PurposeThe main goal of this paper is better understand the risk/return trade-off of investing in socially responsible investment funds (SRIF) and green investment funds ...(GIF).Design/methodology/approachTo achieve our aim a green investment fund portfolio, a socially responsible investment portfolio and a conventional fund (CF) portfolio from the United States of America (USA) were selected to compare the efficiency of these three different portfolios, by using Value-Based Data Envelopment Analysis (DEA) methodology.FindingsThe results point out that SRIF and GIF are more efficient than CF. For five years, the CFs have not outperformed the GIF.Originality/valueThe results suggest that there is a growing awareness on the part of investors that sustainable companies are the companies that will allow a better quality of life and a more sustainable environment. It seems that somehow managers and investors are aware that the market will compensate them for thinking about a cleaner and more equitable world.
Mutual Fund Incubation EVANS, RICHARD B.
The Journal of finance (New York),
August 2010, Letnik:
65, Številka:
4
Journal Article
Recenzirano
Incubation is a strategy for initiating new funds, where multiple funds are started privately, and, at the end of an evaluation period, some are opened to the public. Consistent with incubation being ...used by fund families to increase performance and attract flows, funds in incubation outperform nonincubated funds by 3.5% risk-adjusted, and when they are opened to the public they attract higher flows. Postincubation, however, this outperformance disappears. This performance reversal imparts an upward bias to returns that is not removed by a fund size filter. Fund age and ticker creation date filters, however, eliminate the bias.
This paper provides a novel resilience measure of a family of networks in terms of stability of its community structure. To this aim, we assign to each node a probability distribution and introduce ...an exogenous shock as a lump sum perturbing its left tail. Then, we measure the reactions of the considered networks to the occurrence of such exogenous shocks. Starting from the intuitive interpretation of the methodological proposal in the financial context, we employ it to compare portfolios of funds with different ranks in terms of the Environmental, Social and Governance score. In particular, we consider financial networks whose nodes represent funds, and edges are weighted on the basis of the capitalization due to the common components of the connected nodes. Interestingly, we find that the considered network of High ranked funds is more resilient than the corresponding network of Low ranked funds when funds are small-sized. The opposite behavior is observed for the big-sized funds.
•We introduce a new concept of resilience measure for complex networks.•The resilience measure is defined through the stability of the community structure.•We apply the proposed resilience to networks of funds.•We discuss the relevance of funds’ social impact target on the resilience.
This article analyzes the development and growth of the administrative practices and structures necessary for leading asset management companies and other firms to create and sell their “product” of ...choice: investment funds. To investigate this problematic, I turn to the Grand Duchy of Luxembourg, which currently serves as the domicile for over $5 trillion in fund assets. Since the 1980s, Luxembourg's “offshore” financial center has become a leader in providing the “plumbing,” to quote an interviewee of mine, for worldwide asset manager capitalism. On offer in Luxembourg to asset managers are the routine-but-essential tasks such as domiciliation, compliance, calculation of net-asset values, and distributions. After a brief history of the rise of asset manager capitalism and Luxembourg's role in it, I detail the strategies by which the Grand Duchy's financial-center professionals collaborate to devise ways to service the ever-increasing varieties of investment funds for sale today. Having used the Luxembourg financial center as a case study, I conclude the article by arguing that, in order to understand contemporary asset manager capitalism, researchers should pay as much attention to its “collaborating administrators” in locales like Luxembourg as they currently do to its “competing titans of industry” on Wall Street or in the City of London.
The financialisation of the fishing industry Federico Martin Palmero; Fernando Gonz´ález Laxe
European journal of government and economics,
06/2021, Letnik:
10, Številka:
1
Journal Article
Recenzirano
Odprti dostop
Successive technical and organizational innovations have modelled the current structure and composition of the fishing industry. The market structure varies considerably between countries and the ...fish species they catch. There is a generalised global convergence towards an industrial-outsourced model, in which companies occupy a central and basic position in economic strategies. Two predominant key trends are identified: financialisation and the monopolisation of fishing areas. This paper begins with an analysis of the fishing sector from the perspective of the presence of investment funds that hold stakes in companies specialising in a principal region of Europe.
This paper studies the "confidential holdings" of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and ...are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to 12 months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.
We ask whether mutual funds' flows reflect the incentives of the brokers intermediating them. The incentives we address are those revealed in statutory filings: the brokers' shares of sales loads and ...other revenue, and their affiliation with the fund family. We find significant effects of these payments to brokers on funds' inflows, particularly when the brokers are not affiliated. Tracking these investments forward, we find load sharing, but not revenue sharing, to predict poor performance, consistent with the different incentives these payments impart. We identify one benefit of captive brokerage, which is the recapture of redemptions elsewhere in the family.
Speculators, Prices, and Market Volatility Brunetti, Celso; Büyükşahin, Bahattin; Harris, Jeffrey H.
Journal of financial and quantitative analysis,
10/2016, Letnik:
51, Številka:
5
Journal Article
Recenzirano
Odprti dostop
We use data from 2005–2009 that uniquely identify categories of traders to test how speculators such as hedge funds and swap dealers relate to volatility and price changes. In examining various ...subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets. To the contrary, hedge fund position changes are negatively related to volatility in corn, crude oil, and natural gas futures markets. Additionally, swap dealer activity is largely unrelated to contemporaneous volatility. Our evidence is consistent with the hypothesis that hedge funds provide valuable liquidity and largely serve to stabilize futures markets.
This paper explores the impact of investor flows and financial market conditions on returns in crude oil futures markets. I argue that informational frictions and the associated speculative activity ...may induce prices to drift away from "fundamental" values, and may result in price booms and busts. Particular attention is given to the interplay between imperfect information about real economic activity, including supply, demand, and inventory accumulation, and speculative activity in oil markets. Furthermore, I present new evidence that there were economically and statistically significant effects of investor flows on futures prices, after controlling for returns in the United States and emerging-economy stock markets, a measure of the balance sheet flexibility of large financial institutions, open interest, the futures/spot basis, and lagged returns on oil futures. The largest impacts on futures prices were from intermediate-term growth rates of index positions and managed-money spread positions. Moreover, my findings suggest that these effects were through risk or informational channels distinct from changes in convenience yield. Finally, the evidence suggests that hedge fund trading in spread positions in futures impacted the shape of term structure of oil futures prices.
This paper was accepted by Wei Xiong, finance.
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