Many questions about mutual fund trading require daily holdings, yet mutual funds are only required to report quarterly holdings. I model intraquarter trading and use the genetic algorithm to estimate the trade pattern that is most consistent with the fund's daily reported returns. I validate the model empirically on a sample of institutional trades from Ancerno and I confirm that the method more accurately predicts daily holdings when compared to existing naive assumptions. Further, my method is substantially more accurate in classifying a fund’s tendency to supply liquidity, and this increased precision has important implications for identifying superior performing funds. Specifically, a long-short strategy based on the model’s liquidity provision measures earns significant abnormal returns, while a similar strategy that relies on quarterly holdings does not exhibit any outperformance.
{"title":"Read Between the Filings: Daily Mutual Fund Holdings and Liquidity Provision","authors":"M. Farrell","doi":"10.2139/ssrn.3241664","DOIUrl":"https://doi.org/10.2139/ssrn.3241664","url":null,"abstract":"Many questions about mutual fund trading require daily holdings, yet mutual funds are only required to report quarterly holdings. I model intraquarter trading and use the genetic algorithm to estimate the trade pattern that is most consistent with the fund's daily reported returns. I validate the model empirically on a sample of institutional trades from Ancerno and I confirm that the method more accurately predicts daily holdings when compared to existing naive assumptions. Further, my method is substantially more accurate in classifying a fund’s tendency to supply liquidity, and this increased precision has important implications for identifying superior performing funds. Specifically, a long-short strategy based on the model’s liquidity provision measures earns significant abnormal returns, while a similar strategy that relies on quarterly holdings does not exhibit any outperformance.","PeriodicalId":429952,"journal":{"name":"ERN: Mutual Form (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122480546","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}
Art. 2511 of the Italian Civil Code defines co-operatives as companies “with variable capital and mutual purpose”. Therefore main characteristics of co-operative companies are: capital variability and most of all the pursuit of a mutual purpose. The cooperative company, while pursuing a mutual purpose, carries out in any case a business activity. Lawmakers has intervened at various times on the financial structure of cooperative companies, providing access to increasingly articulated funding sources. A turning point in this regard has been represented by Law n. 59 of 1992, which provided two special classes of shares reserved for cooperatives: investment shares and voting capital shares in the co-operatives. Both categories are addressed to special subjects, even without the requirements identified by the statute for the admission to the company, not interested in the pursuit of the mutual purpose but to the return on capital invested. Investment shares are freely transferable and may have a preferential treatment with regard to the distribution of profits that can go so far as to the identification of an interest rate increased by two percent compared to that for the cooperative members; voting capital shares in the co-operatives however, are similar to savings shares, as they do not entitle to vote and have special capital franchisees as regards the distribution of profits and repayment of capital. Paragraph 1 of Article 2526 of the ICC allows the statute of co-operative companies “to provide for the issue of financial instruments in accordance with the regulation on limited shareholder companies”. Therefore the question arises: what kind of financial instruments are governed under this law and if the reference is to the participatory financial instruments introduced by Legislative Decree no. 6/2003 on public limited companies?
{"title":"Financial Instruments in Italian Co-Operative Companies","authors":"S. Meloni","doi":"10.2139/SSRN.2246443","DOIUrl":"https://doi.org/10.2139/SSRN.2246443","url":null,"abstract":"Art. 2511 of the Italian Civil Code defines co-operatives as companies “with variable capital and mutual purpose”. Therefore main characteristics of co-operative companies are: capital variability and most of all the pursuit of a mutual purpose. The cooperative company, while pursuing a mutual purpose, carries out in any case a business activity. Lawmakers has intervened at various times on the financial structure of cooperative companies, providing access to increasingly articulated funding sources. A turning point in this regard has been represented by Law n. 59 of 1992, which provided two special classes of shares reserved for cooperatives: investment shares and voting capital shares in the co-operatives. Both categories are addressed to special subjects, even without the requirements identified by the statute for the admission to the company, not interested in the pursuit of the mutual purpose but to the return on capital invested. Investment shares are freely transferable and may have a preferential treatment with regard to the distribution of profits that can go so far as to the identification of an interest rate increased by two percent compared to that for the cooperative members; voting capital shares in the co-operatives however, are similar to savings shares, as they do not entitle to vote and have special capital franchisees as regards the distribution of profits and repayment of capital. Paragraph 1 of Article 2526 of the ICC allows the statute of co-operative companies “to provide for the issue of financial instruments in accordance with the regulation on limited shareholder companies”. Therefore the question arises: what kind of financial instruments are governed under this law and if the reference is to the participatory financial instruments introduced by Legislative Decree no. 6/2003 on public limited companies?","PeriodicalId":429952,"journal":{"name":"ERN: Mutual Form (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129850889","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}
Co-operative banks are widely seen as sustainable alternatives to profit-driven banking. However, while most banks struggle to meet the stringent capital requirements of regulators, co-operative banks are in particular need of cautious capital-related decisions given their little ability to accommodate profit-driven equity investors. In fact, co-operative banks’ single greatest source of capital is their annual surplus.This paper first highlights that capital protection rules related to Hungarian co-operative banks are more liberal than those of other European co-operatives. This is followed by an analysis of Hungarian co-operative banks’ decisions on the distribution of annual surplus among their members. In doing so, the annual reports of 99 co-operative banks representing 73% of all Hungarian co-operatives are used, complemented with confidential data on the ownership structure of each co-operative.The study shows that a co-operative with a low number of members and a high amount of average subscribed capital per member is likely to distribute high dividends. This phenomenon is explained by the different nature of co-operatives according to the number of members. This result not only sends an alarming message to policy makers in Hungary and possibly elsewhere, but also contributes to the peculiarities of co-operative corporate governance.
{"title":"Membership Structure and Dividend Payout Policies at Hungarian Cooperative Banks","authors":"D. Burger","doi":"10.2139/ssrn.1977003","DOIUrl":"https://doi.org/10.2139/ssrn.1977003","url":null,"abstract":"Co-operative banks are widely seen as sustainable alternatives to profit-driven banking. However, while most banks struggle to meet the stringent capital requirements of regulators, co-operative banks are in particular need of cautious capital-related decisions given their little ability to accommodate profit-driven equity investors. In fact, co-operative banks’ single greatest source of capital is their annual surplus.This paper first highlights that capital protection rules related to Hungarian co-operative banks are more liberal than those of other European co-operatives. This is followed by an analysis of Hungarian co-operative banks’ decisions on the distribution of annual surplus among their members. In doing so, the annual reports of 99 co-operative banks representing 73% of all Hungarian co-operatives are used, complemented with confidential data on the ownership structure of each co-operative.The study shows that a co-operative with a low number of members and a high amount of average subscribed capital per member is likely to distribute high dividends. This phenomenon is explained by the different nature of co-operatives according to the number of members. This result not only sends an alarming message to policy makers in Hungary and possibly elsewhere, but also contributes to the peculiarities of co-operative corporate governance.","PeriodicalId":429952,"journal":{"name":"ERN: Mutual Form (Topic)","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134250468","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}
GMO is a well known mutual fund company that serves wealthy clients. The minimum investment for a mutual fund account is 10 million dollars. GMO’s web site is a font of useful and entertaining information. Should the Vanguard investor who can’t afford to invest with GMO be envious of the wealthy who have access to GMO funds? This paper asks whether the GMO funds that have similar Vanguard counterparts over‐return or under‐return their Vanguard counterparts, and by how much. Some of the Vanguard counterparts are indexed. Thus, this paper also provides evidence on whether stock pickers can beat indexers.
{"title":"GMO versus Vanguard: Assessing the Performance of Comparable Funds","authors":"Edward Tower","doi":"10.2139/ssrn.1701949","DOIUrl":"https://doi.org/10.2139/ssrn.1701949","url":null,"abstract":"GMO is a well known mutual fund company that serves wealthy clients. The minimum investment for a mutual fund account is 10 million dollars. GMO’s web site is a font of useful and entertaining information. Should the Vanguard investor who can’t afford to invest with GMO be envious of the wealthy who have access to GMO funds? This paper asks whether the GMO funds that have similar Vanguard counterparts over‐return or under‐return their Vanguard counterparts, and by how much. Some of the Vanguard counterparts are indexed. Thus, this paper also provides evidence on whether stock pickers can beat indexers.","PeriodicalId":429952,"journal":{"name":"ERN: Mutual Form (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122360932","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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