published_or_final_version / Business Administration / Master / Master of Business Administration

The principal focus of this dissertation is to investigate the role of media coverage in the investment decisions of mutual fund investors and the consequent effects on flows into the funds. I examine investor attention and learning effects by examining the relation between media coverage of mutual funds and the net investor flows to the funds. Using a database of nearly 10,000 news articles, I find that the existence and stance of media coverage affects net investor flows into the fund in ways consistent with investor attention and learning. Further, the media coverage does not have a uniform effect on flows. News articles with positive (negative) tones are associated with significant increases (decreases) in flows. I find that fund size and past performance influence the impact of media coverage on mutual fund flows. I also find that, as a fund ages and investors receive additional news about the fund, there are smaller effects from the news. This is consistent with the hypothesis that investors learn about funds through media coverage and that this knowledge affects their investment behavior. These results suggest that media coverage can have significant economic effects on mutual funds through the effects on investors' attention and learning. / text

I examine local bias in hedge fund portfolio selection, using Section 13-F original and confidential holding filings. Using Coval and Moskowitz (1999) measure, I find that local bias is present among U.S.-based hedge funds. The holdings of funds are on average 20-67 km closer to hedge funds than the market. I also find that size and leverage of a company serve as determinants of local bias, with the preference of hedge funds for smaller and more levered local companies. I suggest an alternative model for assessment of local bias that yields results further supporting the hypothesis of the existence of local bias among hedge funds. I do not find a positive effect of local bias on performance. Moreover, in some periods I find a strong negative effect of local bias both on raw and risk-adjusted returns. I argue that these findings suggest that the origins of local bias should not be looked for in information asymmetry, and rather may be attributed to perceived informational advantage, flight to familiarity, and some endogenous factors of hedge fund locality.

Consistent with the well-documented relation between political orientation and psychological traits, hedge funds' political orientations are related to their portfolio decisions. Relative to politically conservative hedge funds, politically liberal hedge funds exhibit a preference for smaller stocks, less mature companies, volatile stocks, unprofitable companies, non-dividend paying companies, and lottery-type securities. Politically liberal hedge funds are also more likely to enter new positions or fully exit existing positions, and make larger adjustments to their U.S. equity market exposure. Our results suggest that psychological characteristics can influence the portfolio decisions of even those at the very top of the financial sophistication ladder.

Thesis advisor: Robert G. Murphy / Research has shown that individuals can be persuaded of a message in two ways: using a central (rational) approach, or through a peripheral (more “irrational”) approach in which irrelevant signals are seen as convincing. In addition, it is suggested that recent negative experiences cause individuals to favor the central route, whereas individuals in positive moods rely more heavily on the peripheral route. I extend these findings to the realm of financial advertising by presenting a simple model predicting that mutual funds will use more economically rational arguments when stock market returns have been low, and will cater to irrational inclinations when returns have been high. These predictions are supported by two case studies of print advertisements in Money and the Journal of Financial Planning from the period January 2003 to March 2009. / Thesis (BA) — Boston College, 2009. / Submitted to: Boston College. College of Arts and Sciences. / Discipline: College Honors Program. / Discipline: Economics Honors Program. / Discipline: Economics.

Thesis advisor: Pierluigi Balduzzi / Employing a novel data set of portfolio weights from 1997 to 2006, the performance of taxable bond mutual funds is studied. The timing ability of fund managers is examined considering different asset allocation choices such as asset class, credit quality allocation, and portfolio maturity decisions. I show that active managers engage in strategies of rotating their portfolios across fixed-income sectors and bond characteristics. Some bond funds exhibit successful timing ability by adopting these strategies. Comparing fund returns plus expenses and transaction costs with the returns of a portfolio that is invested in the previously disclosed holdings, I document that active managers exhibit some ability to select securities that deliver better returns than the securities in the indices. In particular, on average, active managers generate gross returns of 1% per annum over the benchmark portfolio constructed using past holdings. / Thesis (PhD) — Boston College, 2009. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Este trabalho teve como objetivo principal desenvolver um modelo para estimar o retorno anual de fundos privados de previdência complementar, PGBL/VGBL, que investiram em ativos de renda variável, entre 2007 e 2015. As variáveis utilizadas para discriminar as estratégias implementadas pelos gestores de fundos foram o beta do portfólio de ações, a taxa de administração cobrada pelo fundo e a porcentagem do patrimônio do fundo aplicada em ativos de renda variável. Os dados de 671 fundos diferentes foram extraídos do banco de dados Economática®. Os fundos estavam associados a 29 administradoras diferentes. Com esses dados, foi possível investigar a composição das carteiras de ações dos fundos administrados pelas principais instituições financeiras que operam no mercado brasileiro. Cada uma das principais administradoras de fundos manteve, no período, um padrão de seleção de portfólio de ativos de renda variável: a composição das carteiras acionárias de boa parte dos fundos pertencentes a uma mesma administradora, quando não idêntica, apresentou alto grau de similaridade. Para verificar se houve alguma diferenciação na estratégia de gerenciamento de fundos entre as principais administradoras, foram aplicados testes multivariados de igualdade de Wald. Foram encontradas diferenças estatisticamente significantes nas médias das variáveis que discriminaram estratégias de gestão dos fundos, dentro de um intervalo de confiança de 95%, em pelo menos uma das cinco principais administradoras de fundos. Os retornos anuais médios dos fundos, obtidos no período, estavam positiva e fortemente correlacionados ao principal índice de mercado de ações do Brasil, o Ibovespa. Esta descoberta indica uma possível passividade no gerenciamento de fundos, conforme encontrado por outros estudos acadêmicos. Especificamente, os fundos PGBL/VGBL com investimentos em ativos de renda variável que foram administrados pela administradora Itaú Unibanco SA obtiveram melhor desempenho médio, quando os retornos foram ajustados aos riscos incorridos. Para ajustar os retornos anuais ao risco, este trabalho apresentou, com base em um conjunto de premissas descritas no capítulo introdutório, uma metodologia que simplifica o cálculo das betas dos fundos, permitindo ordená-los com base em desempenhos ajustados ao risco. O modelo encontrado para estimar os retornos anuais dos fundos foi obtido por meio da técnica de regressão multinível com dados em painel. Tal modelo apontou, dentro do domínio temporal do estudo, que a cada ponto percentual adicional de taxa de administração cobrada pela instituição financeira, a estimativa de retorno ao investidor de determinado fundo era reduzida em um ponto percentual. Esta descoberta é mais uma evidência de passividade na gestão de fundos. Finalmente, a variação dos retornos anuais dos fundos é explicada principalmente pela variação na interação entre a porcentagem do patrimônio do fundo investido em ativos de renda variável e o retorno anual do Ibovespa. / This work aimed to develop a model for estimating the annual return of the most popular private retirement funds in the Brazilian market, PGBL/VGBL funds, that invested in variable-income assets, between 2007 and 2015. The variables used to discriminate the strategies implemented by the fund managers were the beta of the stock portfolio, the management fee charged by the fund, and the percentage of the fund assets applied in variable-income assets. Data from 671 different funds were extracted from the Economática® database. The funds were associated to 29 different financial institutions. With these data, it was possible to investigate the composition of the stock portfolios of the funds held by the main financial institutions that operate in the Brazilian market. Each of the main financial institutions maintained a pattern of portfolio selection for variable-income assets in the period: the composition of the equity portfolios of most of the funds managed by the same financial institution, when not identical, presented a high level of similarity. In order to verify if there was any differentiation in the fund management strategy among the main financial institutions, multivariate Wald equality tests were applied. Statistically significant differences in the average of the variables that discriminated fund strategies were found, within a 95% confidence interval, in at least one of the top fund financial institutions. The average annual returns of the funds obtained in the period were positive and strongly correlated to the main stock market index of Brazil, the Ibovespa. This finding indicates a possible passivity in fund management, as found by other academic studies. Specifically, the PGBL/VGBL funds with investments in variable-income assets that were managed by Itaú Unibanco SA obtained better average performance over the almost whole period, when returns were adjusted to the incurred risks. In order to adjust the annual returns to risk, this work presented, based on a set of assumptions described in the introductory chapter, a methodology that simplifies the calculation of the betas of the funds, allowing to order them based on risk adjusted performances. The model found to estimate the annual returns of the funds was obtained through the multilevel regression technique with data in panel. Such a model pointed out - within the time domain of the study - that at each additional percentage point of management fee charged by the financial institution, the estimated return on the investor of a given fund was reduced by the same one percentage point. This finding is one more evidence of passivity in fund management. Finally, the variation of the annual returns of the funds is mainly explained by the variation in the interaction between the percentage of the fund equity invested in variable-income assets and the annual return of the Ibovespa.

by Chan Yuen Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 91-[97]). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Transition to a New Monetary System --- p.3 / Chapter 1.2 --- Security and Cryptography --- p.3 / Chapter 1.3 --- Electronic Cash: More than an Electronic Medium of Transaction --- p.4 / Chapter 1.4 --- Organisation of the Thesis --- p.5 / Chapter 2 --- Cryptographic Primitives --- p.7 / Chapter 2.1 --- One-way Hash Functions --- p.7 / Chapter 2.2 --- The Bit Commitment Protocol --- p.8 / Chapter 2.3 --- Secret Splitting --- p.8 / Chapter 2.4 --- Encryption / Decryption --- p.9 / Chapter 2.4.1 --- Symmetric Encryption --- p.10 / Chapter 2.4.2 --- Asymmetric Encryption --- p.10 / Chapter 2.5 --- The RSA Public Key Cryptosystem --- p.11 / Chapter 2.6 --- Blind Signature --- p.12 / Chapter 2.7 --- Cut-and-choose procotol --- p.13 / Chapter 2.8 --- The Elliptic Curve Cryptosystem (ECC) --- p.14 / Chapter 2.8.1 --- The Elliptic Curve Discrete Logarithm Problem --- p.15 / Chapter 2.8.2 --- Cryptographic Applications Implemented by ECC --- p.15 / Chapter 2.8.3 --- Analog of Diffie-Hellman Key Exchange --- p.15 / Chapter 2.8.4 --- Data Encryption [11] --- p.16 / Chapter 2.8.5 --- The ECC Digital Signature --- p.17 / Chapter 3 --- What is Money? --- p.18 / Chapter 3.1 --- Money --- p.18 / Chapter 3.1.1 --- The History of Money [17] --- p.19 / Chapter 3.1.2 --- Functions of Money --- p.20 / Chapter 3.2 --- Existing Payment Systems --- p.22 / Chapter 3.2.1 --- Cash Payments --- p.22 / Chapter 3.2.2 --- Payment through Banks --- p.22 / Chapter 3.2.3 --- Using Payment Cards --- p.23 / Chapter 4 --- Electronic Cash --- p.24 / Chapter 4.1 --- The Basic Requirements --- p.24 / Chapter 4.2 --- Basic Model of Electronic Cash --- p.25 / Chapter 4.2.1 --- Basic Protocol --- p.26 / Chapter 4.2.2 --- Modified Protocol --- p.27 / Chapter 4.2.3 --- Double Spending Prevention --- p.30 / Chapter 4.3 --- Examples of Electronic Cash --- p.31 / Chapter 4.3.1 --- eCash --- p.31 / Chapter 4.3.2 --- CAFE --- p.31 / Chapter 4.3.3 --- NetCash --- p.32 / Chapter 4.3.4 --- CyberCash --- p.32 / Chapter 4.3.5 --- Mondex --- p.33 / Chapter 4.4 --- Limitations of Electronic Cash --- p.33 / Chapter 5 --- Micropayments --- p.35 / Chapter 5.1 --- Basic Model of Micropayments --- p.36 / Chapter 5.1.1 --- Micropayments generation --- p.37 / Chapter 5.1.2 --- Spending --- p.37 / Chapter 5.1.3 --- Redemption --- p.38 / Chapter 5.2 --- Examples of Micropayments --- p.39 / Chapter 5.2.1 --- Pay Word --- p.39 / Chapter 5.2.2 --- MicroMint --- p.40 / Chapter 5.2.3 --- Millicent --- p.41 / Chapter 5.3 --- Limitations of Micropayments --- p.41 / Chapter 5.4 --- Digital Money - More then a Medium of Transaction --- p.42 / Chapter 6 --- Anonymous Micropayment Tickets --- p.45 / Chapter 6.1 --- Introduction --- p.45 / Chapter 6.2 --- Overview of the Systems --- p.46 / Chapter 6.3 --- Elliptic Curve Digital Signature --- p.48 / Chapter 6.4 --- The Micropayment Ticket Protocol --- p.49 / Chapter 6.4.1 --- The Micropayment Ticket --- p.50 / Chapter 6.4.2 --- Payment --- p.51 / Chapter 6.4.3 --- Redemption --- p.52 / Chapter 6.4.4 --- Double Spending --- p.52 / Chapter 6.5 --- Security Analysis --- p.52 / Chapter 6.5.1 --- Conditional Anonymity --- p.53 / Chapter 6.5.2 --- Lost Tickets --- p.53 / Chapter 6.5.3 --- Double Spending --- p.53 / Chapter 6.5.4 --- Collusion with Vendors --- p.53 / Chapter 6.6 --- Efficiency Analysis --- p.55 / Chapter 6.7 --- Conclusion --- p.56 / Chapter 7 --- Anonymous Electronic Voting Systems --- p.57 / Chapter 7.1 --- Introduction --- p.57 / Chapter 7.2 --- The Proposed Electronic Voting System --- p.58 / Chapter 7.2.1 --- The Proposed Election Model --- p.58 / Chapter 7.3 --- Two Cryptographic Protocols --- p.60 / Chapter 7.3.1 --- Protocol One - The Anonymous Authentication Protocol --- p.61 / Chapter 7.3.2 --- Protocol Two - Anonymous Commitment --- p.64 / Chapter 7.4 --- The Electronic Voting Protocol --- p.65 / Chapter 7.4.1 --- The Registration Phase --- p.66 / Chapter 7.4.2 --- The Polling Phase --- p.66 / Chapter 7.4.3 --- Vote-Opening Phase --- p.67 / Chapter 7.5 --- Security Analysis --- p.68 / Chapter 7.5.1 --- Basic Security Requirements --- p.68 / Chapter 7.5.2 --- Receipt-freeness --- p.71 / Chapter 7.5.3 --- Non-transferability of Voting Right --- p.72 / Chapter 7.6 --- Conclusion --- p.72 / Chapter 8 --- Anonymous Internet Access --- p.74 / Chapter 8.1 --- Introduction --- p.74 / Chapter 8.2 --- Privacy Issues of Internet Access Services --- p.75 / Chapter 8.2.1 --- Present Privacy Laws and Policies --- p.75 / Chapter 8.2.2 --- Present Anonymous Internet Services Solutions --- p.76 / Chapter 8.2.3 --- Conditional Anonymous Internet Access Services --- p.76 / Chapter 8.3 --- The Protocol --- p.77 / Chapter 8.3.1 --- ISP issues a new pass to Alice using blind signature [1] scheme --- p.77 / Chapter 8.3.2 --- Account Operations --- p.78 / Chapter 8.4 --- Modified Version with Key Escrow on User Identity --- p.79 / Chapter 8.4.1 --- Getting a new pass --- p.79 / Chapter 8.4.2 --- Account operations --- p.82 / Chapter 8.4.3 --- Identity revocation --- p.83 / Chapter 8.5 --- Security Analysis --- p.83 / Chapter 8.5.1 --- Anonymity --- p.83 / Chapter 8.5.2 --- Masquerade --- p.84 / Chapter 8.5.3 --- Alice cheats --- p.84 / Chapter 8.5.4 --- Stolen pass --- p.84 / Chapter 8.6 --- Efficiency --- p.85 / Chapter 8.6.1 --- Random number generation --- p.85 / Chapter 8.6.2 --- Signing on the pass --- p.86 / Chapter 8.6.3 --- Pass validation --- p.86 / Chapter 8.6.4 --- Identity recovery --- p.87 / Chapter 8.7 --- Conclusion --- p.87 / Chapter 9 --- Conclusion --- p.88 / Bibliography --- p.91

by Wong Ha Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 71-74). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Traditional Payment Systems --- p.1 / Chapter 1.2 --- Electronic Payment System --- p.2 / Chapter 1.3 --- Thesis Organization --- p.4 / Chapter Chapter 2 --- Cryptographic Techniques --- p.5 / Chapter 2.1 --- Encryption and Decryption --- p.5 / Chapter 2.1.1 --- Symmetric Encryption --- p.6 / Chapter 2.1.2 --- Asymmetric or Public-Key Encryption --- p.6 / Chapter 2.2 --- RSA --- p.7 / Chapter 2.3 --- Blind Signatures --- p.8 / Chapter 2.4 --- General Computation Protocols --- p.8 / Chapter 2.5 --- Cut-and-Choose Method --- p.9 / Chapter 2.6 --- Hash Functions --- p.9 / Chapter 2.7 --- Secret Sharing --- p.10 / Chapter 2.8 --- Zero-Knowledge Proofs --- p.11 / Chapter 2.9 --- Timestamps --- p.12 / Chapter Chapter 3 --- Overview of Electronic Payment Systems --- p.13 / Chapter 3.1 --- Life Cycle --- p.13 / Chapter 3.2 --- Six Basic Requirements --- p.15 / Chapter 3.3 --- Efficiency --- p.16 / Chapter 3.4 --- History --- p.17 / Chapter Chapter 4 --- Ferguson's Single-term Off-Line Coins --- p.19 / Chapter 4.1 --- Basic Assumption and Tools --- p.19 / Chapter 4.1.1 --- Secure Hash Function --- p.19 / Chapter 4.1.2 --- Polynomial Secret Sharing Scheme --- p.20 / Chapter 4.1.3 --- Randomized Blind Signature --- p.21 / Chapter 4.2 --- The Basic Signal-term Cash System --- p.23 / Chapter 4.2.1 --- The Withdrawal Protocol --- p.24 / Chapter 4.2.2 --- The Payment Protocol --- p.26 / Chapter 4.2.3 --- The Deposit Protocol --- p.27 / Chapter Chapter 5 --- Cash with Different Denominations --- p.28 / Chapter 5.1 --- Denomination Bundling --- p.28 / Chapter 5.2 --- Coin Storage --- p.29 / Chapter Chapter 6 --- An Off-Line Transferable E-coin System --- p.32 / Chapter 6.1 --- Introduction --- p.32 / Chapter 6.2 --- The Withdrawal Protocol --- p.34 / Chapter 6.3 --- The Transfer / Payment Protocol --- p.36 / Chapter 6.4 --- The Deposit Protocol --- p.40 / Chapter 6.5 --- Expansion of Coins --- p.42 / Chapter 6.6 --- Security and privacy Analysis --- p.43 / Chapter 6.7 --- Complexity Analysis --- p.47 / Chapter 6.8 --- Conclusion --- p.49 / Chapter Chapter 7 --- A New Off-line E-check System --- p.50 / Chapter 7.1 --- Introduction --- p.50 / Chapter 7.2 --- E-checks Models --- p.51 / Chapter 7.3 --- E-Check System with Partial Privacy --- p.52 / Chapter 7.3.1 --- The Withdrawal Protocol --- p.52 / Chapter 7.3.2 --- The Payment Protocol --- p.55 / Chapter 7.3.3 --- The Deposit Protocol --- p.56 / Chapter 7.3.4 --- The Refund Protocol --- p.57 / Chapter 7.3.5 --- Protocol Discussion --- p.58 / Chapter 7.4 --- E-Check System with Unconditional Privacy --- p.59 / Chapter 7.4.1 --- The Withdrawal Protocol --- p.59 / Chapter 7.4.2 --- The Payment Protocol --- p.63 / Chapter 7.4.3 --- The Deposit Protocol --- p.64 / Chapter 7.4.4 --- The Refund Protocol --- p.65 / Chapter 7.4.5 --- Protocol Discussion --- p.67 / Chapter 7.5 --- Conclusion --- p.68 / Chapter Chapter 8 --- Conclusion --- p.69 / Reference --- p.71

The pension fund industry affects an enormous proportion of the world population and consists of more than $20 trillion of assets globally. Hence the performance of pension funds has major effects. This thesis investigates the performance of personal pension funds in the UK, one of the leading pension industries in the world. It identifies two important factors that are largely overlooked in the related literature: fund’s age and management outsourcing. Based on the ‘career concerns’ argument by Holmström (1999), it tests whether fund performance is age dependent, and in particular, whether funds perform better when they are young than when they ‘mature’. Moreover, one of the major features of the pension fund industry has been the enormous growth in management outsourcing. This thesis addresses this issue and tests whether there are differences in the performance between outsourced and internally managed funds, and investigates potential determinants of the decision to outsource. It argues that a ‘fashion to outsource’ may be partially responsible for the trend. Given that a CAPM-APT based analysis is not appropriate for the data at hand, the thesis employs three alternative performance measures, two of which utilise fund-specific benchmarks. The results show that risk-adjusted returns are statistically insignificantly different from zero but funds significantly outperform their benchmarks. Performance is found to change with fund’s age but this relationship is more complex than a simple ‘career-concern’ argument would predict. Risk-adjusted returns of the internally managed and the outsourced funds are both indifferent from zero but the outsourced funds are better at outperforming their benchmarks. Lastly, there is some evidence of a ‘fashion to outsource’. This research is novel in several ways. It provides the first detailed investigation of the performance of the UK personal pension funds. It is the first to address the question of potential factors (other than managerial characteristics) that may explain fund performance. It discusses the rise of outsourcing in the industry and analyses differences/similarities between performance of the outsourced and the internal funds. Finally, it is the first to investigate whether the rapid increase in outsourcing is due to ‘fashion’.