This dissertation considers two important issues relevant to the efficiency of institutional investment managers. It examines the trading behaviour of institutional equity funds in relation to investment style drift and dividend payments to assess whether trading is beneficial to investors in these funds. The analysis of investment style is relevant because of the prominence of multiple manager funds in Australia, while institutional investor preferences for dividend income will impact the after-tax return of fund investors. Firstly, monthly equity fund portfolio holdings are used to examine the magnitude of investment style drift. Institutional investor style tilts are consistent with their self-stated investment objective. Decomposing style drift into active and passive components reveals that institutions retain a desired portfolio tilt by actively adjusting their portfolio holdings in response to passive style drift. Furthermore, funds are most responsive to changes in book-to-market and momentum drift, with style drift affecting portfolio turnover. Secondly, the dissertation presents an equilibrium framework of dividend valuation and ex-dividend trading under Australia??s imputation tax system. An examination of returns, volume, and order imbalance in the Australian equity market shows that investors value dividends. The results are consistent with long-term investors accelerating trades to the cum-dividend period and short-term traders targeting fully franked, high yielding dividends with a small bid-ask spread. Franking credits possess a positive value for the majority of the sample while transaction costs impede the efficient adjustment of prices on the ex-dividend day. The results show that a 45-day holding period rule reduces the amount of short-term trading from July 1999. Thirdly, the dissertation places the ex-dividend trading behaviour of institutional equity funds in the context of the findings for the Australian equity market. Institutions accelerate their sales of long-term holdings to the cum-dividend period, and delay purchases until the ex-dividend period to avoid dividends. Institutional trading is consistent with the provision of liquidity to short-term traders that are attempting to capture both dividends and franking credits. The introduction of a long-term capital gains tax discount in 1999 entices institutions to trade in a more tax-efficient manner by selling long-term holdings prior to the ex-dividend day.

This dissertation considers two important issues relevant to the efficiency of institutional investment managers. It examines the trading behaviour of institutional equity funds in relation to investment style drift and dividend payments to assess whether trading is beneficial to investors in these funds. The analysis of investment style is relevant because of the prominence of multiple manager funds in Australia, while institutional investor preferences for dividend income will impact the after-tax return of fund investors. Firstly, monthly equity fund portfolio holdings are used to examine the magnitude of investment style drift. Institutional investor style tilts are consistent with their self-stated investment objective. Decomposing style drift into active and passive components reveals that institutions retain a desired portfolio tilt by actively adjusting their portfolio holdings in response to passive style drift. Furthermore, funds are most responsive to changes in book-to-market and momentum drift, with style drift affecting portfolio turnover. Secondly, the dissertation presents an equilibrium framework of dividend valuation and ex-dividend trading under Australia??s imputation tax system. An examination of returns, volume, and order imbalance in the Australian equity market shows that investors value dividends. The results are consistent with long-term investors accelerating trades to the cum-dividend period and short-term traders targeting fully franked, high yielding dividends with a small bid-ask spread. Franking credits possess a positive value for the majority of the sample while transaction costs impede the efficient adjustment of prices on the ex-dividend day. The results show that a 45-day holding period rule reduces the amount of short-term trading from July 1999. Thirdly, the dissertation places the ex-dividend trading behaviour of institutional equity funds in the context of the findings for the Australian equity market. Institutions accelerate their sales of long-term holdings to the cum-dividend period, and delay purchases until the ex-dividend period to avoid dividends. Institutional trading is consistent with the provision of liquidity to short-term traders that are attempting to capture both dividends and franking credits. The introduction of a long-term capital gains tax discount in 1999 entices institutions to trade in a more tax-efficient manner by selling long-term holdings prior to the ex-dividend day.

abstract: With the fast development of Chinese capital market, an increasing number of institutions and retail investors invest through professional managers. The key to evaluating investment manager’s skill and performance persistence largely lies in portfolio style research and attribution analysis. The current dissertation takes advantage of a unique dataset, uncover hidden investment style and trading behavior, understanding their source of excess returns, and establishing a more comprehensive methodology for evaluating portfolio performance and manager skills. The dissertation focuses on quantitative analysis. Highlights three most important aspects. Investment style determines the systematic returns and risks of any portfolio, and can be assessed ex-ante; Transaction can be observed and modified during the investment process; and return attribution can be implemented to evaluate portfolio (managers), ex-post. Hence, these three elements make up a comprehensive and logical investment process. Investment style is probably the most important factor in determining portfolio returns. However, Chinese investment managers are under constant pressure to follow the market trend and shift style accordingly. Therefore, accurately identifying and predicting each manager’s investment style proves critically valuable. In addition, transaction data probably provides the most reliable source of information in observing and evaluating an investment manager’s style and strategy, in the middle of the investment process. Despite the efficacy of traditional return attribution methodology, there are clear limitations. The current study proposes a novel return attribution methodology, by synthesizing major portfolio strategy components, such as risk exposure adjustment, sector rotation, stock selection, altogether. Our novel methodology reveals that investment managers do not obtain much abnormal returns through risk exposure adjustment or sector rotation. Instead, Chinese investment managers seem to enjoy most of their excess returns through stock selection. In addition, we find several interesting patterns in Chinese A-share market: 1). There is a negative relationship between asset under management (AUM) and investment performance, beyond certain AUM threshold; 2). There are limited benefits from style switching in the long run; 3). Many investment managers use CSI 300 component stocks as portfolio ballast and speculate with CSI500 and Medium-and-Small board component stocks for excess returns; 4). There is no systematic negative relationship between portfolio turnover and investment performance; despite negative relationship within certain sub-samples and sectors; 5). It is plausible to construct out-performing portfolios with style index funds and ETFs. / Dissertation/Thesis / Doctoral Dissertation Business Administration 2016

[pt] Em 1993, o governo federal adotou um tributo - IPMF (1993,1994) e CPMF (1997-2002) - sobre transações financeiras no Brasil. Usando uma amostra de 545 ações da Bovespa, mostra-se que, sob a alíquota máxima (0,38 por cento), o tributo implicou uma perda de 19 por cento do volume negociado. A queda do volume de transações afetou mais fortemente ações que se enquadram no estilo de investimento crescimento e ações de firmas que pagam menos dividendos. Este último resultado sugere que, ao gerar incentivos para uma maior distribuição de dividendos, a CPMF protegeu acionistas minoritários, apesar do aumento dos custos de transação. / [en] From 1993 to 2002, the Brazilian federal government levied a tax, CPMF, on all financial transactions in Brazil. Using a sample of 545 stocks, we show that, at its highest rate (0.38 percent), the CPMF reduced the volume of trade in the Brazilian stock exchange, BOVESPA, by 19 percent. The drop in the volume of trade was not uniform across the stocks; the CPMF affected more strongly growth stocks and stocks of firms that pay smaller dividends. These findings suggest that the CPMF provided incentives for public firms to improve their governance structure, despite increasing transaction costs.

While much of the previous research on mutual funds has concentrated on finding the relationship between the investment style, the past performance and the future performance of funds, very few of the studies have paid attention to the effect of a mutual fund manager’s execution of investment style on fund returns. Using return-based analysis methodologies for measuring the style consistency of Chinese mutual funds, this thesis demonstrates that the less style-consistent funds tend to produce higher future risk-adjusted returns than more consistent mutual funds, even after controlling for past performance and net asset value (NAV). Further, these findings are robust across mutual fund investment style classifications, test period intervals (one-year or one-quarter interval), and the model used to calculate the expected returns (four-factor model and Sharpe’s style analysis model). This thesis also documents the performance-persistency effects that exist in Chinese mutual funds, which remain persistent even under the condition of style consistency. More importantly, the research discovered that at a time of change in the Chinese stock market, the negative correlation between style consistency and future performance becomes weaker. The study concludes that style consistency does matter for mutual funds’ future risk-adjusted returns and that there is a significant negative correlation with mutual funds’ future risk-adjusted performance in the longer term (i.e., over the entire test period). Moreover, this connection is distinct from those related to the past risk-adjusted performance and NAV of mutual funds. It is also clear that a significant negative correlation between style consistency and the future risk-adjusted return does exist in Chinese stock and asset allocation mutual funds, even after adjusting for the investment style of the fund. Finally, this thesis provide a mutual funds picking strategy for investors base on the main findings of this study, which can provide significant positive alpha at each year during the test period.

儘管近幾年來台灣的基金市場蓬勃發展，且國外有關基金投資風格是否存在錯誤分類現象的實證研究正方興未艾，但台灣投資人目前對於何謂「基金投資風格」尚缺乏足夠認識，絕大多數仍只重視基金績效表現之優劣，而值得注意的是，若要進行共同基金績效評比，必須在基金風格已正確分類之前提上，此績效評比或排名才有實質意義；此外，台灣的基金公開說明書往往語焉不詳，基金投資風格分類極不明確，因此本研究的主要目的為提供正確區分共同基金風格型態之分類方法，並檢驗是否存在風格錯誤分類之現象，同時分析此風格分類方法之穩定性。 　　本研究之研究對象為台灣的86支開放型基金，衡量期間為1997年1月至1998年12月，以歷史月報酬率進行風格分類，同時並利用單因子ANOVA比較不同風格型態基金間各特徵值：月報酬率、系統風險、基金規模、總投資比率、單月買進及賣出週轉率是否存在差異，獲得結論如下： 1.樣本基金確實存在投資風格錯誤分類之現象，且事前宣稱之投資風格與實際表現之投資風格具有顯著之差異。 2.重新分類後，不同風格型態間基金之系統風險、規模、單月買進及賣出週轉率具有顯著差異，而月報酬率與總投資比率則不顯著。 3.經由拔靴法衡量基金風格轉換率與跨期衡量基金風格最大保留率之檢驗，證明本研究之風格分類方法具有穩定性。 第一章 緒論 1 第一節 研究動機與背景 1 第二節 研究目的 3 第三節 研究架構 4 第二章 文獻探討 6 第一節 共同基金風格型態種類 6 第二節 共同基金風格分類方法之研究 7 第三節 基金風格型態分類方法穩定性 15 第三章 研究設計 18 第一節 研究假設 18 第二節 研究對象及資料來源 19 第三節 研究方法 23 第四節 研究流程圖 35 第四章 實證結果與分析 36 第一節 共同基金風格型態重新分類 36 第二節 不同風格型態基金間特徵值是否存在差異性 46 第三節 風格分類方法之穩定性 56 第五章 結論與建議 59 第一節 研究摘要與結論 59 第二節 研究限制 62 第三節 建議 63 參考文獻 66