Directional distance based diversification super-efficiency DEA models for mutual funds

Current data envelopment analysis (DEA) models with diversification cannot discriminate the performance of efficient mutual funds. Based on the directional distance function and diversification DEA models, this paper proposes two diversification super-efficiency models for discriminating the performance of efficient mutual funds on financial market. The proposed diversification super-efficiency models as well as the corresponding diversification DEA models are feasible and can deal with negative values in risk measures, transaction costs and return measures. The proposed methods generate bounded super-efficiency scores for all the funds. Under the assumption of discrete return distributions, all the models in the proposed diversification super-efficiency methods can be transformed into linear programming (LP) problems by choosing proper risk and return measures. To demonstrate the validity and practicality of the proposed diversification super-efficiency methods, we apply them to evaluate the performance of mutual funds in the American market. The empirical results show that the proposed diversification super-efficiency models can distinguish efficient funds well and the linear combination of efficient funds might be inefficient. Moreover, the backtesting results show that the proposed diversification super-efficiency models generally have a good practice value for the actual portfolio selection.     

The tradeoff between mutual fund and direct stock investments: a theoretical analysis involving different types of investors

We study the tradeoff between direct and indirect stock investments through equity mutual funds for a utility-maximizing investor. Whereas direct investments impose higher transaction costs on the formation of a well-diversified portfolio, mutual funds charge fees for their services. Our results show that the fee levels that make private investors indifferent between direct and indirect stock investments vary heavily according to risk aversion, the amounts invested, correlations between assets, transaction costs, and the length of investment horizon. In particular, our results suggest that for a wide range of actively managed mutual funds, the fees charged are too high for these mutual funds to appeal to a wide range of informed investors. However, accounting for search costs, such as costs for financial advice, can facilitate an understanding of the levels of management fees charged by mutual funds existing in the market.     

相对业绩对投资基金风险承担行为的影响研究

本文把投资基金市场视为一系列的"联赛"建立了一个博弈模型,从理论上研究了相对业绩对投资基金风险承担行为的影响。在模型中,两个年中业绩不同的基金为了在年末即"联赛"结束时获得更多新的资金流入从而获得更多的报酬而相互竞争。与人们的直觉相反,我们发现在年末时年中业绩较好的基金反而比年中业绩较差的基金更可能选择风险水平较高的投资组合。而且,年中业绩的差距越大、风险资产的收益越高、波动越低,在年末时年中业绩较好的基金选择风险较高的投资组合的概率越大;相应地,在年末时年中业绩较差的基金选择风险较高的投资组合的概率越小。最后,我们运用博弈原理和行为金融理论对这些结论作了解释。     

基于无缺陷退货的网上销售易逝品供应链协调模型

本文针对网上在线销售易逝品的无缺陷退货现象,考虑了供应链的最优订购协调问题。利用一个两阶段动态规划来描述动态市场环境下网上销售商的两次订购行为,在假定在两个销售阶段都发生无缺陷退货现象的前提下,分别建立了集中和分散决策模型,同时设计了价格保护契约以实现供应链的协调运作。最后,利用数值仿真得出了一些重要的管理启示。通过研究发现：（1）当不确定性较大时,网上销售商需要在第1阶段多订购产品以应对需求风险,因此导致了较低的系统期望利润。并且,需求的不确定性越大,供应链协调越有价值。（2）当第1阶段或第2阶段退货率或两阶段退货率都增加时,两个阶段的最优订购量均减小。（3）对于需求波动性较高的产品,顾客的退货率越小或者可服务退货率越大,价值越高（即对供应链系统期望利润的提高越显著）。     

开放式基金资产配置问题研究

开放式基金是当今全球投资基金的主流形式。本文基于开放式基金面临的风险特征,分别对收费基金和不收费基金的资产配置问题进行了研究,并建立了相应的模型。     

条件自回归expectile模型及其在基金业绩评价中的应用

本文研究了日收益率之下开放式基金的业绩评价和检验问题,提出了改进的条件自回归expectile（CARE）模型并应用到基金业绩评价的问题研究中。首先运用非对称最小二乘法（ALS）对动态的CARE模型进行半参数估计,得到样本基金收益率序列的VaR值和ES值。其次,使用计算结果对样本基金的日收益率进行风险调整,得到基于VaR和ES修正的Sharpe比率。最后,在实证研究中,本文使用传统的Sharpe比率、基于VaR和ES的Sharpe比率对我国56只开放式基金在2005-2011年间的业绩进行了实证分析,结论显著证明了CARE模型在极端风险度量上更精确,在基金评价和检验中的应用中是可行的。     

深圳股市时变Beta、条件CAPM实证研究

建立Engle(2002)提出的动态条件相关多元GARCH模型计算深圳股市诸行业指数2001/07/02～2005/07/15期间的时变Beta系数,进而对系统风险Beta系数与收益的关系进行传统的检验和由Pettengill et al.(1995)提出的条件检验,并且探讨了非系统风险、总风险在资产定价中的作用.研究结果表明,Beta与收益间不存在传统的无条件相关关系;部分行业指数的Beta系数与收益符合条件相关关系:当超额市场收益大于0(上市场)时,Beta和收益正相关;当超额市场收益小于0(下市场)时,Beta与收益负相关.但对大多数指数而言,Beta与收益仅在下市场时呈显著的负相关关系.同时非系统风险以及总风险均得到了补偿,表明深圳股市的投资者并没有充分分散化其投资,政府应大力发展机构投资者.     

Financial Contracting,Governance Structures and the Accounting Regulation of Islamic Banks: An Analysis in Terms of Agency Theory and Transaction Cost Economics

Because Islamic banks are prohibited from entering into transactions based on riba (interest), they mobilise funds mainly on the basis of the mudaraba (profit-sharing) form of contract. Thus, in the place of interest-bearing customer deposits, Islamic banks offer investment accounts the return on which depends on the return on the pool of assets in which the customers' funds are invested by the bank. In contrast to conventional deposits, such investment accounts therefore yield a variable periodic return which may be negative (a loss). Islamic investment accounts are thus a form of limited-duration equity investment.This type of investment account raises a set of issues concerning the contractual relations between the bank and the holders of such investment accounts. These issues may be addressed from the perspectives of both Agency Theory (principal-agent and principal-principal relations) and Transaction Cost Economics (contractual forms and governance structures), and it is the purpose of this paper to do so. In particular, we focus on governance issues such as the monitoring possibilities which may or may not be contractually available to investment account holders. We conclude that, under present contractual arrangements, investment account holders depend unduly upon 'vicarious' monitoring by or on behalf of shareholders, a situation aggravated by current shortcomings in financial reporting and limitations of the scope of external auditing. The latter have implications for accounting regulation as applied to Islamic banks. The paper concludes with some suggestions as to how this situation could be ameliorated.     

A MODEL FOR ALLOCATING LIMITED RESOURCES WHEN MAKING SAFETY-STOCK DECISIONS

This article describes the application of a goal programming model to set safety stocks in a fixed-interval, variable order-quantity inventory system. The firm is constrained by limited storage space and capital in the determination of inventory levels. The costs resulting from the use of the proposed model are contrasted with costs resulting from an alternative method based solely upon a forecasting model. The costs considered are holding costs, stock-out costs, and the costs of acquiring excess resources. Excess resources are required when safety-stock levels, determined by the forecasting model, would utilize more than the available capital and space. The proposed model eliminates the need for acquiring excess resources at the risk of increasing the frequency and size of stock outs. A trade-off occurs between the potential for greater stock-out costs versus the costs of acquiring excess resources-borrowing additional funds or renting additional space. The goal programming model was used to set safety stocks for 15 product groups over a 46 month evaluation period for a multiproduct firm. Significant reductions in costs can be realized if the proposed model is used.     

投资者情绪对股票市场收益和波动的影响-基于开放式股票型基金资金净流入的实证研究

投资者情绪立足于投资者非理性的角度,能够对股票市场的大幅波动作出较好的解释。当前国内以开放式股票型基金角度分析投资者情绪的研究尚为空白。本文以开放式股票型基金资金净流入作为投资者情绪的度量指标,运用GARCH-M模型研究了投资者情绪对股票市场收益和波动的影响。研究结果表明：投资者情绪与股票市场收益之间存在正向反馈作用;且在以股票市值为分类的组合中,发现大市值股票组合受投资者情绪影响的股票市场指数条件波动越大,股票组合收益越大;小市值股票组合受投资者情绪影响的股票市场指数条件波动越大,则股票组合收益反而越小。     

基于UPM-LPM的增强指数投资策略

增强指数投资策略的理念是基于部分成份股构建指数跟踪组合,以期在跟踪指数趋势的同时,获取超出指数平均收益的超额收益。本文将指数收益率作为目标收益,拓展经典下偏矩（Lower Partial Moment,LPM）的概念,使其适应于增强指数投资策略建模,同时给出上偏矩（Upper Partial Moment,UPM）的定义,进而构建基于UPM-LPM之比的增强指数模型。为解决模型的求解复杂性和高维投资组合的"维数灾难"问题,本文运用非参数核估计方法直接得到跟踪组合的密度函数,进而得到跟踪组合的LPM和UPM的解析表达式,避免对组合中各资产之间的高维联合分布进行估计,大幅度降低了估计的维度,克服"维数灾难"问题。而且LPM和UPM的核估计量是组合头寸的光滑函数,具有任意阶导数,便于优化问题求解。最后,本文运用沪深股票市场上五个常用指数及其成份股数据,检验模型在实际金融市场中的表现,结果表明：本文提出的增强指数模型能够战胜指数,同时实现跟踪指数趋势并获取稳健超额收益的目标。     

安全投资转移视角下的跨行业投资组合模型及实证

投资者根据市场状态变化和板块轮动效应进行安全投资转移,使得资金在行业间流动,导致风险溢出。本文首次从投资者安全投资转移行为的角度对行业间风险溢出进行研究,采用大规模股票与小规模股票的订单流差异量化安全投资转移。利用状态依赖下的敏感性VaR模型（SDSVaR）衡量行业间风险溢出效应的方向和大小,进一步考虑板块轮动效应,构建跨行业投资组合模型,分析行业间风险溢出和板块轮动效应对资产配置的影响。研究发现：状态依赖下的安全投资转移显著影响行业间联动性和风险溢出;考虑行业间风险溢出的资产配置模型能够分散非系统性风险的同时降低截面维度系统性风险,提高投资者的收益,有效地规避极端风险,可以为投资者的风险管理和投资决策提供有价值的参考。     

Rapid Trading bei deutschen Aktienfonds: Evidenz aus einer großen deutschen Fondsgesellschaft

This paper is the first to examine rapid trading among German equity mutual fund investors. Using data on inflows and outflows provided by a large German mutual fund company for all of its equity funds, we find strong evidence for rapid trading. It is particularly pronounced for small funds, risky funds, funds with low nominal prices, and international funds. However, we find no evidence of market timing activities. Furthermore, unlike in the US, rapid trading is less pronounced for funds with high loads. This shows that rapid trading among German fund investors is not explained by churning due to brokers’ advice. Rather, our results are consistent with the view that some investors use mutual funds for short-term, speculative purposes. The funds among which we observe the strongest rapid trading show lottery-like characteristics. Regarding fund performance, we find (at most) only very weak evidence for a negative impact of rapid trading on fund performance before the fund scandal of 2003, and no evidence afterwards.     

中国证券投资基金羊群行为的进一步研究

根据投资基金中报和年报中的投资明细数据,采用文献[1]的检验方法,对模型进行了更加切合实际的扩展,实证检验了中国投资基金的羊群效应,发现中国投资基金在只买不卖方面的羊群效应高于美国互助基金相应的羊群效应,在既买又卖和只卖不买方面并不高于美国互助基金的买的羊群效应。中国投资基金对各种股本组合、信息技术股票和新股的只买不卖交易中存在比较明显的趋同性。在其他两种交易行为中不存在这种现象。投资基金的投资重心是中、大盘股,这将有利于整个证券市场的稳定。投资基金的投资行为与大盘的走势密切相关。     

A modified internal rate of return model for capital rationing in project selection

The ability of a company to finance viable projects depends on the availability of funds, and this too is a function of time, interest rate and risk factors among others. Factors such as these would lead to limited fund availability, which would necessitate capital rationing. Linear/integer programming and profitability index are often used to tackle this problem for optimal solution. A third approach utilizing a modified internal rate of return (IRR) is proposed. To overcome the difficulty usually encountered in calculating IRR, a small program coded in BASIC is presented. Even though discounting the cash outflows beyond the initial year should have been ideal in the linear programming formulation, this paper casts doubts as to the validity of the solution derived from it, as different discount rates seem to produce very conflicting results from the same set of investment options. This is also applicable to profitability index. While efforts are being made to correct these lapses, the modified IRR model has been found useful in arriving at an optimum solution both for the single-period as well as for the multi-stage situation.     

基金持股的创新偏好与基金业绩研究

作为经济增长的重要推动力,企业创新持续吸引了政府、学者与媒体的关注.尽管研究表明创新会提升企业长期业绩,然而,在基金绩效评估中,针对基金经理对创新企业的偏好及其经济后果的研究依然较少.本文利用我国开放式基金的投资组合数据,考察基金偏好投资于创新型公司是否能提升基金业绩,并进一步基于基金特征与基金经理交易能力,深入探讨前述发现的横截面差异.研究发现:偏好投资于创新型公司的基金在长期能够创造更高的超额收益;基金的行业偏好、团队基金经理以及投资组合集中程度对基金投资于创新型公司存在正面影响.本文的结论对于投资者、基金公司以及监管部门在投资实践中如何评估创新型公司的影响提供了明确的政策借鉴.     

利益关联、评级资格管制与基金评级公正性

具有基金评级资格的证券公司与证券投资基金之间存在着紧密而有趣的经济关系,一方面,具有基金评级资格的证券公司可以对基金进行评级,另一方面,基金与证券公司之间可能存在利益关联,具体体现在:1)基金要通过证券公司的交易席位进行交易并相应地给予证券公司交易佣金;2)证券公司可能是投资基金的大股东.那么这两种利益关联会损害证券公司作为基金评级机构的公正性吗？研究发现:1)如果证券公司与投资基金之间存在交易佣金关系或股权关系,那么证券公司会显著提高基金的评级等级;2)通过利益关联获得的基金评级对基金未来业绩解释力明显较低;3)2010年实施基金评价资格管制之后,上述两种现象更为明显.综合研究结果表明,利益关联会损害证券公司作为基金评级机构的公正性,且基金评级资格管制可能进一步加剧了利益关联对评级公正性的损害.     

中国沪深股市结构性波动的政策性影响因素

本文利用划分均值和方差变点的迭代累积平方和算法(ICSS:MV)对上证综指和深证成指1996年12月16日至2010年12月31日的日收益率序列进行结构变点的检验,通过将结构变点与重大事件对应选取影响沪深股市结构性波动的政策性事件,并根据选取的事件将样本区间分成13个子区间。为了避免参数模型中模型误设的缺陷,利用非参数GARCH模型估计样本区间的波动率;最后利用N-W核回归估计对非参数GARCH估计的波动率与收益率进行回归,分析股市结构性波动产生的政策性影响因素。通过分析发现央行调整存贷款基准利率和存款准备金率、国有股的减持、允许保险公司等机构投资者买卖证券投资基金、调整印花税等政策性因素是造成我国股市变结构波动的重要原因。     

Tracking and outperforming large stock-market indices

Enhanced index-tracking funds aim to achieve a small target excess return over a given financial benchmark index with minimum additional risk relative to this index, i.e., a minimum tracking error. These funds are attractive to investors, especially when the index is large and thus well diversified. We consider the problem of determining a portfolio for an enhanced index-tracking fund that is benchmarked against a large stock-market index subject to real-life constraints that may be imposed by investors, stock exchanges, or investment guidelines. In the literature, various solution approaches have been proposed to enhanced index tracking that are based on different linear and quadratic tracking-error functions. However, it remains an open question which tracking-error function should be minimized to determine good enhanced index-tracking portfolios. Moreover, the existing approaches may neglect real-life constraints such as the minimum trading values imposed by stock exchanges or may not devise good feasible portfolios within a reasonable computational time when the index is large. To overcome these shortcomings, we propose novel mixed-integer linear and quadratic programming formulations and novel matheuristics. To address the open question, we minimize different tracking-error functions by applying the proposed matheuristics and exact solution approaches based on the proposed mixed-integer programming formulations in a computational experiment using a set of problem instances based on large stock-market indices with up to more than 9,000 constituents. The results of our study suggest that minimizing the so-called tracking error variance, which is a quadratic function, is preferable to minimizing other tracking-error functions.     

上海股票市场系统流动性风险溢价研究

以收益率与系统流动性因子的β值作为系统流动性风险的代理变量,按照FF三因素模型的方法,将账面市值比替换成β值,构建新的包含市场超额收益、公司规模和β值的三因素模型,研究系统流动性风险与我国股市超额收益的关系。上证50指数成分股的实证结果表明,系统流动性风险对我国股市超额收益有显著影响,β值为正的股票获得正的系统流动性风险溢价,而β值为负的股票获得"负"溢价。