AFA2019会议论文（15）：Selecting Mutual Funds

AFA2019会议论文（15）：Selecting Mutual Funds

金融经济学 4天前

Selection and Timing Skill in Bond Mutual Fund Returns: Evidence from Bootstrap Simulations

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Is There a Home Field Advantage in Global Markets?

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Distortions Caused by Asset Managers Retaining Securities Lending Income

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Cross-Sectional Alpha Dispersion and Performance Evaluation

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1、Selection and Timing Skill in Bond Mutual Fund Returns: Evidence from Bootstrap Simulations

Lifa Huang, University of Arkansas

Wayne Lee, University of Arkansas

Craig Rennie, University of Arkansas

Abstract

Bootstrap simulations of monthly returns of U.S. open-end actively-managed domestic bond mutual funds between 1999 and 2016 show benchmark adjusted returns that more than cover costs. Over this horizon, the top performing half of bond funds generate significant positive precision-adjusted alpha on returns net of expenses. Similar results hold for government and corporate bond funds, and across bond funds stratified by assets under management (AUM). We find bond fund managers to be more proficient at selection than timing. For the top performing half of bond funds, selection always contributes to performance. Economic value from selection is greatest for large bond funds with AUM>$750M at 40.8bps on AUM, and for government and bond funds is 19.0 bps and 18.2 bps. For the top performing half of bond funds and large bond funds, timing detracts from performance. However, timing contributes to performance for government and corporate bond funds and is the source of outperformance over 3-year horizons.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=25

2、Is There a Home Field Advantage in Global Markets?

Murali Jagannathan, Binghamton University

Wei Jiao, Binghamton University

Andrew Karolyi, Cornell University

Abstract

International equity mutual funds that hire managers from a country linked to the fund`s geographic mandate exhibit a strong bias to invest in stocks of that country. These funds with “home-biased managers” attract disproportionally more flows, on average, that intensify during periods of higher economic uncertainty in that country. Stocks domiciled in countries in which the fund has a home-field advantage outperform those held by other funds without home-biased managers, but with investments in the same countries. We interpret this new finding as evidence of an information-based channel through which the home-bias phenomenon may be revealed and link it to theories that emphasize the role of an informational endowment advantage.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=89

3、Distortions Caused by Asset Managers Retaining Securities Lending Income

Travis Johnson, University of Texas at Austin

Gregory Weitzner, University of Texas

Abstract

Using newly-mandated disclosures, we show fund managers often retain a fraction of securities lending income by employing in-house lending agents at above-market rates. This retention incentivizes fund managers to overweight stocks with high lending fees. In a heterogeneous agent model, we show this incentive distorts equilibrium portfolio choices, fund performance, and asset pricing. We confirm our model’s predictions empirically: fee-retaining active mutual funds overweight high lending fee stocks, underperform, and charge lower management fees. Our model also offers a new explanation for the negative relation between lending fees and future fee-inclusive returns.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=240

4、Cross-Sectional Alpha Dispersion and Performance Evaluation

Campbell Harvey, Duke University Yan Liu

Yan Liu, Texas A&M University

Abstract

Our paper explores the link between cross-sectional fund return dispersion and performance evaluation. The foundation of our model is the simple intuition that in periods of high return dispersion, it is easier for unskilled managers to disguise themselves as skilled. Indeed, in a world of little or no dispersion, it is obvious who is skilled and unskilled. Rational investors should then apply higher discounts to performance in high dispersion environments. Our empirical results support this prediction. Using fund flow data, we show that a one-standard deviation increase in return dispersion causes a 11%-17% decline in flow-performance sensitivity.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1718

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