Search

Objective: This research is designed to propose empirical evidence on factors affecting stock selection ability and market timing ability. Theoretical framework: Recent research found that most equity mutual funds underperform the market return due to a lack of stock selection and market timing abilities. However, rarely do they propose evidence of factors affecting the existence of these abilities Method: There are two-panel regression models developed in this research to show evidence of factors affecting stock selection and market timing abilities. The Dumitrescu–Hurlin (DH) test is used to gain a comprehensive understanding of the causality relationship between the variables Results and Conclusion: Based on observation of three ASEAN countries, this research proposes empirical evidence that the growth of fund size, volatility of the fund’s net asset value (NAV), and performance indicators of the underlying assets affect the stock selection ability differently in the respective countries. Similarly, the growth of fund size, volatility of the fund’s NAV, and macroeconomic indicators also affect the market timing ability differently Implications of the research: Therefore, the implementation of investment strategies in the three observed markets considers factors affecting the existence of the two abilities, effectively generating outperforming returns. Originality/value: Recent studies focused more on whether equity mutual funds are managed with stock selection and market timing abilities but not on factors affecting those abilities. This research proposes empirical evidence on factors affecting those abilities in different markets through econometrics analyses on panel data and the Dumitrescu–Hurlincausality test.

[Abstract] An investment fund is a vehicle that collects the money of various citizens or companies to invest together. With a single investment, you can have different stocks or bonds in your portfolio. In addition, when doing it together with other investors, the sum is greater and allows access to the best managers and at a lower cost than if we did it individually. Once invested in a certain fund, we delegate to a manager the ability to decide where to invest. However, it is us, the investors, who will make the decision on which funds to invest in. Thanks to our application that gives us detailed and tailored information about the funds in our investment portfolio and our movements, making these decisions will be a much easier task. Our application also displays charts that allow us to compare the funds in our portfolio at a glance. The calculation of the metrics and the returns (fiscal, financial dependent on our transactions and financial of the fund) is one of the main objectives of our project, since they will help us determine the future of our investments., [Resumen] Un fondo de inversión es un vehículo que reúne el dinero de diversos ciudadanos o compañías para invertirlo de modo conjunto. Con una sola inversión, puedes tener distintas acciones o bonos en cartera. Además, al hacerlo junto con otros inversores, la suma es mayor y permite tener acceso a los mejores gestores y a un menor coste que si lo hiciésemos de modo individual. Una vez invertido en un determinado fondo, delegamos en un gestor la capacidad de decidir dónde invertir. Pero somos nosotros mismos, los inversores, los que tomaremos la decisión de en qué fondos invertir. Gracias a nuestra aplicación que nos da una información detallada y a medida de los fondos de nuestra cartera de inversión y de nuestros movimientos, tomar estas decisiones será una tarea mucho más fácil. Nuestra aplicación también muestra gráficas que nos permitirán comparar los fondos de nuestra cartera de un vistazo. El cálculo de las métricas y las rentabilidades (fiscal, financiera dependiente de nuestras transaccions y financiera del fondo) es uno de los principales objetivos de nuestro proyecto, ya que nos ayudarán a determinar el futuro de nuestras inversiones

Closed-end funds (CEFs) are popular investments amongst the Swedish population as they provide diversification to investors and have in many cases historically outperformed the market. In deciding whether to invest in a CEF, the method of valuation differs from classical financial ratios used to value most companies, as the revenue-bringing operations differ significantly. The Net Asset Value (NAV) per share is compared to the market price per share of a CEF, to determine if the share is traded at a discount or premium. The purpose is based upon the rationalization that a share’s market price and the value of the closed-end fund’s underlying assets cannot drift too far apart from each other. In other words, the discount cannot drift too far from its mean over time, as there would be an upward pressure on the share price if the NAV-discount is large, and a downward pressure on the share price if the premium is large. Tests of unit roots and cointegration are applied and analysed in the light of previous findings for discounts in CEFs. Our findings show that the majority of selected CEFs’ prices and NAVs have long-run equilibrium relationships. Additionally, the discount appears to be stationary over time for the majority of CEFs, supporting the notion of mean reversion in the discount. For certain Swedish CEFs, the findings allow for investment decisions to be made upon the deviation from the mean. This study contributes to previous research done on the topic of mean reversion in the financial market as it finds statistical evidence of mean-reverting process for the NAV-discount of Swedish CEFs. The thesis also provides additional value to the plethora of research provided in the financial field as it specifies its findings to the Swedish market of CEFs.

[Abstract] An investment fund is a vehicle that collects the money of various citizens or companies to invest together. With a single investment, you can have different stocks or bonds in your portfolio. In addition, when doing it together with other investors, the sum is greater and allows access to the best managers and at a lower cost than if we did it individually. Once invested in a certain fund, we delegate to a manager the ability to decide where to invest. However, it is us, the investors, who will make the decision on which funds to invest in. Thanks to our application that gives us detailed and tailored information about the funds in our investment portfolio and our movements, making these decisions will be a much easier task. Our application also displays charts that allow us to compare the funds in our portfolio at a glance. The calculation of the metrics and the returns (fiscal, financial dependent on our transactions and financial of the fund) is one of the main objectives of our project, since they will help us determine the future of our investments., [Resumen] Un fondo de inversión es un vehículo que reúne el dinero de diversos ciudadanos o compañías para invertirlo de modo conjunto. Con una sola inversión, puedes tener distintas acciones o bonos en cartera. Además, al hacerlo junto con otros inversores, la suma es mayor y permite tener acceso a los mejores gestores y a un menor coste que si lo hiciésemos de modo individual. Una vez invertido en un determinado fondo, delegamos en un gestor la capacidad de decidir dónde invertir. Pero somos nosotros mismos, los inversores, los que tomaremos la decisión de en qué fondos invertir. Gracias a nuestra aplicación que nos da una información detallada y a medida de los fondos de nuestra cartera de inversión y de nuestros movimientos, tomar estas decisiones será una tarea mucho más fácil. Nuestra aplicación también muestra gráficas que nos permitirán comparar los fondos de nuestra cartera de un vistazo. El cálculo de las métricas y las rentabilidades (fiscal, financiera dependiente de nuestras transaccions y financiera del fondo) es uno de los principales objetivos de nuestro proyecto, ya que nos ayudarán a determinar el futuro de nuestras inversiones

Closed-end funds (CEFs) are popular investments amongst the Swedish population as they provide diversification to investors and have in many cases historically outperformed the market. In deciding whether to invest in a CEF, the method of valuation differs from classical financial ratios used to value most companies, as the revenue-bringing operations differ significantly. The Net Asset Value (NAV) per share is compared to the market price per share of a CEF, to determine if the share is traded at a discount or premium. The purpose is based upon the rationalization that a share’s market price and the value of the closed-end fund’s underlying assets cannot drift too far apart from each other. In other words, the discount cannot drift too far from its mean over time, as there would be an upward pressure on the share price if the NAV-discount is large, and a downward pressure on the share price if the premium is large. Tests of unit roots and cointegration are applied and analysed in the light of previous findings for discounts in CEFs. Our findings show that the majority of selected CEFs’ prices and NAVs have long-run equilibrium relationships. Additionally, the discount appears to be stationary over time for the majority of CEFs, supporting the notion of mean reversion in the discount. For certain Swedish CEFs, the findings allow for investment decisions to be made upon the deviation from the mean. This study contributes to previous research done on the topic of mean reversion in the financial market as it finds statistical evidence of mean-reverting process for the NAV-discount of Swedish CEFs. The thesis also provides additional value to the plethora of research provided in the financial field as it specifies its findings to the Swedish market of CEFs.

This paper examines the impact of the ratio of price-to-fundamental value on the stock market performance of real estate securities following seasoned equity offerings and senior debt issuances. Using a global sample of real estate securities, we distinguish between growth stocks, i.e. those with the highest stock prices relative to the private market value of their properties, and value stocks, which tend to trade at substantial discounts to their net asset value (NAV). Consistent with the notion that newly issued equity is ultimately priced similar to pre-SEO levels, we find that growth stocks perform significantly better than value stocks in the 36 months following the SOE. We also examine the long run performance following senior debt issuances and document a substantial outperformance (underperformance) for growth (value) real estate securities in the 36 months following the offering. Overall, our findings are consistent with the hypothesis that growth REITs can benefit from “public vs. private market arbitrage”.

This paper examines the impact of the ratio of price-to-fundamental value on the stock market performance of real estate securities following seasoned equity offerings and senior debt issuances. Using a global sample of real estate securities, we distinguish between growth stocks, i.e. those with the highest stock prices relative to the private market value of their properties, and value stocks, which tend to trade at substantial discounts to their net asset value (NAV). Consistent with the notion that newly issued equity is ultimately priced similar to pre-SEO levels, we find that growth stocks perform significantly better than value stocks in the 36 months following the SOE. We also examine the long run performance following senior debt issuances and document a substantial outperformance (underperformance) for growth (value) real estate securities in the 36 months following the offering. Overall, our findings are consistent with the hypothesis that growth REITs can benefit from “public vs. private market arbitrage”.

Since the 2008 financial crisis, in which the Reserve Primary Fund "broke the buck," money market funds (MMFs) have been the subject of ongoing policy debate. Many commentators view MMFs as a key contributor to the crisis because widespread redemption demands during the days following the Lehman bankruptcy contributed to a freeze in the credit markets. In response, MMFs were deemed a component of the nefarious shadow banking industry and targeted for regulatory reform. The Securities and Exchange Commission's (SEC) misguided 2014 reforms responded by potentially exacerbating MMF fragility while potentially crippling large segments of the MMF industry. Determining the appropriate approach to MMF reform has been difficult. Banks regulators supported requiring MMFs to trade at a floating net asset value (NAV) rather than a stable $1 share price. By definition, a floating NAV prevents MMFs from breaking the buck but is unlikely to eliminate the risk of large redemptions in a time of crisis. Other reform proposals have similar shortcomings. More fundamentally, the SEC's reforms may substantially reduce the utility of MMFs for many investors, which could, in turn, affect the availability of short term credit. The shape of MMF reform has been influenced by a turf war among regulators as the SEC has battled with bank regulators both about the need for additional reforms and about the structure and timing of those reforms. Bank regulators have been influential in shaping the terms of the debate by using banking rhetoric to frame the narrative of MMF fragility. This rhetoric masks a critical difference between banks and MMFs' asset segregation. Unlike banks, MMF sponsors have assets and operations that are separate from the assets of the MMF itself. This difference has caused the SEC to mistake sponsor support as a weakness rather than a key stability-enhancing feature. As a result, the SEC mistakenly adopted reforms that burden sponsor support instead of encouraging it. As t

The paper critically examines the nature of Real Estate Investment Trust (REIT) as a new investment vehicle in the context of the Nigerian Capital Market. While REITs have often been regarded as useful tools for optimising portfolio performance, current findings on their actual investment characteristics in terms of returns competitiveness, volatility, sensitivity to underlying fundamentals and correlation with returns from other asset classes over time, especially in periods of high volatility such as many stock markets experienced since the 2008 global financial crisis, remain largely inconclusive. Based on published data over the first four trading years (2008 – 2011) of publicly traded REITs in Nigeria, the paper uses the statistical measures specified by Modern Portfolio Theory to address this issue and draws from its findings two conclusions which are described in the paper as the two irrefutable “laws” of REITs. First, by outperforming the general market while showing weak correlation with the same market, portfolio managers can be assured that real estate retains its diversification values and therefore, they should incline their asset allocation more towards real estate, especially when they anticipate the continuity of the uncertain economic environment under which the world is operating. Secondly, given REIT’s strong positive relationship with underlying business fundamentals, it is imperative for REITs managers to ensure the existence of a robust valuation system and a business strategy that maintains strong balance sheet with steady dividends to investors. The paper thus adds to the growing literature on real estate finance and corporate strategy management, particularly in Nigeria.

93 N. C. L. Rev. 935 (2015).