Elias Cavalcante Filho, Fernando Moraes, Rodrigo De-Losso
This paper use Exchange Traded Funds (ETFs) instead of risk factors as benchmarks to examine active mutual fund performance distribution. While transaction costs are included in the ETF returns, that is not true regarding risk factors, making it more challenging to characterize extraordinary performances via alphas. Assessments are based on the proportion of skilled funds, defined as positive-alpha funds. Such a proportion is calculated taking into account potential false discoveries and employing the method devised by Barras et al. (2010). After evaluating several ETF combinations, we conclude that sets of 3 to 5 ETFs replicate most levels of active fund performance. Finally, we propose specific ETF selection algorithms, whereby we estimate that 95% of active management funds fail to generate value for their investors. Alphas calculated with ETFs are higher than those using risk factors, but the difference is similar to the transaction costs required for investing in risk factor portfolios (Frazzini et al., 2012).
本文以交易所交易基金(etf)代替风险因素作为基准来考察主动共同基金的业绩分布。虽然交易成本包含在ETF回报中，但风险因素并非如此，这使得通过alpha来描述非凡表现更具挑战性。摊款是根据定义为正阿尔法基金的熟练基金的比例计算的。这一比例的计算考虑了潜在的错误发现，并采用了Barras等人(2010)设计的方法。在评估了几个ETF组合后，我们得出结论，3到5个ETF组合复制了大多数主动基金的业绩水平。最后，我们提出了具体的ETF选择算法，据此我们估计95%的主动管理基金未能为其投资者创造价值。使用etf计算的alpha值高于使用风险因素计算的alpha值，但差异与投资于风险因素组合所需的交易成本相似(Frazzini et al.， 2012)。
{"title":"Unskilled Fund Managers: Replicating Active Fund Performance With Few ETFs","authors":"Elias Cavalcante Filho, Fernando Moraes, Rodrigo De-Losso","doi":"10.2139/ssrn.3634701","DOIUrl":"https://doi.org/10.2139/ssrn.3634701","url":null,"abstract":"This paper use Exchange Traded Funds (ETFs) instead of risk factors as benchmarks to examine active mutual fund performance distribution. While transaction costs are included in the ETF returns, that is not true regarding risk factors, making it more challenging to characterize extraordinary performances via alphas. Assessments are based on the proportion of skilled funds, defined as positive-alpha funds. Such a proportion is calculated taking into account potential false discoveries and employing the method devised by Barras et al. (2010). After evaluating several ETF combinations, we conclude that sets of 3 to 5 ETFs replicate most levels of active fund performance. Finally, we propose specific ETF selection algorithms, whereby we estimate that 95% of active management funds fail to generate value for their investors. Alphas calculated with ETFs are higher than those using risk factors, but the difference is similar to the transaction costs required for investing in risk factor portfolios (Frazzini et al., 2012).","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86171440","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}
Hedge fund managers’ risk-taking choices are influenced by their compensation structure. We differ from most studies that focus on incentive fees and the high-water mark by examining how management fees affect managers’ risk-taking. Our simple model shows that managers’ risk-taking is negatively related to their future management fees. Using fund-level data, we find that future management fees are the dominant component of managers’ total compensation. When the contribution of future management fees increases, managers reduce risk-taking to increase survival probabilities. Moreover, funds with higher decreasing returns to scale are more sensitive to future management fees and reduce risk-taking even more.
{"title":"Risking or De-Risking: How Management Fees Affect Hedge Fund Risk-Taking Choices","authors":"Chengdong Yin, Xiaoyan Zhang","doi":"10.2139/ssrn.2899834","DOIUrl":"https://doi.org/10.2139/ssrn.2899834","url":null,"abstract":"\u0000 Hedge fund managers’ risk-taking choices are influenced by their compensation structure. We differ from most studies that focus on incentive fees and the high-water mark by examining how management fees affect managers’ risk-taking. Our simple model shows that managers’ risk-taking is negatively related to their future management fees. Using fund-level data, we find that future management fees are the dominant component of managers’ total compensation. When the contribution of future management fees increases, managers reduce risk-taking to increase survival probabilities. Moreover, funds with higher decreasing returns to scale are more sensitive to future management fees and reduce risk-taking even more.","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80281516","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}
This study investigates how dominant business groups affect investment decisions of other standalone firms in the economy. Using intra-group equity transactions within the top 40 largest business groups in Korea, this study finds that high levels of internal capital allocation within the groups exert a negative influence on investments of standalone firms that require external capital. Due to financial market imperfections associated with low investor protections, business groups prefer internal investment rather than outside investment. However, when internal capital allocation is prevalent in the economy, lots of capital is trapped inside business groups and available capital in external markets becomes scarce. Standalone firms outside business groups have difficulties raising external finance and thus reduce investment. The negative influence on investments of business group dominance is particularly pronounced for private standalone firms and the firms that hold fewer tangible assets. Findings in this study suggest a negative externality that business groups impose on other standalone firms: the bias toward internal investment makes it harder for good projects outside business groups to obtain capital.
{"title":"Business Group Dominance and Capital Allocation Externalities: Evidence from Korean Chaebols","authors":"Jeayoon Kim","doi":"10.2139/ssrn.3536784","DOIUrl":"https://doi.org/10.2139/ssrn.3536784","url":null,"abstract":"This study investigates how dominant business groups affect investment decisions of other standalone firms in the economy. Using intra-group equity transactions within the top 40 largest business groups in Korea, this study finds that high levels of internal capital allocation within the groups exert a negative influence on investments of standalone firms that require external capital. Due to financial market imperfections associated with low investor protections, business groups prefer internal investment rather than outside investment. However, when internal capital allocation is prevalent in the economy, lots of capital is trapped inside business groups and available capital in external markets becomes scarce. Standalone firms outside business groups have difficulties raising external finance and thus reduce investment. The negative influence on investments of business group dominance is particularly pronounced for private standalone firms and the firms that hold fewer tangible assets. Findings in this study suggest a negative externality that business groups impose on other standalone firms: the bias toward internal investment makes it harder for good projects outside business groups to obtain capital.","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85783874","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}
We discuss the relationship between insurance and capitalism and the effect of information revolution on society. We propose that risk calculation and capitalistic insurance ethos represent the episteme of the classical period and laid the ground for capitalism. We discuss information revolution in relation to risk and insurance. Information revolution allows corporations to behave like insurers in that they produce and discriminate risks. In this sense, information revolution can be considered insurance revolution. Information revolution deconstructs individuals to dividuals, and transforms a society of discipline or control to a society of manipulation. In the society of manipulation, languages are numerical and network; manipulation has the form of modulation and metamorphosis; and people are exposed to multiple personalities and compound dividuals. It is also noted that information revolution intensifies the immanent conflicts of the insurance ethos.
{"title":"Information Revolution and Insurance Ethos: Weber, Foucault, Deleuze and Beyond","authors":"S. H. Seog","doi":"10.2139/ssrn.3543707","DOIUrl":"https://doi.org/10.2139/ssrn.3543707","url":null,"abstract":"We discuss the relationship between insurance and capitalism and the effect of information revolution on society. We propose that risk calculation and capitalistic insurance ethos represent the episteme of the classical period and laid the ground for capitalism. We discuss information revolution in relation to risk and insurance. Information revolution allows corporations to behave like insurers in that they produce and discriminate risks. In this sense, information revolution can be considered insurance revolution. Information revolution deconstructs individuals to dividuals, and transforms a society of discipline or control to a society of manipulation. In the society of manipulation, languages are numerical and network; manipulation has the form of modulation and metamorphosis; and people are exposed to multiple personalities and compound dividuals. It is also noted that information revolution intensifies the immanent conflicts of the insurance ethos.","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88665023","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}
Chrysovalantis Gaganis, Ana Lozano-Vivas, Panagiota Papadimitri, Fotios Pasiouras
Using a sample of around 340 banks from 48 countries, we examine whether and how corporate governance moderates the relationship between monetary policy interest rates and bank stability. Our results show that low interest rates reduce bank stability and have an adverse effect on risk-adjusted returns, and risk-adjusted capitalization; however, this effect can be mitigated by a bank’s commitment and effectiveness towards following corporate governance principles. The results also show that high values of corporate governance can completely offset the low rates’ adverse effects. Our findings are robust to the use of bank fixed effects and numerous variables that control for bank-specific and country-specific characteristics.
{"title":"Monetary Policy of Low Interest Rates and Bank Stability: The Role of Corporate Governance","authors":"Chrysovalantis Gaganis, Ana Lozano-Vivas, Panagiota Papadimitri, Fotios Pasiouras","doi":"10.2139/ssrn.3513756","DOIUrl":"https://doi.org/10.2139/ssrn.3513756","url":null,"abstract":"Using a sample of around 340 banks from 48 countries, we examine whether and how corporate governance moderates the relationship between monetary policy interest rates and bank stability. Our results show that low interest rates reduce bank stability and have an adverse effect on risk-adjusted returns, and risk-adjusted capitalization; however, this effect can be mitigated by a bank’s commitment and effectiveness towards following corporate governance principles. The results also show that high values of corporate governance can completely offset the low rates’ adverse effects. Our findings are robust to the use of bank fixed effects and numerous variables that control for bank-specific and country-specific characteristics.","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85427123","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}
Pub Date : 2019-12-12DOI: 10.1017/9781108658386.034
Renginee Pillay, T. Soobaroyen, J. Mahadeo, Neeveditah Pariag-Maraye
{"title":"Enlightenment or Resistance?","authors":"Renginee Pillay, T. Soobaroyen, J. Mahadeo, Neeveditah Pariag-Maraye","doi":"10.1017/9781108658386.034","DOIUrl":"https://doi.org/10.1017/9781108658386.034","url":null,"abstract":"","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84633983","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}
Pub Date : 2019-12-12DOI: 10.1017/9781108658386.018
Victoria Baumfield
{"title":"The Australian Paradox","authors":"Victoria Baumfield","doi":"10.1017/9781108658386.018","DOIUrl":"https://doi.org/10.1017/9781108658386.018","url":null,"abstract":"","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86773475","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}
Pub Date : 2019-12-12DOI: 10.1017/9781108658386.005
{"title":"Global Business and Fragmented Regulation","authors":"","doi":"10.1017/9781108658386.005","DOIUrl":"https://doi.org/10.1017/9781108658386.005","url":null,"abstract":"","PeriodicalId":57292,"journal":{"name":"公司治理评论","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85849723","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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