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Equity Funds (equity + fund)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	92%

Selected Abstracts

Federal Highway Assistance Funds in the State Infrastructure Bank Programs: Mechanisms, Merits, and Modifications

PUBLIC BUDGETING AND FINANCE, Issue 4 2007
JAY EUNGHA RYU
In response to the declining financial resources for state transportation infrastructures, the National Highway System Designation Act of 1995 (P. L. 104,159) authorized the establishment of the State Infrastructure Bank (SIB) Pilot Programs. This paper shows how the federal assistance funds deposited into the SIB equity fund can maximize state highway resources through a simulation. From 1998 to 2003, one dollar of the federal funds augmented state highway expenditures by 5.24 dollars in a specific year in contrast to the original intention of perpetuating state highway spending. This study further suggests ways to modify and improve the current SIB mechanism. [source]

Nonlinear Dynamic Relations Between Equity Return and Equity Fund Flow: Korean Market Empirical Evidence,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 2 2010
Sei-Wan Kim
C12; C13; G14; G23 Abstract This research studies the dynamic relationship between equity returns and equity fund flows by incorporating nonlinear properties of the two variables. Nonlinear estimation based on a smooth transition autoregressive model reveals results different from those previously reported based on a linear relationship. Our empirical results find that there is significant mutual Granger causality between equity returns and equity fund flows. In addition, by introducing the dividend yield effect, significant Granger causality is also found between the three variables. This can be interpreted as meaning that demand for equities is downward sloping for both the price pressure effect and the information effect. Relatively fast regime switching and dynamic instability show that stock investment through equity funds is mostly short-horizon-oriented investment. [source]

The Determinants and Implications of Mutual Fund Cash Holdings: Theory and Evidence

FINANCIAL MANAGEMENT, Issue 2 2006
Xuemin (Sterling) Yan
In this article, I examine the determinants and implications of equity mutual fund cash holdings. In cross-sectional tests, I find evidence generally supportive of a static trade-off model developed in the article. In particular, small-cap funds and funds with more-volatile fund flows hold more cash. However, I do not find that fund managers with better stock-picking skills hold less cash. Aggregate cash holdings by equity mutual funds are persistent and positively related to lagged aggregate fund flows. Aggregate cash holdings do not forecast future market returns, suggesting that equity funds as a whole do not have market timing skills. [source]

Mutual Fund Performance: Measurement and Evidence1

FINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 2 2010
Keith Cuthbertson
C15; G11; C14 The paper provides a critical review of empirical findings on the performance of mutual funds, mainly for the US and UK. Ex-post, there are around 0-5% of top performing UK and US equity mutual funds with truly positive-alpha performance (after fees) and around 20% of funds that have truly poor alpha performance, with about 75% of active funds which are effectively zero-alpha funds. Key drivers of relative performance are, load fees, expenses and turnover. There is little evidence of successful market timing. Evidence suggests past winner funds persist, when rebalancing is frequent (i.e., less than one year) and when using sophisticated sorting rules (e.g., Bayesian approaches) - but transactions costs (load and advisory fees) imply that economic gains to investors from winner funds may be marginal. The US evidence clearly supports the view that past loser funds remain losers. Broadly speaking results for bond mutual funds are similar to those for equity funds. Sensible advice for most investors would be to hold low cost index funds and avoid holding past ,active' loser funds. Only sophisticated investors should pursue an active ex-ante investment strategy of trying to pick winners - and then with much caution. [source]

Price Performance Following Share-Repurchase Announcements by Closed-End Funds

FINANCIAL REVIEW, Issue 4 2007
Aigbe Akhigbe
G14; G20; G23 Abstract We investigate the price performance of closed-end funds that announce share-repurchase programs. Closed-end funds experience positive average stock-price reactions to the announcements. The long-run buy-and-hold abnormal returns of repurchasing funds over the subsequent three years are significantly higher than a nonrepurchasing control sample matched by size, type, investment style and geographic diversification. Funds with larger discounts, international funds, equity funds, and funds that announce larger repurchases or frequently announce repurchases, experience more positive stock-price reactions. Except for larger repurchases, the same characteristics are associated with more positive long-run buy-and-hold returns. [source]

Fund Manager Succession in Closed-End Mutual Funds

FINANCIAL REVIEW, Issue 3 2000
Wei Wang Rowe
G20/G23/J63 Abstract Managing the succession process by the hiring and firing of key executives is one of the important functions of a board of directors. In this research we study successions of fund managers in the closed-end mutual fund industry. The agency issues inherent in closed-end mutual funds makes them a unique laboratory for such a study. Our results suggest that while the overall abnormal returns of these manager changes are statistically insignificant, that the returns are more positive for funds with large expense ratios and for funds trading at a discount. We also find the abnormal returns are negatively related to the percentage of inside director stock ownership. Corporate bond funds and international equity funds react more negatively to these announcements than other types of funds. The abnormal returns do not appear to be related to board composition, but board composition does vary across fund type, and may therefore indirectly influence the results. [source]

Portfolio selection, diversification and fund-of-funds: a note

ACCOUNTING & FINANCE, Issue 2 2005
Simone Brands
G23 Abstract The present paper examines the performance and diversification properties of active Australian equity fund-of-funds (FoF). Simulation analysis is employed to examine portfolio performance as a function of the number of funds in the portfolio. The present paper finds that as the number of funds in an FoF portfolio increases, performance improves in a mean,variance setting; however, measures of skewness and kurtosis behave less favourably given an investor's preferences for the higher moments of the return distribution. The majority of diversification benefits are realized when a portfolio of approximately 6 active equity funds are included in the FoF portfolio. [source]

A sustainability assessment of a health equity fund initiative in Cambodia

INTERNATIONAL JOURNAL OF HEALTH PLANNING AND MANAGEMENT, Issue 3 2007
Bart Jacobs
Abstract All but one of the health equity funds (HEFs) currently operating in Cambodia, introduced to address the adverse effects of low user fee exemption rates, rely heavily on external funding and have high administrative overheads. This article reports on a study of one type of HEF, based in Kirivong Operational Health District (KOD) and operated through local pagoda structures, which demonstrates minimal reliance on external funding and low administrative overheads. We utilize an adapted sustainability assessment framework to assess the ability of pagoda structures to enable financial access for the poorest to public sector health services. We further analyse the strengths and limitations of the pagoda-managed equity fund initiative, with a view to assessing not only its sustainability but its potential for replication in other settings. Our study shows that, against key sustainability indicators (health service utilization and health outcomes; management capacity and financial viability; community mobilization and government support), the pagoda-managed equity fund initiative scores well. However, it is evident that some external financial support is needed to allow the HEFs to function effectively. We conclude with recommendations for replicating the initiative, which include working innovatively with indigenous grassroots organizations to enhance community HEF ownership and to keep administrative overheads low. Copyright © 2007 John Wiley & Sons, Ltd. [source]

Morgan Stanley Roundtable on Private Equity and Its Import for Public Companies

JOURNAL OF APPLIED CORPORATE FINANCE, Issue 3 2006
Article first published online: 4 OCT 200
The role of private equity in global capital markets appears to be expanding at an extraordinary rate. Morgan Stanley estimates that there are now some 2,700 private equity funds that either have raised, or are in the process of raising, a total of $500 billion. With this abundance of available equity capital, the willingness of private equity firms to participate in "club" deals, and the leverage that can be put on top of the equity, private equity buyers now appear able and willing to pay higher prices for assets than ever before. And thanks in part to this new purchasing power, private equity transactions reportedly account for a quarter of all global M&A activity as well as a third of the high yield and IPO markets. The stock of capital now devoted to private equity reflects the demonstrated ability of at least the most reputable buyout firms to produce consistently high rates of returns for their limited partners. Although a talent for identifying and purchasing undervalued assets may be part of the story, the ability to produce such returns on a consistent basis implies an ability to add value, to improve the performance of the operating companies they invest in and control. And in this round-table, a small group of academics and practitioners address two main questions: How does private equity add value? And are there lessons for public companies in the success of private companies? According to the panelists, the answer to the first question appears to have changed somewhat over time. The consensus was that most of the value added by the LBO firms of the,80s was created during the initial structuring of the deals, a process described by Steve Kaplan as "financial and governance engineering," which includes not only aggressive use of leverage and powerful equity incentives for operating managements, but active oversight by a small, intensely interested board of directors. In the past ten years, however, these standard LBO features have been complemented by increased attention to "operational engineering," to the point where today's buyout firms feel obligated, like classic venture capitalists, to acquire and tout their own operating expertise. In response to the second of the two questions, Michael Jensen argues that much of the approach and benefits of private equity-particularly the adjustments of financial policies and stronger managerial incentives-can be replicated by public companies. And although some of these benefits have already been realized, much more remains to be done. Perhaps the biggest challenge, however, is finding a way to transfer to public companies the board-level expertise, incentives, and degree of engagement that characterize companies run by private equity investors. [source]

Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 7-8 2006
David R. Gallagher
Abstract:, This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk-adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year-end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds. [source]

Fund Manager Use of Public Information: New Evidence on Managerial Skills

THE JOURNAL OF FINANCE, Issue 2 2007
MARCIN KACPERCZYK
ABSTRACT We show theoretically that the responsiveness of a fund manager's portfolio allocations to changes in public information decreases in the manager's skill. We go on to estimate this sensitivity (RPI) as the R2 of the regression of changes in a manager's portfolio holdings on changes in public information using a panel of U.S. equity funds. Consistent with RPI containing information related to managerial skills, we find a strong inverse relationship between RPI and various existing measures of performance, and between RPI and fund flows. We also document that both fund- and manager-specific attributes affect RPI. [source]

Judging Fund Managers by the Company They Keep

THE JOURNAL OF FINANCE, Issue 3 2005
RANDOLPH B. COHEN
ABSTRACT We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which the manager's investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures use historical returns and holdings of many funds to evaluate the performance of a single fund. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, our measures reveal strong predictability in the returns of U.S. equity funds. Our measures provide information about future fund returns that is not contained in the standard measures. [source]

Nonlinear Dynamic Relations Between Equity Return and Equity Fund Flow: Korean Market Empirical Evidence,

The Comparative Performance of Load and No-Load Mutual Funds in Canada

CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES, Issue 4 2004
Richard Deaves
This paper investigates, using both single-factor and multi-factor models, the absolute performance of Canadian equity funds and the relative performance of load versus no-load funds. Consistent with a wealth of other studies, I find that the typical fund manager in Canada is unable to surpass his risk-adjusted benchmark. Moreover, the advantage possessed by load funds, in being able to undertake fewer liquidity-motivated trades than most no-load funds, does not translate into their being able to outperform no-load funds, even when loads are ignored. Résumé Le présent article utilise les modèles de facteur unique et les modèles defacteur multiple pour examiner la performance absolue desfonds d'actions canadiens et la performance relative desfonds avec frais d'acquisition, par opposition aux fonds exempts des frais d'acquisition. Comme les nombreuses études antérieures, notre recherche débouche sur la conclusion qu'au Canada, le gestionnaire de fonds type est incapable de surpasser son point de référence ajusté enfonction du risque. Par ailleurs, l'avantage lié aux fonds avec frais d'acquisition, notamment sa capacité à entreprendre moins de transactions nécessitant des liquidités que les fonds exempts des frais d'acquisition, ne se traduit pas en capacité à donner de meilleurs résultats que les fonds sans frais, même si on ne tient pas compte des frais. [source]