ChinaAMC Large Cap Select Fund (fund code 000011) was created in 2004. Due to its good performances, it attracted a lot of investors’ attentions. First of all, its fund manager, China Asset Management Co., Ltd, is a prestigious brand as recognized by domestic and global investors. So it obtained a high acceptance from the public. Second, in the past 15 years, the growth rates of Large Cap Select Fund were always higher than SSE Composite Index, and the trend of growth was relative stable. In addition, its annualized returns were often higher than other companies in a similar industry.
{"title":"Open-end Mutual Fund Analysis—Take ChinaAMC Large Cap Select Fund as Example","authors":"X. Yuan","doi":"10.18686/fm.v4i2.1611","DOIUrl":"https://doi.org/10.18686/fm.v4i2.1611","url":null,"abstract":"ChinaAMC Large Cap Select Fund (fund code 000011) was created in 2004. Due to its good performances, it attracted a lot of investors’ attentions. First of all, its fund manager, China Asset Management Co., Ltd, is a prestigious brand as recognized by domestic and global investors. So it obtained a high acceptance from the public. Second, in the past 15 years, the growth rates of Large Cap Select Fund were always higher than SSE Composite Index, and the trend of growth was relative stable. In addition, its annualized returns were often higher than other companies in a similar industry.","PeriodicalId":12136,"journal":{"name":"Finance and Market","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84835047","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A structure of the statistical tests motivated by Cromwell, Labys&Terraza[23]has been used to build linear and nonlinear predictability models.Most importantly, the variance ratio test and that of AR-GARCH model is used to test the dual hypotheses of the random walk and efficiencyin stock markets. Whilein all or nothing condition of market efficiency, the variance ratio tests show weak signs of predictability and in contrast to the AR-GARCH model that shows strong signs of predictability. Testing efficiency over time shows that price-fluctuations between periods of predictability and unpredictability and theseare not correlated through indices. This study then contributes to the empirical evidence that the efficient market hypothesis should not be an all or nothing condition but be stated as a time varying condition where prices fluctuate between periods of efficiency and inefficiency. It is found that market microstructure can cause problems for certain measuring frequencies and a sufficiently risk averse investor may be happy to pay a premium to avoid any unforecastable asset price volatilities as inLeroy[11]andLucas[12]. Three random walk models also do not prevent questioning the validity of predictability of stock prices.
{"title":"An Empirical Test of the Theory of Efficient Markets of Stock Prices","authors":"K. Bhattarai, Vasi Margariti","doi":"10.18686/FM.V3I2.1077","DOIUrl":"https://doi.org/10.18686/FM.V3I2.1077","url":null,"abstract":"A structure of the statistical tests motivated by Cromwell, Labys&Terraza[23]has been used to build linear and nonlinear predictability models.Most importantly, the variance ratio test and that of AR-GARCH model is used to test the dual hypotheses of the random walk and efficiencyin stock markets. Whilein all or nothing condition of market efficiency, the variance ratio tests show weak signs of predictability and in contrast to the AR-GARCH model that shows strong signs of predictability. Testing efficiency over time shows that price-fluctuations between periods of predictability and unpredictability and theseare not correlated through indices. This study then contributes to the empirical evidence that the efficient market hypothesis should not be an all or nothing condition but be stated as a time varying condition where prices fluctuate between periods of efficiency and inefficiency. It is found that market microstructure can cause problems for certain measuring frequencies and a sufficiently risk averse investor may be happy to pay a premium to avoid any unforecastable asset price volatilities as inLeroy[11]andLucas[12]. Three random walk models also do not prevent questioning the validity of predictability of stock prices.","PeriodicalId":12136,"journal":{"name":"Finance and Market","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77155974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract: Firstly, inspired by the theoretical mechanism of housing prices on consumption and savings, this paper summarizes three kinds of mechanisms of housing prices on labor supply in China: the wealth effect, the mortgage slave effect and the home mortgage effect and then empirically analyzes the influence and heterogeneity of housing prices on the quantity and quality of labor supply using Chinese General Social Survey (CGSS). Finally, to observe the difference of the influences of housing prices on labor supply of different groups, it distinguishes between households with and without houses, young and old groups.
{"title":"Does the Rise of Housing Prices Impede Labor Supply? -Evidence from CGSS Data","authors":"Guangpu Yang, Jinhua Li","doi":"10.18686/FM.V3I2.1116","DOIUrl":"https://doi.org/10.18686/FM.V3I2.1116","url":null,"abstract":"Abstract: Firstly, inspired by the theoretical mechanism of housing prices on consumption and savings, this paper summarizes three kinds of mechanisms of housing prices on labor supply in China: the wealth effect, the mortgage slave effect and the home mortgage effect and then empirically analyzes the influence and heterogeneity of housing prices on the quantity and quality of labor supply using Chinese General Social Survey (CGSS). Finally, to observe the difference of the influences of housing prices on labor supply of different groups, it distinguishes between households with and without houses, young and old groups. ","PeriodicalId":12136,"journal":{"name":"Finance and Market","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73124899","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The aim of this study is to investigate the determinants of banks’ financial performance in terms of the capital structure. Annual financial statements of 11 banks traded in Borsa Istanbul are employed for the period of 2006-2016. Return on assets, return on equity and earnings per share are chosen for financial performance measures. The independent variables related to the capital structure are capital adequacy, equity-to-asset, and financial leverage ratios. In addition, macroeconomic variables and bank-specific variables are also considered as control variables for the analysis. The data are analyzed by the panel data regression analysis as it provides more informative finding and less multicollinearity among variables than time series and cross-sectional analyzes.The Hausman test results indicate that the random effects model is appropriate for the whole dependent variables. According to the findings; while equity-to-asset ratio affects return on assets positively, amongst the control variables specific to firms, firm size, asset quality and asset growth variables have significant effects on return on assets. It is found no significant effect of independent variables on return on equity, however, it is seen that asset quality has a negative and significant effect. Inflation and interest rates have a significant effect on both variables. Finally, it is seen that equity-to-asset ratio has a positive and significant effect on earnings per share. Only the effect of asset quality on earnings per share is found to be significant among the control variables. Findings of the study are consistent with the previous studies. In addition, the M&M views are not supported by the findings related to return on assets and earnings per share but the return on equity.
{"title":"Can Capital Structure Affect the Financial Performance of Banks in Turkey?","authors":"Merve Tuncay","doi":"10.18686/FM.V4I1.1103","DOIUrl":"https://doi.org/10.18686/FM.V4I1.1103","url":null,"abstract":"The aim of this study is to investigate the determinants of banks’ financial performance in terms of the capital structure. Annual financial statements of 11 banks traded in Borsa Istanbul are employed for the period of 2006-2016. Return on assets, return on equity and earnings per share are chosen for financial performance measures. The independent variables related to the capital structure are capital adequacy, equity-to-asset, and financial leverage ratios. In addition, macroeconomic variables and bank-specific variables are also considered as control variables for the analysis. The data are analyzed by the panel data regression analysis as it provides more informative finding and less multicollinearity among variables than time series and cross-sectional analyzes.The Hausman test results indicate that the random effects model is appropriate for the whole dependent variables. According to the findings; while equity-to-asset ratio affects return on assets positively, amongst the control variables specific to firms, firm size, asset quality and asset growth variables have significant effects on return on assets. It is found no significant effect of independent variables on return on equity, however, it is seen that asset quality has a negative and significant effect. Inflation and interest rates have a significant effect on both variables. Finally, it is seen that equity-to-asset ratio has a positive and significant effect on earnings per share. Only the effect of asset quality on earnings per share is found to be significant among the control variables. Findings of the study are consistent with the previous studies. In addition, the M&M views are not supported by the findings related to return on assets and earnings per share but the return on equity.","PeriodicalId":12136,"journal":{"name":"Finance and Market","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77553136","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Tactical Asset Allocation (TAA) has generally been misspecified, oversold, and subsequently underdelivered. Nevertheless, TAA offers a series of highly attractive investment attributes when adviser/client expectations are properly set and the strategy is appropriately positioned as a portion of a comprehensive investor solution. This article’s objective is three-fold. First, to identify the attractive investment attributes of TAA relative to passive buy & hold. Second, to quantify or parameterize these relative advantages so that users can better assess the relevance of TAA for their own specific needs. Third, this article’s last objective is to describe the give-ups or tradeoffs associated with TAA, so that it can be properly understood, communicated, and therefore applied to the correct portion of an investor’s aggregate portfolio.
{"title":"TAA Properly Defined","authors":"Robert A. Brown","doi":"10.18686/FM.V4I1.1097","DOIUrl":"https://doi.org/10.18686/FM.V4I1.1097","url":null,"abstract":"Tactical Asset Allocation (TAA) has generally been misspecified, oversold, and subsequently underdelivered. Nevertheless, TAA offers a series of highly attractive investment attributes when adviser/client expectations are properly set and the strategy is appropriately positioned as a portion of a comprehensive investor solution. This article’s objective is three-fold. First, to identify the attractive investment attributes of TAA relative to passive buy & hold. Second, to quantify or parameterize these relative advantages so that users can better assess the relevance of TAA for their own specific needs. Third, this article’s last objective is to describe the give-ups or tradeoffs associated with TAA, so that it can be properly understood, communicated, and therefore applied to the correct portion of an investor’s aggregate portfolio.","PeriodicalId":12136,"journal":{"name":"Finance and Market","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82271030","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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