Conscious customers and the threat of regulations have compelled capital markets around the world to increase their sustainability focus. Today, a fund manager must know how to measure and communicate the sustainability of her fund’s portfolio, which raises the question of how such measurement should be designed? By interviewing decision makers at one of Sweden’s major fund management firms and examining existing sustainability metrics, we identify the key features practitioners want from a sustainability measurement and discuss how existing metrics relate to this. We find that there is an increased need for: (i) capturing the positive contributions the companies in the portfolio have towards a sustainable development, (ii) including each company’s internal capabilities, which reflects important information about the likelihood of future contributions, (iii) relevant peer groups in order to understand the context of a company’s score, and (iv) understanding that sustainability is not a one dimensional issue and therefore should not be treated as one. To meet this need, we argue that the emerging group of metrics based on the United Nations Sustainable Development Goals could be used as a complement to the currently used risk-focused sustainability metrics. / Medvetna konsumenter och förväntade regleringar har tvingat kapitalmarknader runt om i världen att öka sitt hållbarhetsfokus. Idag ställs det krav på fondförvaltare att mäta och kommunicera sina fonders hållbarhet, vilket ger följdfrågan, hur ska ett sådant hållbarhetsmått vara konstruerat? Genom intervjuer med beslutsfattare på ett av Sveriges ledande fondbolag och en genomgång av befintliga hållbarhetsmått, har vi identifierat några nyckelfaktorer som de vill att ett hållbarhetsmått ska bestå av samt fört en diskussion kring hur de befintliga mätvärdena relaterar till dem. Vi finner ett ökat behov av: (i) att mäta de positiva effekterna ett företag har mot en hållbar utveckling, (ii) inkludering av företagets hållbarhetspotential, vilket påverkar sannolikheten för framtida bidrag, (iii) relevanta jämförelsegrupper för att kunna förstå ett företags bidrag, och (iv) ökad förståelse för att hållbarhet inte är ett endimensionellt problem och därför inte ska hanteras som ett sådant. För att uppnå detta argumenterar vi för att mätvärden baserade på Förenta Nationernas `Sustainable Development Goals' kan användas som ett komplement till de riskfokuserade hållbarhetsmått som används i hög utsträckning idag.

<p>This dissertation studies the impact of mutual fund managers' beliefs on fund performance in the first chapter and focuses on the impact of firm behavior on stock performance in the second chapter. </p> <p><br></p> <p>In the first chapter, I utilize the Revealed Preference Theory to recover fund manager belief formation directly from their actual trading activities. By relating stock holdings in a fund's portfolio to past factor returns, I document three facts about managers' belief formation: 1. In contrast to belief extrapolation, a substantial fraction of mutual fund managers act as contrarian investors who expect lower factor returns after a good factor performance; 2. Whether a fund trades in an extrapolative or contrarian way is due to its managers' expectation biases rather than fund style investment strategy, fund catering strategy or fund risk preference; and 3. Contrarian managers generate superior performance, are more experienced investors, charge higher expense ratios, and manage smaller US equity funds. The top (contrarian) managers significantly outperform the bottom (extrapolative) managers by a return of 3.4% per annum after adjusting by FFC4 factor models.</p> <p><br></p> <p>The second chapter is co-authored paper with Yan Liu and Feng Zhang. In this chapter, we systematically replicate the bulk of long-run event studies conducted in the last three decades from 1990 to 2020 using extended samples and four long-run performance measures. The final sample contains 62 papers of long-run event studies and 148 corporate events. Our findings suggest that long-run return anomalies documented in the last three decades are not robust, and firms do not earn long-run abnormal returns following various types of corporate events. Only 2% of the 148 corporate events we replicate earn post-event abnormal returns that are statistically significant at the 5% level based on all the four performance measures, and the fraction further shrinks to 0% at the 1% significance level. Viewed together, our findings suggest that these long-run abnormal returns after corporate events are likely the result of data mining or "p-hacking".</p>

[pt] Este estudo objetiva mostrar, mediante ao grande número de oferta de fundos de investimentos, a dificuldade do investidor em escolher um bom fundo, mesmo com o argumento largamente utilizado de que fundos de taxas de administração alta, por terem gestão ativa, entregam melhores resultados. Para isso, ordenou-se a totalidade dos fundos, ou seja, mais de 2.000 fundos de investimentos das classes de renda fixa, ações e multimercados em quadrantes de alta e baixa taxa de administração versus alto e baixo desempenho por diferentes intervalos. Os resultados reforçam o quão é difícil a escolha e ter taxa de administração alta não infere em resultados melhores. / [en] This study aims to show, through the large number of investment funds, how difficult is to choose a good fund, even with the widely used argument that funds with high management fees deliver better results, due to their active management. For this, all the funds, it means more than 2,000 investment funds of among fixed income, stock funds and multimarket funds were displayed in quadrants defined as high and low management fees versus high and low performance. The results reinforce how difficult the choice is and having a high administration rate does not infer better results.

No description available.

共同基金在國內已經發展三十餘年，已成為國人一項重要的投資理財工具。唯傳統的基金設計係以「定期定額」的方式來操作，而本研究目的在於設計一套「不定期定額逢低投資」的操作方式，並證實該方式的投資績效係顯著優於傳統的基金操作。具體而言，本研究以2011年1月至2015年12月合計五年之基金每日淨值歷史資料，藉以比較定期定額與不定期定額(實際策略為當台股加權指數跌幅大於前一日1.25%即自動進行定額投資)分別在一年期、三年前、五年期以及金融海嘯期間(2008年)的績效表現。調查結果證實，不定期定額的績效均顯著優於定期定額的表現。本研究的結論可以提供投信產業設計新穎的共同基金，以提供投資人差異化的理財策略選擇。本研究相信，「不定期定額逢低投資組合」相當適合資金較充裕的積極型投資者。 / Mutual funds have been developed in Taiwan for more than 30 years and are now an important investment and financial tools for the people. Nonetheless the practice of traditional funds was designed through “dollar-cost averaging” and the study intends to design a practice of “value averaging bargain investment” to prove that the investment performance of the practice is significantly better than the traditional funds practice. Specifically, this study selected five years of NAV information from January 2011 to December 2015 to compare the performance of dollar cost averaging and value averaging (actual strategy was automatic fixed-amount investment when Taiwan Stock Exchange Capitalization Weighted Stock Index dropped 1.25% lower than previous day) based on strategic investment holding periods of one year, three years, five years and during the financial crisis (2008). The result proved that the performance of value averaging was significantly better than dollar cost averaging. The conclusion of this study could provide differentiated fiscal strategy for investment trust industry to design new mutual funds for investors. The study states that “the combination of value averaging and bargain investment” is more suitable for active investors with sufficient funds.

The following dissertation contains two unique empirical studies that contribute to the overall literature in the field of Financial Economics in the areas of mutual fund investing and financial intermediation and regulation. The first Chapter, entitled “The Impact of Macroeconomic Stress on the U.S. Financial Sector”, examines the relative impact of macroeconomic stress on financial and non-financial U.S. firms. Empirical results show that macroeconomic shocks appear to have a larger impact on financial firms. Additionally, the sensitivity of financial firms to macroeconomic events can be traced to the influence of non-depository institutions, or “shadow banks”, like finance and investment companies, which are less regulated than depository institutions. The results coincide with several trends in the financial sector including increased competition, complexity and interconnectedness and highlight the need for governance mechanisms that account for the risks associated with these factors. The second chapter, entitled “Partial Adjustment Towards Equilibrium Mutual Fund Allocations: Evidence from U.S.-based Equity Mutual Funds”, examines the relative efficiency of equity mutual funds in terms of speed of portfolio adjustment by applying a partial adjustment model. Empirical results show that mutual fund managers are able and willing to quickly adjust their portfolios when results have been sub-optimal, implying that the cost of persistent poor performance is perceived as being high. Managers can offset about 106 percent of the deviation within one period. Additionally, results show that funds that typically engage in the costly production of specialized information, like emerging market and sector funds have more efficient speeds of portfolio adjustment than more passive funds, like market index funds. The results imply that actively managed funds may have efficiency advantages that have been previously ignored in the empirical literature.

Bank-managed equity funds are not inferior to their non-bank counterparts. Previous research reporting relative underperformance of bank-managed funds ignored their differing fiduciary standards. To evaluate bank and non-bank funds facing similar fiduciary responsibilities, domestic retail funds approved for Singapore’s Central Provident Fund Investment Scheme were examined, as they meet the same standard for managing social security savings. Returns from these funds correlate highly with market performance. Even though these fund returns exceeded guaranteed interest rates, they did not outperform their market index.With financial market deregulation in Southeast Asia, local banks in small economies withstand erosion of business by foreign competitors. Banks, in order to increase profits, compete with local as well as foreign insurance and investment companies by offering mutual fund products. To remain competitive, banks need to shed their reputation for not being able to generate impressive fund returns, as their funds are not inferior to those from insurance and investment companies in terms of assets under management, expenditures, returns and risk. To gain competitive advantage, banks can differentiate their fund characteristics and reduce portfolio management costs.Mutual fund characteristics can affect expected returns or transaction costs. Factors affecting expected returns include asset allocation and systematic risk, while transaction costs include explicit and implicit ones, which can be measured by expense ratios and size of funds respectively. Insignificance of transaction cost determinants in affecting actual returns can be attributable to dominance of factors affecting expected returns.

共同基金是未來投資理財約主流!專業法人機構在股市之投資比重日益提高，對國內證券市場生態產生結構性改變。展望未來趨勢，隨著股市發展成熟化、上市上櫃公司遽增與金融市場情勢連動關係複雜化等因素，專業投資理財時代的來臨必將成為事實。「專業、分工理財」投資型態將逐漸取代以往投資人自行下海操作之「自助式理財」型態。故共同基金操作績效正是進行本評鑑研究的最大動機，其中辨認基金經理人操作策略與績效顯現最具代表性的指標--選股能力與擇時能力．乃本研究所欲深入探討的主題。本研究模型之構建乃根據 Lee-Rahman (1990) 所提出之改良評鑑模式，簡言之，該模型的發展歷經早期 Treynor & Mazuy (1966) 的理論雛形，並經過 Jensen 針對評鑑擇時能力方面之改進，然後再經由 Bhattacharya & Pfleiderer (1983) 的進一步修正，產生了較完善的整體架構，最後經由 Lee-Rahman (1990) 針對評鑑過程中評鑑迴歸式之殘餘項異質性問題，作一根本的解決，建構完整的基金選股與市場擇時能力績效之評鑑模式。同時並運用幾個傳統績效評鑑指標 (即 Treynor、 Sharpe 與 Jensen 指標三種)，作為基金整體性績效之輔助研究。 實證結果顯示:(一)在基金整體績效評估方面，得到的結果顯示不論研究期間的長短．基金表現擊敗大盤的比例皆高於五成，約介於 60% 至 70% 左右，而在 Treynor、Sharpe 與 Jensen 指標三種不同評鑑模式分析下，基金績效排名有相當顯著的一致性。(二)在選股與市場擇時能力評鑑( Lee-Rahman 修正模型)方面:1.同時兼具選股與市場擇時能力的基金皆有穩定的一致性;2.大多頭時期基金擇時能力普遍提昇、新投信基金績效表現較優異。(三)整合比較結論方面:1.本研究中不同的評鑑模式所得實證結果十分肯定基金績效的持續性與穩定性;2.基金顯著的擇時能力並非基金整體績效脫穎而出的決定性因素，績效傑出與否幾乎決定於選股功力因素:3.台灣股市投資 Bottom-up 的投資邏輯漸漸取代 Top-down ;4.新投信績效已有凌駕老投信的趨勢。 / Mutual Funds Investment will be very popular! While the professional institutionalist's participation being promoted, domestic stock market environment has beenchanged structurally. In the future, accompanied by several reasons such us the_maturationof stock market, dramatic increasing in listed company numbers and more complex correlation in international financial markets, the age stressing on professional financial adversary will come. "Professional financial investment and adversary" will substitute for"Self-adversary" investment. Therefore, measuring the mutual fund's performance is the mailmotivation of my study', and the insight in selectivity ability and market timing ability will bethe subject for further research. The research model is based on the Lee-Rahman's modified model (1990), that is, the model structure was first built by Treynor & Mazuy (1966), improved by Jensen in Timingability measurement, and then revised by Bhattacharya & Pfleiderer (1983), and throughout structured by solving the "heteroscedasticity" in error terms of regressions finally Therefore, the better integral research model on measuring selectivity ability a timing abilityhas been accomplished. Meanwhile, we also use three traditional performance measure(Treynor, Sharpe & Jensen index) to be the general performance research. Empirical results show that (1)By measuring the general performance of mutual funds, we know that about 60%-70% funds managers beat market at each research period, and there exists consistency of fund's performance ranking among those three measures. (2) By using Lee-Rahman modified model (1990), we got three conclusions. First, for those funds consist of selectivity and timing ability, there exists consistency. In bull market period, timing ability of most funds performed better generally, and new funds had better performance. (3) Integral comparative conclusions have four results. First, no matter what measures being used, empirical results confirm stability and consistency in performance ranking. Second, significant timing ability is not the determinate factor of significant performance, significant selectivity ability plays the determinate role. Third, in Taiwan, bottom-up investment strategy gradually substitutes for top-down investment strategy. Finally, new mutual funds investment co. had outperformed old mutual funds investment institutions.

Bank-managed equity funds are not inferior to their non-bank counterparts. Previous research reporting relative underperformance of bank-managed funds ignored their differing fiduciary standards. To evaluate bank and non-bank funds facing similar fiduciary responsibilities, domestic retail funds approved for Singapore’s Central Provident Fund Investment Scheme were examined, as they meet the same standard for managing social security savings. Returns from these funds correlate highly with market performance. Even though these fund returns exceeded guaranteed interest rates, they did not outperform their market index.With financial market deregulation in Southeast Asia, local banks in small economies withstand erosion of business by foreign competitors. Banks, in order to increase profits, compete with local as well as foreign insurance and investment companies by offering mutual fund products. To remain competitive, banks need to shed their reputation for not being able to generate impressive fund returns, as their funds are not inferior to those from insurance and investment companies in terms of assets under management, expenditures, returns and risk. To gain competitive advantage, banks can differentiate their fund characteristics and reduce portfolio management costs.Mutual fund characteristics can affect expected returns or transaction costs. Factors affecting expected returns include asset allocation and systematic risk, while transaction costs include explicit and implicit ones, which can be measured by expense ratios and size of funds respectively. Insignificance of transaction cost determinants in affecting actual returns can be attributable to dominance of factors affecting expected returns.

Bank-managed equity funds are not inferior to their non-bank counterparts. Previous research reporting relative underperformance of bank-managed funds ignored their differing fiduciary standards. To evaluate bank and non-bank funds facing similar fiduciary responsibilities, domestic retail funds approved for Singapore’s Central Provident Fund Investment Scheme were examined, as they meet the same standard for managing social security savings. Returns from these funds correlate highly with market performance. Even though these fund returns exceeded guaranteed interest rates, they did not outperform their market index.With financial market deregulation in Southeast Asia, local banks in small economies withstand erosion of business by foreign competitors. Banks, in order to increase profits, compete with local as well as foreign insurance and investment companies by offering mutual fund products. To remain competitive, banks need to shed their reputation for not being able to generate impressive fund returns, as their funds are not inferior to those from insurance and investment companies in terms of assets under management, expenditures, returns and risk. To gain competitive advantage, banks can differentiate their fund characteristics and reduce portfolio management costs.Mutual fund characteristics can affect expected returns or transaction costs. Factors affecting expected returns include asset allocation and systematic risk, while transaction costs include explicit and implicit ones, which can be measured by expense ratios and size of funds respectively. Insignificance of transaction cost determinants in affecting actual returns can be attributable to dominance of factors affecting expected returns.