves); Provisions / Non – performing loans; Non-performing loans/ Pre – provision income; Deposits. The present model, based on Lithuanian commercial banks, is not universal for all the Baltic States. Modeling of bank’s financial condition, using multidimensional regression is also possible. This would lead to projection of bank’s rating by changing values of the key variables.