Thesis (Ph. D.)--Ohio State University, 1985. / Includes bibliographical references (leaves 189-205). Available online via OhioLINK's ETD Center.

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

Women are paid less than men in comparable occupations when human capital factors are controlled for. This gender pay gap is particularly prominent in upper management where on average female leaders are allocated 30 per cent less pay than male leaders. This thesis examines the underlying causes and the consequences of the gender pay gap in managerial positions by considering the organisational context (i.e., company performance) and social context (i.e., women’s experiences in the workplace) in which these differences emerge. First, three studies identify and examine gender disparities in the way in which performance-based pay is allocated as a function of company performance. Second, a survey study takes the perspective of leaders themselves by considering gender differences in pay-related attitudes and their relationship to distinct gendered experiences in the workplace. An archival study (Study 1, N = 192), an experiment (Study 2, N = 201), and a survey (Study 3, N = 180) investigated the role of gender in the relationship between managerial bonuses and company performance. In studies 1 and 3 the bonuses awarded to men were larger than those allocated to women. Moreover, while the compensation of male leaders was sensitive to performance, such that they received greater bonuses the better their company performed, the bonuses awarded to female directors were not sensitive to performance across all three studies. The psychological processes related to this phenomenon were explored in Study 2. It was found that, for a male leader, increasing company performance simply led to larger performance-related bonuses. However, for a female leader, the allocation of a bonus was based on perceptions of her charisma and leadership ability rather than resulting directly from company performance. v Study 4 examines gender similarities and differences in attitudes towards pay and pay negotiations. In a sample of 180 employees with managerial responsibilities, no gender differences in attitudes about the importance of pay were found. However, while female participants felt less confident than men about asking for pay rises, this was, at least in part, explained by their negative workplace experiences, such as feeling to have to invest more time and effort in order to achieve a pay rise and fearing negative responses when making pay demands. The importance of integrating the organisational and social context in the analysis of the gender pay gap is discussed in light of the limitations of a primarily individualistic approach. The role of the organisational context in moderating the attributional dynamics surrounding pay and evaluation patterns is explained within the framework of literature on the romance of leadership and gender stereotypes. The social context is considered in terms of the role of societal beliefs which may influence women’s decisions to opt out of top managerial jobs and their lack of confidence with pay negotiations. Finally, these findings are used to critique the tendency to blame women themselves for gender disparities in pay and their under-representation in managerial jobs, and instead I argue that it is organisational indifference towards women that perpetuates the gender pay gap.

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

<p>This study seeks to evaluate the performance of unit trust managers based on their client affiliation classification. Worldwide, the number of investors investing in unit trusts is on the rise and increasingly they want to be able to evaluate the performance of the managers managing their funds so as to make better investment decisions. This increase in the asset size and number of unit trusts funds could be attributed but not limited to the low capital required for investment by small investors who before could not afford to invest in portfolios requiring large capital (Prather, Bertin, and Henker, 2004). In addition, the fund managers of these units are believed to have special skills such as market timing and stock selectivity which contribute to the performances they achieve. The evaluation of the performance of unit trust fund managers is a largely unexplored area in South Africa. As a result, the study focuses on South Africa fund managers and has as aim to evaluate the performance of two groups of fund managers (independent and dependent) who were classified based on their client affiliation structure. The client affiliation classification is as a result of the fund manager‟s clientele base. The dependent group are those who formed part of a group structure and offer other wealth management services for which their clients or investors in the unit trust services originate from within the group while the independent group are those whose clients are pulled together from diverse individuals or institutions and does not form part of a group or render other services other than fund management. Two fund types were selected namely / general equity funds and balanced funds. It has also examined the underlying skills the different groups of fund managers possess. The performance of unit trust has an effect on many parties who are related in one way or the other to the unit trust funds. The results of this study will inform individual investors, trustees and asset consultants in their decision making process of selecting a fund manager. The results of the study will be of value to the asset management industry in terms of assessing their structures and restructuring the investment service business to meet the expectations of their clients / the investors. It could also be used as a marketing tool. Publicly available historical data on the returns generated by fund managers for a five year period from&nbsp / 2005 to 2009 was obtained. Analyses were done using the independent sampled t-test and the Treynor Mazel model respectively for the different research questions posed. The results obtained indicated that there were no statistically significant differences between the performances of independent fund managers with those of dependent fund managers. However, dependent fund managers of equity funds performed better than their counterparts the independent fund managers. In the case of balanced funds, the independent fund managers performed better than their dependent counterparts. On average, both fund&nbsp / manager types possessed selectivity skills for equity funds and none for balanced funds. However for both fund types, the dependent fund manager demonstrated more selectivity skills than their independent counterparts. The results for market timing skills demonstrated that on average, both fund managers did not possess market timing skills for balanced funds while possessing these skills for equity funds. The dependent&nbsp / fund managers demonstrated more market timing skills for balanced funds though negative when compared to that of their counterparts. On the other hand, the equity fund independent fund&nbsp / managers demonstrated more market timing skills than the dependent fund managers.</p>

在追求組織目標當中的管理活動中，管理者都需要資訊。而管理會計資訊系統可以提供資訊給管理人員以評估作業和人員的績效，規劃與控制一個組織的營運，作為制定決策的基礎。本研究應用規則式推論系統的分析設計方法讓組織內部的非資訊技術人員完成商業系統的模型，接著利用規則與事實的邏輯化表達將商業邏輯從績效歸屬作業中萃取出來並形成一個結構化的形式。可將知識儲存在商業系統中，達到知識的可再用性與延伸性。而規則式系統的彈性可改善當商業環境快速變化時，系統可應付快速的商業需求的改變。 本研究的貢獻在於探討管理會計資訊系統的績效歸屬功能，建立分析的步驟，並提供一個商業規則系統的開發環境。利用規則式系統將商業邏輯與推論引擎分開，讓知識工程師只需專注在知識工程上，而程式設計師則專注在使用者介面及資料轉換存取。當商業邏輯改變，只需更改知識庫的內容，抽換規則與事實，不需更改程式碼。分析績效歸屬作業的目標與政策，使用模組化規則與三層式設計(目標、政策、規則)，提供更抽象的商業規則，減少例外的發生。使用JESS來實作規則，驗證規則的邏輯可行性。 / Managers need information in the activities pursuing the goals of the organization. Accounting Information System can provide information as making decision to administrators to evaluate the task and employees’ performance and to plan and control the operation in the organization. In this research we utilize the design and analysis approach of rule-based inference to carry out the business model, and then extract the business logic from the activities of performance attribution to form a template structure by representing rules and facts logically. In order to achieve the reuse and extensibility of knowledge, we physically store it in the business system. The rule-based system in this research also provides flexibility and modifiability to meet the requirement of the rapid business environment change in the future. The contribution of the research is to confer the performance attribution in Accounting Information System, to establish the analytical steps and to provide the development circumstance. Separating the business logic and inference engine with rule-based system can make the knowledge engineers to concentrate their attention on knowledge engineering and programmers are absorbed in the user interface and data transformation. It updates only the content of knowledge base, changes the rules and facts and not to modify the code when business logic is changed. Analyzing the goal and the policy of the performance attribution operation and making use of rule module and three-tier design to put up the more abstract business rules and less exception. Implement the rules with JESS to verify the feasibility of rules.

<p>This study seeks to evaluate the performance of unit trust managers based on their client affiliation classification. Worldwide, the number of investors investing in unit trusts is on the rise and increasingly they want to be able to evaluate the performance of the managers managing their funds so as to make better investment decisions. This increase in the asset size and number of unit trusts funds could be attributed but not limited to the low capital required for investment by small investors who before could not afford to invest in portfolios requiring large capital (Prather, Bertin, and Henker, 2004). In addition, the fund managers of these units are believed to have special skills such as market timing and stock selectivity which contribute to the performances they achieve. The evaluation of the performance of unit trust fund managers is a largely unexplored area in South Africa. As a result, the study focuses on South Africa fund managers and has as aim to evaluate the performance of two groups of fund managers (independent and dependent) who were classified based on their client affiliation structure. The client affiliation classification is as a result of the fund manager‟s clientele base. The dependent group are those who formed part of a group structure and offer other wealth management services for which their clients or investors in the unit trust services originate from within the group while the independent group are those whose clients are pulled together from diverse individuals or institutions and does not form part of a group or render other services other than fund management. Two fund types were selected namely / general equity funds and balanced funds. It has also examined the underlying skills the different groups of fund managers possess. The performance of unit trust has an effect on many parties who are related in one way or the other to the unit trust funds. The results of this study will inform individual investors, trustees and asset consultants in their decision making process of selecting a fund manager. The results of the study will be of value to the asset management industry in terms of assessing their structures and restructuring the investment service business to meet the expectations of their clients / the investors. It could also be used as a marketing tool. Publicly available historical data on the returns generated by fund managers for a five year period from&nbsp / 2005 to 2009 was obtained. Analyses were done using the independent sampled t-test and the Treynor Mazel model respectively for the different research questions posed. The results obtained indicated that there were no statistically significant differences between the performances of independent fund managers with those of dependent fund managers. However, dependent fund managers of equity funds performed better than their counterparts the independent fund managers. In the case of balanced funds, the independent fund managers performed better than their dependent counterparts. On average, both fund&nbsp / manager types possessed selectivity skills for equity funds and none for balanced funds. However for both fund types, the dependent fund manager demonstrated more selectivity skills than their independent counterparts. The results for market timing skills demonstrated that on average, both fund managers did not possess market timing skills for balanced funds while possessing these skills for equity funds. The dependent&nbsp / fund managers demonstrated more market timing skills for balanced funds though negative when compared to that of their counterparts. On the other hand, the equity fund independent fund&nbsp / managers demonstrated more market timing skills than the dependent fund managers.</p>

Magister Commercii - MCom / This study seeks to evaluate the performance of unit trust managers based on their client affiliation classification. Worldwide, the number of investors investing in unit trusts is on the rise and increasingly they want to be able to evaluate the performance of the managers managing their funds so as to make better investment decisions. This increase in the asset size and number of unit trusts funds could be attributed but not limited to the low capital required for investment by small investors who before could not afford to invest in portfolios requiring large capital (Prather, Bertin, and Henker, 2004). In addition, the fund managers of these units are believed to have special skills such as market timing and stock selectivity which contribute to the performances they achieve. The evaluation of the performance of unit trust fund managers is a largely unexplored area in South Africa. As a result, the study focuses on South Africa fund managers and has as aim to evaluate the performance of two groups of fund managers (independent and dependent) who were classified based on their client affiliation structure. The client affiliation classification is as a result of the fund manager's clientele base. The dependent group are those who formed part of a group structure and offer other wealth management services for which their clients or investors in the unit trust services originate from within the group while the independent group are those whose clients are pulled together from diverse individuals or institutions and does not form part of a group or render other services other than fund management. Two fund types were selected namely; general equity funds and balanced funds. It has also examined the underlying skills the different groups of fund managers possess. The performance of unit trust has an effect on many parties who are related in one way or the other to the unit trust funds. The results of this study will inform individual investors, trustees and asset consultants in their decision making process of selecting a fund manager. The results of the study will be of value to the asset management industry in terms of assessing their structures and restructuring the investment service business to meet the expectations of their clients; the investors. It could also be used as a marketing tool. Publicly available historical data on the returns generated by fund managers for a five year period from 2005 to 2009 was obtained. Analyses were done using the independent sampled t-test and the Treynor Mazel model respectively for the different research questions posed. The results obtained indicated that there were no statistically significant differences between the performances of independent fund managers with those of dependent fund managers. However, dependent fund managers of equity funds performed better than their counterparts the independent fund managers. In the case of balanced funds, the independent fund managers performed better than their dependent counterparts. On average, both fund manager types possessed selectivity skills for equity funds and none for balanced funds. However for both fund types, the dependent fund manager demonstrated more selectivity skills than their independent counterparts. The results for market timing skills demonstrated that on average, both fund managers did not possess market timing skills for balanced funds while possessing these skills for equity funds. The dependent fund managers demonstrated more market timing skills for balanced funds though negative when compared to that of their counterparts. On the other hand, the equity fund independent fund managers demonstrated more market timing skills than the dependent fund managers. / South Africa

Submitted by Pedro Luiz Albertin Bono Milan (pedrolalbertin@gmail.com) on 2017-02-22T20:43:42Z No. of bitstreams: 1 Gestao Ativa de Carteiras de Renda Fixa.pdf: 1715135 bytes, checksum: ad7e9b05127e972e34408c5fbe927dbd (MD5) / Approved for entry into archive by Pamela Beltran Tonsa (pamela.tonsa@fgv.br) on 2017-02-23T14:22:59Z (GMT) No. of bitstreams: 1 Gestao Ativa de Carteiras de Renda Fixa.pdf: 1715135 bytes, checksum: ad7e9b05127e972e34408c5fbe927dbd (MD5) / Made available in DSpace on 2017-02-23T14:35:42Z (GMT). No. of bitstreams: 1 Gestao Ativa de Carteiras de Renda Fixa.pdf: 1715135 bytes, checksum: ad7e9b05127e972e34408c5fbe927dbd (MD5) Previous issue date: 2017-02-14 / This study examines the contribution of active portfolio management in fixed income investments in Brazil. Active portfolio management is critical to the investment return, as it seeks to achieve rates of return above those of a market portfolio. The Efficient Market Hypothesis, which states that an informational dynamics prevents managers from anticipating price movements and taking up winning positions in the market, surrounds the activities of portfolio management. With regard to the controversy about the effectiveness of active management, the complete understanding about the topic has not yet been established. The contributions of the study is based on the decomposition of excess returns of the portfolios into managers' choices about duration, allocation and selection, which serves as support to apply a metric of dispersion in managers' expectations in fixed income portfolios. Through the expectations, it was possible to observe a positive effect of the managers in the performance of the funds, supporting the active management of the fixed income portfolios in the Brazilian market. / Este estudo examina a contribuição da gestão ativa para a rentabilidade das carteiras de investimentos de renda fixa no Brasil. A atuação do gestor é fundamental para o desempenho das carteiras de investimentos com gestão ativa, uma vez que ele busca acessar taxas de retorno acima das taxas de uma carteira de mercado. Permeando o exercício da gestão ativa de carteiras está a Hipótese de Eficiência de Mercado, que aponta para uma dinâmica informacional que impede os gestores de antever movimentos e assumir posições vencedoras no mercado. A discussão na literatura mostra que há controvérsia sobre os benefícios da gestão ativa e que a compreensão completa sobre o tema ainda não foi alcançada. O estudo parte da decomposição dos excessos de retornos das carteiras, pelas escolhas dos gestores sobre a duration, a alocação e a seleção individual dos ativos, permitindo a adaptação de uma métrica de dispersão de expectativas dos gestores em carteiras de renda fixa. Por meio das expectativas, foi possível observar um efeito positivo dos gestores no desempenho dos fundos, embasando a hipótese da contribuição da gestão ativa de carteiras de renda fixa no mercado brasileiro.

By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). The effectiveness of their model relies on accurate pricing of interest rate derivatives and risk factor analysis, both of which are derived from a term structure. Blomvall and Ndengo (2013) present a discretized multiple yield curve framework for term structure measurement that allows for price deviations. The model uses regularization to deal with noise inherent in market price observations, where the regularization counteracts oscillations in the term structure and retains the smoothness of the curve by penalizing the first and second-order derivatives. Consequently, the resulting model creates a trade-off between a smooth curve and market price deviations. Changes in policy rates adjusted by a country’s central bank significantly impact the financial market and its actors. In this thesis, the model developed by Blomvall and Ndengo (2013) was further extended to include these steps in conjunction with monetary policy meetings. Two models were developed to realize the steps in the risk-free curve. The first model introduced an additional deviation term to allow for a shift in the curve. In the second model, the weights in the regularization were adjusted to allow for rapid changes on days surrounding the closest monetary policy meeting. A statistical test was conducted to determine the performance of the two models. The test showed that the model with adjusted regularization outperformed the model with an additional deviation term as well as a benchmark model without steps. However, both step models managed to reduce in-sample pricing errors, while the model with an additional deviation term performed worse than the benchmark model for out-of-sample data, given the current parameter setting. Other parameter combinations would potentially result in different outcomes, but it remains conjectural.