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.
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.
We propose a theory of momentum and reversal based on flows between investment funds. Flows are triggered by changes in fund managers' efficiency, which investors either observe directly or infer ...from past performance. Momentum arises if flows exhibit inertia, and because rational prices underreact to expected future flows. Reversal arises because flows push prices away from fundamental values. Besides momentum and reversal, flows generate comovement, lead-lag effects, and amplification, with these being larger for high idiosyncratic risk assets. A calibration of our model using evidence on mutual fund returns and flows generates sizeable Sharpe ratios for momentum and value strategies.
The article presents the use of mixed logistic regression models in the study of the effectiveness of investment funds. The aim of the research is to identify and evaluate the factors influencing the ...effectiveness of commodity funds in Poland using mixed logistic regression models. R 3.6.0 statistical package was used for calculations. The logarithmic rate of return was adopted as a measure of the effectiveness of the funds, and it also served as the dependent variable. Eleven internal and external factors influencing the effectiveness of funds were identified as explanatory variables. The time horizon of the study covered a 5-year period from 2015 to 2019. The subject of the study were commodity funds operating in Poland. The created mixed logistic regression model made it possible to conclude that three factors have a statistically significant impact on the chance of recognizing a commodity fund as efficient: the value of cash flows (CF), the value of the CRB Commodity Index (CRB) and the gold futures price (GC).
Many financial markets are characterized by strong relationships and networks, rather than arm's-length, spot market transactions. We examine the performance consequences of this organizational ...structure in the context of relationships established when VCs syndicate portfolio company investments. We find that better-networked VC firms experience significantly better fund performance, as measured by the proportion of investments that are successfully exited through an IPO or a sale to another company Similarly, the portfolio companies of better-networked VCs are significantly more likely to survive to subsequent financing and eventual exit. We also provide initial evidence on the evolution of VC networks.
This study aims to investigate whether fund investors change their investment fund type depending on the return change of assets such as stocks, bonds, and housing. For this purpose, we examine the ...substitution relation among the equity, bond, and real estate investment funds by employing the net inflow. In particular, investment funds are classified according to investment objective, investment region, and investor. The main findings are as follows: first, the stock return of change is not attributed to the substitution relation among equity, bond, and real estate investment funds, which remains consistent across investment region and investors. Second, the yield change of three-year treasury bonds is attributed to the substitution relation between equity and bond investment funds. That is, if the bond yield increases and the bond prices decrease in turn, then money will go to the ‘domestic’ equity funds and goes out of the ‘domestic and international’ bond funds. The substitution relation is revealed between ‘publicly placed’ equity and ‘publicly and privately placed’ bond investment funds. Third, housing return of change is attributed to the substitution relation between domestic and international real estate investment funds. This implies that if housing prices rise, then money will go into the ‘domestic’ real estate investment funds and go out of ‘international’ real estate investment funds. The substitution relations among investment funds suggest that fund investors consider the return change of assets when determining investment funds.
Under the background of how the green financial system contributes to the goal of carbon peaking and neutrality, this study explores the relationship between green investment funds (GIFs) and ...corporate green innovation (CGI) in Chinese listed firms. We propose a social value logic to explain the green investment of GIF in addition to its commercial value logic. We find that: (1) GIF can significantly improve CGI. (2) The positive effect of GIF on CGI is more obvious in state-owned enterprises, enterprises with a higher proportion of long-term GIF, and after a green financial system is proposed. (3) GIF is capable of contributing to the increase in stock returns, the mitigation of stock risk, and the achievement of a positive social valuation, including reducing resource consumption and increasing resource efficiency through the promotion of CGI. (4) GIFs can improve CGI by alleviating corporate financing constraints, and its rich industry experience helps to enhance CGI. This paper not only expands the research on the relationship between institutional investors and corporate innovation, but provides important insights on how the capital market can serve the green transformation of the real economy from the perspective of green investment.
•Green investment funds can significantly improve corporate green innovation.•We adopt the social value logic to explain in addition to commercial value logic.•Green financial system policy improves green investment funds' promotional effect.
Investment consultants advise institutional investors on their choice of fund manager. Focusing on U.S. actively managed equity funds, we analyze the factors that drive consultants' recommendations, ...what impact these recommendations have on flows, and how well the recommended funds perform. We find that investment consultants' recommendations of funds are driven largely by soft factors, rather than the funds' past performance, and that their recommendations have a significant effect on fund flows. However, we find no evidence that these recommendations add value, suggesting that the search for winners, encouraged and guided by investment consultants, is fruitless.
This paper investigates whether mutual fund families acting as service providers in 401(k) plans display favoritism toward their own affiliated funds. Using a handcollected data set on the menu of ...investment options offered to plan participants, we show that fund deletions and additions are less sensitive to prior performance for affiliated than unaffiliated funds. We find no evidence that plan participants undo this affiliation bias through their investment choices. Finally, we find that the subsequent performance of poorly performing affiliated funds indicates that this favoritism is not information driven.
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