Magistro baigiamajame darbe išanalizuoti ir susisteminti įvairių Lietuvos ir užsienio autorių teoriniai ir praktiniai investicinių fondų aspektai – sąvokos, investicinių fondų rūšys bei jų formavimosi ypatumai, klasifikacija pagal pelningumą ir riziką, fondų aktyvaus valdymo privalumai bei trūkumai, investuotojai, investiciniai fondai pasaulyje ir kiti esminiai investicinių fondų bruožai. Praktinėje darbo dalyje apžvelgiami licenzijuoti Lietuvos investiciniai fondai ir pagal atrankinius kriterijus pasirenkami analizuojami investiciniai fondai. Pateikiama investicinių fondų charakteristika: investavimo strategija, tipinio investuotojo apibūdinimas, fondo taikomi mokesčiai. Analizuojami fondų investicinių vienetų verčių pokyčiai. Pasitelkiant gautus rezultatus fondai vertinami pagal jų pelningumą (skaičiuojant investicinių fondų pelningumą ir jų standartinį nuokrypį) bei riziką (vertinant Šarpo rodiklį). Išanalizuoti investiciniai fondai rekomenduojami skirtingiems investuotojų tipams. Darbo pabaigoje sudarytas vidutinės ir aukščiausios rizikos grupėje esančių investicinių fondų portfeliai su maksimaliu pelnu ir minimalia rizika. Pateikiamos susistemintos darbo išvados bei rekomendacijos. / The master‘s paper contains systematization of various Lithuanian and foreign authors works on the oretical and practical mutual funds issues. The concept of mutual fund types and their formation, classification of profitability and risk, active management funds advantages and disadvantages, investors, investment funds in the world and other essential features of mutual funds. In the practical part of the study licensed Lithuanian investment funds and of sample criteria analyzed in selected investment funds. Available Investment Funds response: investment strategy, the typical investor, the fund subject to tax. Analyzing fund unit values change. With the help of the results obtained funds are valued according to their profitability (in terms of fund profitability and its standard deviation) and risk (Sharpe invoked indicators). To analyze the mutual funds recommended for different types of investors.At the end made up of medium and high-risk group of mutual fund portfolios with maximum profit and minimum risk. Are systematic conclusions and recommendations.

The earnings per share ratio is often quoted in financial publications as an indictor of how well a company has performed financially. However, there is much controversy over the usefulness of earnings per share information, especially in respect of its potential for manipulation by the preparers of financial information. Recent changes to South African accounting standards through the International Harmonisation Project resulted in a revision of the Statement of Generally Accepted Accounting Practice 104: Earnings per Share (AC104). Significant changes to the method of calculation and disclosure of both basic and diluted earnings per share were implemented. Unit trusts have gained popularity in South Africa over the past decade. Members of the public prefer to invest on the Johannesburg .Stock Exchange through intermediaries such as unit trusts rather than undertake investment decisions personally. Unit trust portfolio managers are in an important and a responsible position: they wield significant power on the stock exchange with their daily dealings in shares but they also carry the responsibility of making sound investment decisions. Research has tended to focus more on earnings than earnings per share. A review of literature and prior research revealed several controversial issues: the usefulness of earnings in making investment decisions, the susceptibility of both earnings and earnings per share to manipulation, the predictive value of earnings, the use of earnings in the valuation of securities and the use of earnings and earnings per share in performance measurement. The research problem was thus developed as follows: are the earnings per share disclosures of South African listed companies sufficient to meet the needs of equity unit trust portfolio managers in South Africa as a performance indicator, and if not, what additional information do they require? In addressing the research problem, the following four objectives were formulated: (i) to determine what changes have been made to earnings per share calculation and disclosure by the issue of the new ACI04, (ii) to determine what characteristics South African equity unit trust portfolio managers regard as indicative of a good financial performance indicator, (iii) to determine what impact the changes made to the earnings per share calculation and disclosure by the new AC104 has had on the use of earnings per share information by South African unit trust portfolio managers as a performance indicator, and (iv) to determine the extent of use of other similar performance indicators, such as headline earnings per share and cash flows per share, as compared to earnings per share. In order to meet these objectives, it was necessary to conduct a survey of South African equity unit trust portfolio managers. The descriptive survey method was identified as being appropriate and a mailed survey was undertaken. The main conclusions to this research were that: (i) the characteristics of a useful performance indicator are related to reliability, consistency, comparability, adequate disclosure and ease of computation and understanding, (ii) equity unit trust portfolio managers regard the changes to the calculation and disclosure of basic earnings per share to be improvements to the standard but their use of basic earnings per share as a performance indicator has remained unchanged, (iii) equity unit trust portfolio managers regard the changes to the calculation and disclosure of diluted earnings per share to be improvements to the standard and their use of diluted earnings per share as a performance indicator has, as a result, increased, (iv) headline earnings per share and diluted earnings per share are considered to be better performance indicators and are used more frequently as performance indicators than basic earnings per share. Thus the research project achieved its objectives. In addition, interesting findings in respect of other issues were identified. Further areas for research were also identified. / Thesis (M.Acc.)-University of Natal, Durban, 2000.

This dissertation consists of three essays on investments. The first essay examines the incidence, determinants, and consequences of hedge fund share restriction changes. This paper finds that nearly one in five hedge funds change their share restrictions (e.g., lockup) over the period of 2007-2012. Share restriction changes are not random. Fund’s asset illiquidity, liquidity risk, and performance are related to share restriction changes. A hazard model indicates that funds who actively manage liquidity concerns live longer by adjusting share restrictions. The paper examines whether changes in share restrictions create an endogeneity bias in the share illiquidity premium (Aragon, 2007) and find that 18% of the premium can be explained by the dynamic nature of contract changes. The second essay examines why mutual funds appear to underperform hedge funds. Utilizing a unique panel of mutual fund contracts changes, this paper explores several possible channels, including: alternative investment practices (e.g., short sales and leverage), performance-based compensation, and the ability to restrict the funding risk of fund flows. This paper documents that over our sample period, mutual funds were more likely to shift their contracting environment closer to that of hedge funds. However, this shift provided no benefit to mutual funds and the paper finds no causal link between these contract changes and improvements in performance. Rather, this paper casts doubt on the binding nature of investment restrictions in the mutual fund industry. The third essay examines whether the 52-week high effect (George and Hwang, 2004) can be explained by risk factors. The paper finds that it is more consistent with investor underreaction caused by anchoring bias: the presumably more sophisticated institutional investors suffer less from this bias and buy (sell) stocks close to (far from) their 52-week highs. Further, the effect is mainly driven by investor underreaction to industry instead of firm-specific information. The 52-week high strategy works best among stocks whose values are more affected by industry factors. The 52-week high strategy based on industry measurement is more profitable than the one based on idiosyncratic measurement.

我們利用Sharpe(1992)所提出的return-based模型來分析台灣經理人的風格遷移狀況。基金經理人的投資風格在分析面上，通常假設是定態不變的，意即不隨時間改變而變化。但是事實上，這是一個動態改變的過程。基金投資說明書上常常明定此基金經理人限制投資在哪類型的股票，但是基金經理人有可能依照不同的市場情況以及時機，從原先偏向小型股的經理人，轉而變成投資大型股的經理人。我們用rolling-window迴歸式的係數結果來估計風格以及計算參考Idzorek & Bertsch (2004)的風格遷移分數來為台灣一般共同基金經理人締訂一個比較指標，我們也利用計算出的風格係數畫出資產權數分配圖，經由此圖，我們亦可以觀察到基金經理人投資風格隨著時間經過的整個改變過程。風格遷移分數提供我們一個量化的方法來衡量風格遷移的現象，因為較早的研究文獻只有提供一個質化的圖型做大約的估計，因此這個風格分數提供了我們一個很好的輔助工具，將質化的圖形輔以量化的分數做整合搭配比較。 根據Brown and Harlow (2002)的結論，基金經理人投資風格的一致性以及基金表現績效有正相關的關係，意即當基金經理人的投資風格越一致，基金的表現就會越好，但是在我們的數據裡面這個關係並不顯著。 / We provide an introduction to utilize the return based style model of Sharpe (1992) to analyze the style drift of mutual fund managers in Taiwan in practice. Often the investment style is assumed to be constant through time but it actually is dynamic. We use rolling regressions to estimate the style exposures and calculate style drift score (Idzorek & Bertsch 2004) to produce the allocated maps. We can clearly see the changing process over time by the maps. SDS provides a single quantitative measure of style drift over the sample period because earlier research has only provided a qualitative method to approximately estimate. Brown and Harlow (2002) conclude that there is a positive relationship between investment style consistency and performance but in our sample the relation between score and fund performance is not obvious.

Three Essays on Stock Market Seasonality Hyung-Suk Choi 136 pages Directed by Dr. Cheol S. Eun In chapter 1, we examine seasonality in returns to style portfolios, which serve as important benchmarks for asset allocation, and investigate its implications for investment. In doing so, we consider monthly returns on the style portfolios classified by six size/book-to-market sorting and six size/prior-return sorting over the sample period 1927 - 2006. The key findings are: first, as is well documented in the literature, small-cap oriented portfolios are subject to the January effect, but also to the 'negative' September and October effects. Second, cross-style return dispersion exhibits a seasonal pattern of its own (it is largest in January and smallest in August), suggesting possibly profitable trading strategies. Third, our seasonal strategies indeed yield significant profits, as high as about 18.7 % per annum. This profit is mostly attributable to the seasonal autocorrelation in style returns. Lastly, we find substantial seasonal patterns in style returns not only in the U.S. but also in other major stock markets Germany, Japan, and the U.K. Our seasonal style rotation strategy yields economically and statistically significant profits in all of these stock markets. In chapter 2, we examine the abnormal, negative stock returns in September which have received little attention from academic researchers. We find that in most of the 18 developed stock markets the mean return in September is negative and in 15 countries it is significantly lower than the unconditional monthly mean return. This September effect has not weakened in the recent period. Further, the examinations of the various style portfolios in the US market show that the September effect is the most pervasive anomalous phenomenon that is not affected by size, book-to-market ratio, past performance, or industry. Our finding suggests that the forward looking nature of stock prices combined with the negative economic growth in the last quarter causes the September effect. Especially in the fall season when most investors become more risk averse, the stock prices reflect the future economic growth more than the rest of the year. Our investment strategy based on the September effect yields a higher mean return and a lower standard deviation than the buy-and-hold strategy. In chapter 3, we establish the presence of seasonality in the cash flows to the U.S. domestic mutual funds. January is the month with the highest net cash flows to equity funds and December is the month with the lowest net cash flows. The large net flows in January are attributed to the increased purchases, and the small net flows in December are due to the increased redemptions. Thus, the turn-of-the-year period is the time when most mutual fund investors make their investment decisions. We offer the possible sources for the seasonality in mutual funds flows.

This thesis consists of four essays on the topic of asset management. The first essay, Performance and Characteristics of Swedish Mutual Funds studies the relation between fund performance and fund attributes in the Swedish market. The results show, among other things, that good performance is to be found among small equity funds, low-fee funds, funds whose trading activity is high, and in some cases, funds with good past performance. The second essay, Does Active Trading Create Value? An Evaluation of Fund Managers' Decisions decomposes fund performance and examines how it is influenced by fund managers' strategic and tactical decisions. The results support the value of active portfolio management in Sweden. The essay also finds a positive relation between performance and fund managers' voluntary trading decisions. In contrast, there is some evidence of inferior trading decisions when fund managers are forced to trade. The third essay, Investment Strategies, Fund Performance, and Portfolio Characteristics analyzes the relation between fund performance and fund managers' investment strategies. The results show that neither momentum characteristics nor the valuation of stocks in the fund portfolio can explain differences in fund performance. The findings also show a positive relation between performance and the degree of diversification of the fund portfolio. The last essay, Costly Information, Diversification, and International Mutual Fund Performance examines how fund managers' costly search for information affects the performance of mutual funds that invest in Asia and Europe. The essay shows that fund managers who select from a smaller set of Asian stocks perform better than those who select from a larger set. Moreover, the performance of large international mutual fund companies is similar to that of their small competitors. This suggests that there are no economies of scale in the costly search for information. / Diss. Stockholm : Handelshögskolan, 2001

Univ., Diss.-2003--Frankfurt am Main, 2002. / Literaturverz. S. 255 - 264.

Thesis (Ph. D.)--State University of New York at Binghamton, Department of Economics, 2009. / Includes bibliographical references.

This thesis focuses on the analysis of Catastrophe bond mutual funds [CBMFs] and is organized into four chapters. The first chapter, "An identification-robust analysis of Catastrophe bond mutual funds: zero-beta neutrality under tradability", offers identification-robust evidence on whether CBMFs are zero-beta based on the analysis with only tradable risk factors. Statistical significance of factor risk premiums and cross-sectional loadings is examined in a multivariate, identification-robust setting to inform on the zero-beta performance of CBMFs. The latter is assessed against the Capital Asset Pricing Model [CAPM] without the risk-less asset proposed by Black (1972) [BCAPM], Quadratic CAPM, Cummins-Weiss, Fama-French-Carhart benchmarks and models with Fontaine and Garcia (2012) and Pástor and Stambaugh (2003) liquidity factors. Multiple markets are considered individually and jointly. Beta pricing inference proceeds using the method of Beaulieu, Dufour and Khalaf (2013) robust to weak identification. Instead of non-tradable factors, their mimicking portfolio returns are used in the analysis to facilitate tradable-only factor setting. Results indicate that coskewness, funding liquidity and fixed-income factors are often priced or incur significant factor betas. There is also evidence of risk premiums and joint beta significance for stock, corporate bond and commercial mortgage-backed securities benchmarks. Empirical findings overall suggests that CBMFs underperformed as zero-beta assets. The second chapter, "Zero-beta inference on Catastrophe bond mutual funds: identification- robust evidence with non-tradable factors", examines formally the zero-beta neutrality of CBMFs allowing for some risk factors to be non-tradable. Zero-beta analysis focuses on cross-sectional betas with their joint significance tested for each factor. This is augmented with inference on risk prices and the zero-beta rate to assess whether factor risks are priced. CBMFs are modeled in the QCAPM setting with either stock, corporate bond, government bond or commercial mortgage-backed security [CMBS] market return and its square as respectively tradable and non-tradable factors. The zero-beta performance of CBMFs is also assessed against an extended BCAPM benchmark with either Fontaine and Garcia (2012) or Pástor and Stambaugh (2003) non-tradable liquidity factor considered in addition to the tradable market return. Inference on risk prices and the zero-beta rate builds on the method of Beaulieu, Dufour and Khalaf (2018) which remains exact and simultaneous for any sample size even if the parameter recovery is impaired. Empirically, although identification strength diminishes in the setting with non-tradable factors, relaxing tradability improves model fit across all benchmarks. In particular, QCAPM (reix gardless of the market) is no longer rejected for any period and so is the model with the funding liquidity factor. Goodness-of-fit also improves for the model with the marketwide liquidity factor. In periods for which models were rejected under factor tradability, allowing for some factors to be non-tradable also yields set estimates for the zero-beta rate and risk prices that are informative for beta pricing. In particular, this reveals evidence of priced coskewness risk across all markets over the long-run and for stock, corporate bond and CMBS benchmarks after the 2007-09 US recession. In the same periods, funding liquidity risk is also priced and so is the marketwide liquidity risk over the full sample. Given significant betas on the market return, the latter prevails as a relevant factor even in a setting with other factors being non-tradable. Overall, there is evidence suggesting that CBMFs deviated from performing as zero-beta investments with coskewness and liquidity as contributing factors. These results reinforce findings in the Chapter 1. The third chapter, "An alpha and risk analysis of Catastrophe bond mutual funds: exact, simultaneous inference", examines CBMFs in terms of their ability to produce a positive alpha and the extent of their sensitivity to the developments in financial markets. Inference on alphas and the riskiness of CBMFs relies on exact, simultaneous confidence sets assembled respectively for cross-sectional intercepts and factor loadings in the multivariate linear regression [MLR] model. Set construction proceeds using the analytical inversion procedure of Beaulieu, Dufour and Khalaf (2018) in a Least-Squares case and its extension to a Student-t setting. Proposed in this chapter, the extension involves replacing the Fisher-based cut-off point in the analytical solution of Beaulieu, Dufour and Khalaf (2018) with its simulation-based counterpart obtained under Student-t errors. The empirical analysis of CBMFs reveals evidence of a positive alpha following the 2011 Tohoku earthquake in Japan and indicate that CBMFs are likely to have at most moderate sensitivity to fluctuations in financial markets. These results are robust against CAPM, QCAPM and Fama-French benchmarks and observed in both Gaussian and Student-t settings. The fourth chapter, "Endogeneity in a zero-beta analysis: joint, finite sample inference on Catastrophe bond mutual funds", revisits the zero-beta assessment of CBMFs taking into account factor endogeneity. In particular, this chapter extends the univariate Durbin-Wu-Hausman [DWH] test (Durbin, 1954; Wu, 1973; Hausman, 1978) of exogeneity to a multivariate setting. Unlike the univariate DWH test, the proposed multivariate extension allows to assess factor exogeneity jointly across equations. This chapter also proposes an extended version of the multivariate Wilks-based instrumental variables [IV] test of Dufour, Khalaf and Kichian (2013) to a setting with regressors, and consequently their instruments, that remain the same across equations. Both extended tests allow for possibly non-Gaussian errors and maintain size correctness for a sample with any number of observations even in the setting with weak instruments. Applying the extended methods to the analysis CBMFs provides evidence against joint factor exogeneity in some cases across CAPM and QCAPM in both Gaussian and Student-t settings. In some periods when the joint factor exogeneity is rejected, results for the zero-beta analysis differ depending on whether the IV-based or non-IV test was applied. Unlike in the case without instrumenting, extended Wilks-based IV test of joint beta significance is significant at the 5% level before the 2007-09 US recession for both CAPM and QCAPM regardless of the distributional setting (Gaussian or Student-t). The same result also obtains for QCAPM during the economic downturn. Over the long-run, there is evidence of jointly significant factor loadings obtained with and without instrumenting. Overall, empirical results suggest that performance of CBMFs differs from that of zero-beta assets.

I study various aspects of mutual funds in my thesis. These are divided over four chapters. The first chapter is an introduction to the thesis and sets out an executive summary of my research. The second to fourth chapters each deal with a new concept. The second chapter shows that the sensitivity of an investor's reaction to a mutual fund's recent performance increases with the fund's historical performance. Put differently, bad (good) performance combined with a good-history for a fund results in a greater fraction of capital outflows (inflows) relative to a fund with a poor past history. The evidence is puzzling as we would expect investors to stick with a fund having a good-history, even after a single bad performance. I solve this problem using a model with investors of differing attentiveness. In equilibrium, fund owner's attentiveness increases the historical record of a fund. With this mechanism, the model can explain the higher sensitivity of outflows for higher reputation funds. The chapter is important in that it shows that return-chasing behavior is not ubiquitous. It also provides a clear evidence where the market is slow to incorporate the new information into decision making. The third chapter studies the managerial side of the mutual funds industry regarding the risk-taking behavior of the mutual funds. Mutual fund managers are compared against a benchmark or with the peers. The employment, as well as investor's capital flows, depends on how the manager fares in the competition. I present new evidence in the chapter that the exposure of a manager to these risks is heterogeneous, and manager's historical performance governs it. The evidence implies that the risk-appetite and behavior of a manager depends on his historical performance. I find strong support in the data for this hypothesis. I show that funds with poor historical performance do not boost the portfolio risk to catch up with the peers if they are lagging at the interim date. In general, the risk appetite of the poor-history manager is less driven by their interim performance. But the good-history managers respond to their midyear position and more so during the bull years. The evidence on risk-shifting is consistent with the evidence on how each incentive behaves for good and poor history managers over bull and bear phases. The fourth chapter shows that capital movement in and out of a mutual fund is more sensitive to fund performance during periods of high market volatility. I explain this result using a model where the manager has picking as well as timing skill. A volatile market presents an opportunity to generate timing value and to that extent produces speedy learning about managerial timing ability. Persistence in volatility boosts the sensitivity of flows to performance during such times. Given the counter-cyclical nature of market volatility, the model predicts that the flow sensitivity is higher during the recessions. Data supports the model prediction. The chapter provides a clear example when the trade volume (here capital flows) is linked positively with the volatility. Usually, literature has shown how the volatile periods slows the learning and hence trade volumes too. But my model indicates that there could be substantial learning going on during volatile times about critical economics parameters, mainly because those parameters are revealed only during volatile times.