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• Adoption of sustainable investing exchange-traded funds is shaped by various factors. • Insurance companies and pension funds with positive effects. • Also supporting impact of stock markets, new technologies and financial development. • Lesser importance of the financial motives. • In case of mutual funds and institutional variables results are mixed. Despite the growing interest in various topics related to sustainable (ESG) investing, some issues remain understudied, such as the determinants of their utilization at the macro level. This paper contributes to the state of knowledge two-directionally. First, it shows the development of sustainable investing exchange-traded funds (ETFs) in European countries. Second, it traces the significant determinants of adopting sustainable investing/ESG ETFs in Europe. More specifically, we aim to determine which financial, technological, social or institutional factors have the most significant impact on the growth of levels and over-time dynamics of the sustainable investing ETFs. The empirical sample covers five European economies: France, Germany, Italy, Switzerland, and the United Kingdom and the period of the analysis is 2006–2020. Adopting panel regression analysis, we investigate twenty different variables that potentially impact the development of sustainable investing ETFs across examined countries. Our results confirm the positive effects of the development of insurance companies and pension funds for the assets of the ESG ETFs. Also, factors such as stock markets development, ICT adoption, financial access and literacy, and the prevalence of tertiary-level education demonstrate a positive impact on ESG ETFs. The role of the financial performance and tax levels resulted in being neutral, thus indicating the lesser importance of the financial motives in relation to the other factors. The results were mixed in the case of the mutual funds and institutional variables. [ABSTRACT FROM AUTHOR]

Mutual funds, a cornerstone of modern investment portfolios, offer investors a diversified and professionally managed approach to financial growth. These investment vehicles collect small amount from multiple investors and invests the collective investment further in diversified portfolio of stocks, bonds, or other securities. Mutual funds are characterized by their net asset value (NAV), which represents the per-share value of the fund's assets minus its liabilities. Investors benefit from the expertise of seasoned fund managers who make investment decisions based on their analysis of market trends and company performance. By providing an accessible and diversified investment option, mutual funds have become a popular choice for both novice and seasoned investors seeking to achieve their financial goals. Apart from that, the role of AI is increasing exponentially in various areas. Such AI based tools and algorithms are utilized by various MFs expert to identify the suitable investment portfolios. This paper proposes a technique to analyse the performance of the different stock's portfolios based on the past data. Combining the isolated analysis of different stocks portfolios may be utilized to predict the net asset value prediction (NAV) of MFs. The experiments carried out in this research work uses linear regression analysis to analyse the stock's performance at sub level of the MFs. A case study for the Axis Bluechip fund's is also carried out by using the proposed ML approach. The Yahoo Finance dataset is used for the case study. Previously, machine learning algorithms like linear regression (LR), decision tree regression (DTR), and multivariate regression (MR) are taken to predict and analyse the dataset. These algorithms calculate the NAV of the mutual fund with good accuracy and analyse the best result for the test dataset. The various models are being created from different portfolios to analyse the NAV of the mutual funds. This work proposed hierarchical method to perform the linear regression analysis for the NAV predicting. This work uses R-Square (R2) statistical measures to determine the goodness of models. The obtained R2 is 0.86, implying that the created models have good accuracy and performance on the dataset. [ABSTRACT FROM AUTHOR]

We delve into performance and riskiness of socially conscious (SC) investment funds while considering the salient role of home country institutions as proxied by freedom indicators – namely, economic freedom with its five underlying component areas – in addition to the personal and overall human freedom of countries/regions as related to the home base currency of those funds. From a global perspective and including nonlinear considerations, evidence shows that advances in economic freedom and its constituent areas, as well as differences in personal freedom, have a consistent sizeable positive impact on the performance of SC funds but also a slight positive effect on their riskiness, attested to by various robustness tests. We articulate the added financial benefits to be gained when both socially responsible features and freedom infrastructure are present, confirming that freedom indicators matter. There is subtle evidence that changes in legal structure and security of property rights, as well as sound money, show a statistically and economically significant positive effect on performance across various specifications. In accord with widespread support for the importance of private property and the rule of law, this study shows that without sound money, a functioning legal system, and entrenched property rights, the performance of SC funds is stalled. [ABSTRACT FROM AUTHOR]

Individual investors reduce their trading activity in financial markets after the release of negatively biased Hollywood movies related to financial markets. These movies regularly depict financial markets and professionals active in them as marked by greed and corruption (Lichter et al. 1997). This decline in trading activity at the extensive margin comes together with depressed investor sentiment marked by higher likelihoods and volumes of selling than of buying transactions by those investors still active. Their avoidance of investing in and tendency to trade out of stocks related to companies in the financial industry, as well as their shift from actively managed mutual funds to passive vehicles (ETFs), provide evidence for the deterioration of investors' trust in the financial industry and its managers. This channel is in line with existing literature on subjective beliefs in investment decisions and the impact of biased media coverage, such as the negative depiction of financial markets, shareholders, and managers in Hollywood movies. [ABSTRACT FROM AUTHOR]

This study examines the effects of sustainable energy-focused institutional shareholders on corporate sustainable energy performance. It employs a sample of 43 renewable energy mutual funds and 1074 portfolio firms covering 2006 to 2019. To examine this relationship appropriately, the study adopts Petersen's (2009) panel data approach and clusters standard errors by firm and year. The results indicate that institutional investors lead firms to improve their corporate sustainable energy and environmental performance. Therefore, investment decisions adopted by renewable energy mutual funds achieve positive outcomes in the real world. This has policy implications, showing that economic policies focused on financing the transition of the real economy towards sustainability and improving the financial sector's contribution to sustainability goals are being achieved. • This study analyses the effect of institutional shareholders on energy performance. • This study implements Petersen's (2009) panel data approach. • Institutional investors improve corporate sustainable energy performance. • Institutional investors improve corporate environmental performance. [ABSTRACT FROM AUTHOR]

The paper presents the methodological assumptions for the linear mixed model and shows its usefulness in research on the factors determining the efficiency of investment funds. The aim of the study was to identify and evaluate the factors determining the efficiency of commodity funds in Poland using a linear mixed model. The Sharpe ratio was adopted as the fund's efficiency criterion. The subjective scope of the research covered all funds in Poland which at the end of December 2019 declared their investment portfolio exposure to commodity markets. The time scope of the study was 5 years, and annual data were used for the analysis. Based on the use of a linear mixed model, it was shown that there is a statistically significant negative relationship between the effectiveness of the studied funds and their operating time. This means that commodity funds that have been operating on the market for a shorter period of time achieve better investment results. [ABSTRACT FROM AUTHOR]

The paper examines investment efficiency of Polish open-ended mutual funds in the period before and during a pandemic. For this purpose the Trynor-Mazuy model, estimated for two periods of one and a half years was used. On this basis, various aspects of portfolio management of equity, balanced, stable growth and bond funds were evaluated. In particular, the skills of selecting assets for portfolios, market timing and following the market trend were assessed. The influence of volatility on fund performance was also taken into account by examining the ARCH effect and constructing GARCH models. At the same time, the improvement of the quality of market timing modeling was assessed [ABSTRACT FROM AUTHOR]

• Investors consider ESG criteria in their investment decisions. • However, ESG criteria weigh much less than financial return or fees. • The relatively low weight of the ESG criteria has remained fairly stable. • Our models predict fund flows with an accuracy of about 70% • Funds' past ESG performance guarantees future ESG performance. Despite the growth in the supply of socially responsible investment products, the weight of environmental, social and governance (ESG) factors in the decisions of mutual fund investors remains under-researched. We conducted a study relating fund flows to past returns, ESG performance and other financial variables using data from 3,767 US mutual funds from 2015 to 2021. First, we aimed to assess the importance of ESG performance in investment decisions. Next, we studied whether ESG performance is increasingly important or has reached its limit. Finally, we developed decisional models to predict the flows raised by each investment fund, its financial return and ESG performance. We used logistic regression, neural networks, random forest and gradient boosting decision trees. We found that the investors consider ESG performance, but the factors that matter most are past growth, mutual fund fees and past returns. Our models predicted the money raised by the funds, obtaining accuracy rates of around 70%. In addition to confirming that "past financial return does not guarantee future financial return," we found that "past ESG performance guarantees future ESG performance," which may be of interest to socially responsible investors. [ABSTRACT FROM AUTHOR]

• We investigate how fund family affiliation impacts the liquidity management of U.S. equity funds. • We find that funds within large families use cash and sell their most liquid assets to meet redemption demand, while funds within small families maintain their cash balance and their most liquid assets. • We also find that, in large fund families, funds with high (low) total fees tend to consume (preserve) liquidity. In contrast, in small fund families, funds implement similar liquidity strategies regardless their fee charges. • Our results are consistent with the fund family favoritism strategy documented in the mutual fund literature. The article investigates how fund family affiliation impacts the liquidity management of U.S. equity funds. We find that funds within large families use cash and sell their most liquid assets to meet redemption demand. In contrast, funds within small families maintain their cash balance and their most liquid assets. We also find that, in large fund families, funds with high (low) total fees tend to consume (preserve) liquidity. In contrast, in small fund families, funds implement similar liquidity strategies regardless their fee charges. These results are consistent with the fund family favoritism strategy documented in the mutual fund literature. [ABSTRACT FROM AUTHOR]

Investors are attentive to lesbian, gay, bisexual, and transgender (LGBT) topic and a firm's adoption of LGBT-supportive policy. Using a sample of new LGBT adopters from KLD database, we show that mutual funds with a strong (weak) preference for LGBT stocks increase (decrease) their holdings in new LGBT adopters and receive more (less) capital flows when investor sentiment toward LGBT is high. We also find significant evidence that LGBT-induced trading activities lead to comovements in stock returns and share turnover. Specifically, LGBT adopters experience an increase (decrease) in return comovement with a portfolio of existing (non-) LGBT stocks. Our additional analyses based on an alternative sample from the Human Rights Campaign yield consistent results and suggest that investors consider not only the presence or lack of LGBT-supportive policy in a firm but also its LGBT performance when they make trading decisions. This research makes an important contribution to our limited understanding of the LGBT policy effect on investors, a key group of the firm's stakeholders. [ABSTRACT FROM AUTHOR]

Since the early 1990s, U.S. metropolitan planning organizations (MPOs) have had increasing room to shape the extent to which public transit benefits from regional transportation spending. Federal law has given MPOs widening latitude over this period to use highway-oriented funding for transit investment. Yet, concerns that public transit operators—and, by extension, transit needs—have been underrepresented in MPO decision-making are longstanding. This paper reports on the first comprehensive inventory of transit representation on MPO decision-making boards. MPOs and the planning process they oversee allow metro regions to tap federal funds, and together MPOs approve billions in metropolitan transportation investment across the U.S. We study these important institutions in the transportation landscape and how they provide for transit participation. We find that transit's actual voting representation on MPOs is somewhat higher than previously estimated, suggesting that recent federal policies have modestly increased formal transit involvement in investment decisions. We also find that different forms of board representation for transit—direct and indirect—can produce disparities in transit's influence from one region to the next. These findings reveal the impact of federal transportation laws on metropolitan scale decision-making and highlight some of the enduring institutional challenges to broadening participation in regional transportation governance. They also pave the way for further studies of the impact of MPO representation on transit expenditures by MPOs. • The first comprehensive inventory of transit representation in US metropolitan planning is developed. • Transit has no direct vote on the MPO policy board in 36% of large metro regions (over 200,000 population). • Federal requirements that transit have direct voting representation in regional decision-making were contentious. • While transit operators value direct over indirect board representation, MPOs sought indirect representation for transit. • Few MPOs that represent transit indirectly document how they do so, reducing transparency and accountability in regional transportation governance. [ABSTRACT FROM AUTHOR]

The authors present a method of supporting decision-making processes with the use of predictive analytics. The method is presented with an example of investment project portfolios of a mining company. In the research multiple predictive models have been tested to determine most effective algorithms and key project attributes allowing to predict possible budget deviations. The proposed approach can be applied in other organizations managing projects according to project methodologies with access to structured project data. [ABSTRACT FROM AUTHOR]

• Examines the impact of cash holdings on mutual fund returns using daily data. • Highlights inefficient cash utilization leading to diminished profits in mutual funds. • Emphasizes the need for advanced liquidity management tools in mutual funds. • Suggests balanced regulatory approaches for cash holding and transparency in mutual funds. Mutual funds have traditionally attracted retail investors seeking diversified market exposure. While the focus has historically been on asset liquidity and quality, recent attention has turned to assessing fund liquidity and the risks of asset fire sales. Our study analyzes Israeli mutual funds' daily holdings and flows over an extensive eight-year period, revealing a significant issue: fund managers tend to maintain excessive cash levels, burdening the industry by more than 2 % of assets under management (AUM). These findings highlight the urgency of implementing advanced liquidity management tools to navigate redemption risks effectively. Moreover, our research stresses the need for flexible, market-oriented regulations and enhanced industry transparency. By establishing liquidity risk management guidelines, regulators can optimize investor returns and mitigate potential systemic risks associated with cash allocations in mutual funds. [ABSTRACT FROM AUTHOR]

We investigate the state-varying risk taking behavior of actively managed mutual funds by considering their transaction costs in trading securities. Our tournament model equilibrium suggests that, while transaction costs are low, interim winner funds tend to hold more volatile portfolios than interim losers. However, while transaction costs are high, the interim losers may take more risk than interim winners, and such behavior is more significant in the negative risk premium state for funds. We provide robust empirical evidence of state-varying risk-taking in both U.S. and China from 2005 to 2019. The U.S. mutual fund tournaments are less influenced given the bid-ask spreads on the stock market are 20 bps lower than that in China. • Build a tournament model for state-varying risk-taking behavior of fund managers. • Theoretically transaction costs negatively impact winner funds' risk-taking behavior. • Negative effect of transaction cost is more prominent in negative risk premium state. • Chinese tournament is more negatively impacted due to higher transaction cost. [ABSTRACT FROM AUTHOR]

This paper explores inflows and outflows patterns in retail equity mutual funds related to past and future performance derived from detailed monthly security-level holdings of funds in the Czech Republic. We find that retail investors become sensitive to bad performance in times of aggregate illiquidity and while investing in funds that hold more illiquid assets. Moreover, we document that when facing illiquidity and deteriorating performance, under-performing equity investing funds experience lower investor purchases and a larger share of redemption requests. We observe similar investor behaviour in periods when retail investors face constraints on their disposable income. • Fund flow–performance is analyzed using detailed supervisory data. • Fund inflows and outflows react more to good performance than to bad performance. • Retail equity fund investors react to bad performance during illiquid periods. • Fund flows respond to changing income constraints of retail investors. [ABSTRACT FROM AUTHOR]

The fintech segment is currently one of the most rapidly growing industries, attracting numerous investors who anticipate substantial returns in the future. Notably, not only individual retail investors but also mutual fund agencies are actively engaged in predicting stock prices within this sector to maximize their trading gains. The purpose of the study is to formulate stock forecasting models for top three Fintech Companies of India i.e., Policy Bazar, One 97 Communications Paytm Ltd., and Niyogin Ltd. Using Random Forest model with high-frequency data in Python. The literature review section also proves that this study is a novel piece of work as none of the existing research study focused on predicting stock prices of Fintech Companies of India using Random Forest model. The data is extracted from www.moneycontrol.com and www.kotaksecurities.com, for the period from 1st October, 2022–30 th September, 2023. The study deals about 293,280 data points i.e., 3 companies @ 97,760 each. It has been found that the forecasting model of random forest provides very successful results for prediction as the co-efficient of determination of all the selected companies is more than 95%. [ABSTRACT FROM AUTHOR]

Using more general forms of equilibrium asset pricing models, we re-examine the recent literature on actively managed US Mutual Fund performance over the period 1984–2015. Using the false discovery technique, we show that the existing literature which is based upon unconditional versions of these models have underestimated performance of actively managed US funds because they produce inconsistent estimates of fund alpha coefficients. Our estimations of abnormal returns using conditional models allow the parameters that underlie the equilibrium asset pricing models to change which produces consistent estimates of funds alphas. We find that when returns are measured net of management and trading costs between 2.9% to 8.4% of US actively managed funds produce positive-alpha. This contrasts with existing studies that find no significant percentage of US Mutual Funds produce positive-alpha. We also find that different investment styles have significantly different percentages of positive-alpha funds. [ABSTRACT FROM AUTHOR]

In this paper, we consider a downstream firm negotiating with an upstream firm, and we investigate the impact of the organizational form of the upstream firm. We show that if the upstream firm is organized like a traditional cooperative, where the members have free delivery rights and where surplus is shared in proportion to the deliveries, the downstream firm is less subject to a holdup. The cooperative form makes it possible for the upstream firm to credibly commit to deliveries. Traditional cooperatives are often considered as suffering from a volume management problem, which leads to excessive deliveries. Remedying this problem is the objective of the so-called new generation cooperatives. In a supply chain context, however, this problem may actually be beneficial. Specifically, it limits the upstream firm's ability to hold up the downstream firm, which in turn makes possible specific downstream investments that are closer to first best. Our model lends structure to several real-world phenomena, including the apparent success of marketing cooperatives in farming, the success of open-end mutual funds, and the organization of aggregators in the new economy. [ABSTRACT FROM AUTHOR]

This paper evaluates the presence of disposition effect in Spanish equity funds and its implications for investors. We find that disposition spread is not a widespread bias, but it exists across funds. This effect is especially intense during the crisis period, but it is mitigated in large management companies or in those that belong to bank holding groups. For a new insight when disentangling managers' decisions, this study shows that the disposition effect is not only a cognitive bias inherent to the person, but it mostly depends on the type of transactions. Partial sales, domestic stocks, stocks with low portfolio weights, and stocks with lower past returns are disposition-prone. The existence of disposition effect is confirmed; however, investors are not harmed in terms of fund performance. [ABSTRACT FROM AUTHOR]

The first contribution we make to research on measuring U.S. mutual fund performance is to show that the cross-section bootstrap procedure used in one prominent publication on this topic can easily accommodate conditional asset pricing models. Using this result, we reestimate US fund performance using the conditional asset pricing model of Ferson and Schadt (1996) for the period of time covering January 1984 to September 2006, the same period of time used in this prominent publication. Unlike most of the current research on the performance of U.S. mutual funds, including the latter research, the estimates of fund performance produced here suggest that some funds, on a net return basis, performed very well over this period. Our second contribution is to update the U.S. mutual fund data to the end of 2018 and then to re-estimate fund performance over this longer period of time. These results show that fund performance, on a net return basis, is poor, confirming the findings of previous research that used data ending before 2018. The third contribution is to provide a detailed guide on how the mutual fund data widely used in this literature is constructed. Until now much of the information required to do this has not been made widely available. Our last contribution is to make some policy recommendations that should better align fund manager incentives with the interests of investors, an alignment which current practices have hindered. [ABSTRACT FROM AUTHOR]

Economic growth and development around the world are leading to increasing worldwide demand for energy, whose production still mainly comes from fossil fuels generating large amounts of greenhouse gas emissions, which contribute to global warming and climate change. To mitigate climate change, the European Union implemented an energy policy strategy that encourages firms to implement sustainable energy systems. This could generate investment opportunities in energy efficiency and renewable energy projects around the world for European mutual funds. Therefore, the main aim of this paper is to analyze the financial performance of energy and renewable energy mutual funds using conditional and unconditional models. To this end, we have a sample of 4496 mutual funds commercialized in Europe in the period 2007–2018. Our results indicate that renewable energy mutual funds perform similarly to the market using conditional models. However, they underperform their conventional peers using a specialized market benchmark, reaching similar performance to black energy funds. While the total expense ratio negatively affects renewable energy financial performance, other fund characteristics, such as size or Socially Responsible Investing (SRI) certification, do not affect it. • This study analyzes the financial performance of energy and renewable energy funds. • This study implements conditional and unconditional models. • Renewable energy funds perform similarly to the market using conditional models. • Renewable energy funds underperform their conventional peers in unconditional models. • The total expense ratio negatively affects renewable energy financial performance. [ABSTRACT FROM AUTHOR]

Network effects are pivotal for understanding the mutual influence of nodes within a network. The homogeneous group structure holds significant importance across networks in various fields. This paper introduces the Classifier- L 2 regularized approach for homogeneous analysis of network effects under the network autoregressive model. This approach offers high flexibility with data constraints and provides a completely data-driven procedure. Analysis of international trade data offers meaningful perspectives for refining trade policies. Empirical results derived from Chinese mutual fund data, both before and after the outbreak of the COVID-19 pandemic, provide valuable insights for mitigating potential risks. • The classifier-l2 regularized approach is proposed for analyzing homogeneous network effects. • Analysis of international trade data provides useful insights into the relative standing and network influence of countries in global trade. • Empirical results of Chinese mutual fund data, both before and after the outbreak of the COVID-19 pandemic, provide valuable insights for mitigating potential risks. [ABSTRACT FROM AUTHOR]

Increasingly communities and government are using sporting, recreation and festival events as drivers of economic growth in regional areas, particularly where these can be used to align with tourism activities. However a key challenge is to evaluate and prioritise investments in facilities and services for these types of events. It is difficult for local government and communities to identify exactly which opportunities to pursue, because of issues such as the large costs involved in providing infrastructure, maintaining facilities and hosting events, competition from other centres, the variety of sport and recreation possibilities, and the variation in potential market segments. In this paper we develop a framework to evaluate proposals as well as provide a simple assessment tool to help prioritise between options. A case study application to a regional city in Queensland, Australia, demonstrates that the majority of economic benefits from a sporting event can be estimated as the number of extra visitor nights generated by $45 per visitor night. For this case study, these benefits should be at least equal or greater than any investment of public funds. [ABSTRACT FROM AUTHOR]

• We investigate the determinants and performance implications of cash holdings for a large sample of EU equity funds. • EU cash holdings are influenced by a fund's fee structure, past flows and flow volatility, and a fund's investment strategy. • EU funds with high abnormal cash earn higher risk-adjusted returns than their low abnormal cash peers over the subsequent six-months period. • This outperformance disappears after 12–18 months. We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly influenced by a fund's fee structure, past flows and flow volatility, and a fund's investment strategy. EU Funds with cash holdings in excess of the level predicted by fund attributes (i.e., high abnormal cash funds) earn higher risk-adjusted returns of 0.48% than their low abnormal cash peers over the subsequent six-months period. However, this outperformance disappears after 12–months. [ABSTRACT FROM AUTHOR]

Abstract Mutual funds grant retail investors access to professional asset management and facilitate exposure to financial markets. The academic literature and regulators have traditionally focused on issues such as portfolio diversification, performance, liquidity, and management fees in attempts to analyze and improve market efficiency. Scarce attention has been paid to market risk management. There is unanimity on this issue throughout the world. The lack of regulatory attention creates a gap, which is partially covered by mutual fund rating agents and asset management analysts. Those agents base their ratings on various rating methodologies — which engenders a wide array of difficulties, especially for retail investors. We employ proprietary data on historic mutual fund ratings in Israel and show that retail investors do not necessarily benefit from this diversity of opinions. Furthermore, we find that the voluntary implementation of quantitative risk measurement techniques by certain mutual funds tends to be associated with fewer outflows and greater inflows in these funds. Interestingly, the application of (backward-looking) value-at-risk analysis is associated with fewer outflows, while (forward-looking) stress-testing techniques are associated with greater inflows. Given the similarity of mutual fund industry environments across the globe, our results have worldwide applicability. Highlights • Implementation of risk measurement leads to greater flows to mutual funds. • Value-at-risk analysis is associated with fewer outflows. • Stress-testing techniques are associated with greater inflows. • Our results have worldwide applicability. [ABSTRACT FROM AUTHOR]

Abstract Does mutual fund investment deter accounting fraud? Using a bivariate probit model, this study examines the relationship between mutual funds and accounting fraud between 2007 and 2014. We observed mutual fund investment has significantly higher levels of fraud detection, reducing firms' propensity to commit fraud. This validates Chinese regulators' efforts to develop mutual funds to address accounting fraud. Open-end mutual funds outperform closed-end mutual funds in detecting accounting fraud and reducing fraud commission; redeemable shares appear to discipline managers. This effect is moderated by state ownership of listed firms: mutual funds cannot effectively detect fraud in state-owned firms. Highlights • We examine if mutual fund investment influences accounting fraud in China. • A bivariate probit model examines this relationship over the 2007–14 period. • Mutual fund investment reduces listed firms' propensity to commit fraud • Mutual fund investment also increases the likelihood of fraud detection. • These results support regulators' efforts in China to reduce accounting fraud. [ABSTRACT FROM AUTHOR]

Highlights • We study a laboratory experiment where participants choose between two mutual funds. • In eight treatments the fee structure of the funds is varied, without changing net expected returns of the funds. • Subjects have a tendency to ignore small operating expenses fees and choose on the basis of gross, instead of net, returns. • A (one-time) front-end load leads to lock-in into one of the funds, and is used by subjects as a commitment device. • Past returns are an important determinant of choice behavior, even though participants know they have no predictive value. Abstract We present a laboratory experiment designed to investigate the effect of the fee structure on mutual fund choice. We find that subjects tend to ignore periodic and small operating expenses fees and base their decisions on gross, instead of net, returns. A fee in the form of a, much larger, front-end load leads to lock-in into one of the funds. It is used by some subjects as a commitment device, but exacerbates the decision errors of other subjects. Although past returns do not convey information about future returns, return chasing helps explain subjects' behavior. [ABSTRACT FROM AUTHOR]

Abstract This paper investigates the potential impact of the income stabilisation tool (IST), currently introduced in the European Common Agricultural Policy to reduce farmers' income risks using Italian agriculture as case study. The paper extends the existing literature by investigating the effects of two implementation issues: level of aggregation of mutual funds (MF); definition of farmers' contribution (i.e. premium) to MF. We use a simulation approach based on a FADN panel data set of 3421 farms over a period of 7 years to investigate effects on (i) farm-level income variability, (ii) the expected level and variability of indemnifications at the level of mutual funds and (iii) the distribution of net benefits from this policy instrument across the farm population. We find that the introduction of the IST would lead to a significant reduction of income variability in Italian agriculture. Our results support the establishment of a national mutual fund due to the high volatility of indemnification levels at more disaggregated (e.g. regional or sectoral) levels. In addition, our results propose that farmers' contribution to mutual funds, i.e. premiums paid, should be modulated according to farm size as this reduces the inequality of the distribution of benefits of such tool within the farm population. [ABSTRACT FROM AUTHOR]

Abstract This article attempts to collect the research data of mutual fund in Taiwan, evaluates the management performance of each fund by using the Data Envelopment Analysis and selects the mutual fund whose technical efficiency value is 1 as the investment goal. Then, this article optimizes the parameter of GRNN by using a variety of intelligence algorithms including AFSA, PSO and relatively new FOA, build the forecasting model of mutual fund net value and analyzes the prediction ability with GRNN model that is not optimized. After the compares of five prediction performance evaluation indicators, the model that optimizes the GRNN by using FOA has the highest prediction accuracy among four prediction models. [ABSTRACT FROM AUTHOR]

Abstract Purpose This paper examines dynamic preferences towards firm characteristics by domestic institutional investors (DIIs) and foreign institutional investors(FIIs) in Indian context and study temporal variation of the same across varying market swings. Design/Methodology/Approach We use quarterly institutional holding data of 1591 Indian firms between 2001 and 2015 (amounting to a total of 95460 firm-quarters) and apply a series of univariate and multivariate approaches to explore the issues mentioned above. Most related previous studies consider just one class of institutional investors like FIIs or DIIs. We augment that trend by including both DIIs and FIIs to accommodate the starkly varying nature of constraints and regulations within which FIIs and DIIs work in India. We substantiate our results from the main analysis through a series of robustness tests. Findings Our principal findings show evidence of some common institutional preferences and dislikes as well as some noticeable differences. Common preferences are manifested towards firms with existing institutional investment, higher dividend-yield, more liquidity, higher earnings-margins, existing international exposure and longer survival history in industry. Common strong dislike is visible for high leverage and high price-book stocks and for stocks with high variability in earnings. Preferences seem to be varying across different classes of institutions w.r.t some firm attributes. FIIs exhibit preferences towards ‘index-stocks’ and large stocks while both these traits are not preferred by MFs and DIIs. There is also evidence of temporal variation of these patterns across bull and bear cycles. Originality/value Overall, our results highlight both similarities and differences in institutional preferences for firm attributes in India. The findings of this study can be useful in identifying the key drivers of institutional investments and can help policy makers in emerging markets, and India in particular, in understanding, monitoring, directing and regulating institutional inflows. [ABSTRACT FROM AUTHOR]

• Our results reveal that minority managers are more likely to have attended top schools and have quantitative backgrounds. • We find strong and persistent evidence that large and racially diverse funds are more likely to hire minority managers. • We find that a female is more likely to be hired if they are a minority. • We suggest that minority managers pursue higher levels of credentials to overcome in-group bias and homophily in the mutual fund industry. Although labor force racial diversity has improved significantly over past decades, minorities remain underrepresented in finance. A lack of racial diversity is particularly worrisome in prestigious occupations. This paper examines diversity hiring in the mutual fund industry from 1991 to 2019. Our results reveal that minority managers are more likely to have attended top schools and have quantitative backgrounds. We find strong and persistent evidence that large and racially diverse funds are more likely to hire minority managers. We suggest that minority managers pursue higher levels of credentials to overcome in-group bias and homophily in the mutual fund industry. [ABSTRACT FROM AUTHOR]

The central role of the media for people's sentiment and for capital markets has been analysed by a broad range of literature, referenced from several strands of academic research. Applying a vector autoregression method to a unique set of TV news, consumer sentiment and excess flows of mutual funds, I have found evidence that daily TV news is reflected in consumer sentiment and that this reflection varies according to specific news topics. However, I have not found any evidence that this has an impact on viewers' portfolio allocation decisions. Mutual fund investors neither seem to put their money where their newly gained insights from the TV news are, nor where their sentiment is. Anchoring also appears to play a role, at least for US investors. These findings are robust in relation to different measures of fund flows and as an alternative indicator for sentiment in the news media. [Display omitted] • Using unique media data, it can be shown that TV coverage influences consumer confidence in the United States and Germany. • Behaviour varies with the main topics of the news. • However, the TV news media does not affect portfolio decisions of mutual fund investors. • The results are robust for different methods of calculating mutual fund flows. • There is also evidence of "anchoring" around certain index levels. [ABSTRACT FROM AUTHOR]

Abstract Dimensionality reduction is an important preprocessing step to improve the performance of machine learning algorithms. Feature selection methods can efficiently speed up the learning process and improve the overall classification accuracy by reducing the computational complexity. Among the feature selection methods, multivariate methods are more effective in removing irrelevant and redundant features. An efficient multivariate feature selection method, optimization method, called ‘graph clustering based ant colony optimization (GCACO)’ has been recently introduced and shown to outperform other well-known feature selection methods. In the GCACO, features are divided into communities (clusters) in the entire feature space represented as a graph by an efficient community detection algorithm. An ACO-based search strategy is then used to select an optimal feature subset from the initial set of features. In this paper, a modified GCACO algorithm called MGCACO is presented to significantly improve the performance of the GCACO. Performance of the MGCACO algorithm was assessed by testing it on several standard benchmark datasets and sleep EEG data. The performance of the MGCACO was compared to those obtained using the original GCACO and other well-known filtering methods available in the literature. The MGCACO achieved superior performance over the GCACO and other univariate and multivariate algorithms with up to 10%. The MGCACO also exhibited higher efficiency in reducing the number of features all by keeping the classification accuracy maximum. [ABSTRACT FROM AUTHOR]

The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely consider investors in networking stocks and accordingly miss the exact knowledge of how panic contagion leads to abrupt crash. In this paper, by networking stocks of sharing common mutual funds, a new methodology of investigating the market crash is presented. It is surprisingly revealed that the herding, which origins in the mimic of seeking for high diversity across investment strategies to lower individual risk, will produce too-connected-to-fail stocks and reluctantly boosts the systemic risk of the entire market. Though too-connected stocks might be relatively stable during the crisis, they are so influential that a small downward fluctuation will cascade to trigger severe drops of massive successor stocks, implying that their falls might be unexpectedly amplified by the collective panic and result in the market crash. Our findings suggest that the whole picture of portfolio strategy has to be carefully supervised to reshape the stock network. [ABSTRACT FROM AUTHOR]

A burgeoning literature demonstrates how the inter-dependent relationship between the financial and real estate sectors has intensified boom-bust dynamics within urban property markets. Indeed, following the financial crisis of 2008, this articulation of increased financial risk within cities has been evidenced in the avalanche of distressed property assets and debt that accompanied the collapse of property markets internationally. However, while research has focused on the causes of the crash and its economic, social and political impacts, knowledge is less developed regarding how the link between finance and the built environment is being re-established. How are the circuits of capital into distressed property markets being rebooted in post-crisis contexts and what are the implications for the existing political economy? In response, this article explores the development of the Real Estate Investment Trust (REIT) market in Ireland as part of a wider effort to deleverage the country’s failed banking sector and to attract global, yield-seeking capital into the moribund property market. Despite their location at the nexus between financial and real estate markets, REITs have not figured highly in critical geographic discussion of the financialization of real estate. This article addresses this gap by contextualising the history, politics and geography of REITs and by stressing their urban dimensions, as well as demonstrating how they are capitalizing on the deleveraging of the Irish banking and development sectors in the interests of global financial investors. [ABSTRACT FROM AUTHOR]

This letter examines the effect of institutional ownership on corporate information transparency in Chinese listed firms. We find strong evidence that mutual fund and qualified foreign institutional investors significantly improve corporate transparency. Our results suggest that institutional shareholders play an important role in improving both corporate governance and accounting transparency and are consistent with the view that institutional investors monitor and protect the interests of minority shareholders. [ABSTRACT FROM AUTHOR]

We document a negative relation between inflation and aggregate equity mutual fund flows and hypothesize that this relation is partly due to inflation illusion on the part of investors. Inflation illusion occurs when investors fail to incorporate the effect of inflation into their estimates of nominal growth rates. Consequently, they lower their estimates of the intrinsic values of stocks and move their assets away from equities. Our results are robust to controls for alternative explanations such as inflation proxying for poorer future real cash flow growth and periods of higher inflation being associated with higher equity risk premia. [ABSTRACT FROM AUTHOR]

Using an expanded sample of emerging market (EM) mutual fund returns, we find that funds predominantly investing in EM equities have, on average, higher reward-to-risk ratios compared to benchmark indices. However, adjusted for risk factors EM funds outperform before costs but not after costs. Only growth and Chinese funds generate returns that more than recoup their costs. Local funds have an edge over their foreign counterparts, outperforming them by approximately 1.8% annually. Foreign funds tend to invest more cautiously in small-cap and growth-stocks. We also show that most funds in EMs pursuing a market-timing strategy have rather poor market-timing skills negatively affecting risk-adjusted performance measures. [ABSTRACT FROM AUTHOR]

This study complements the scarce literature on conditional market timing in the mutual fund industry by assessing determinants of market timing throughout the distribution of market exposure. It builds on the intuition that the degree of responsiveness by fund managers to investigated factors (aggregate liquidity, information asymmetry, volatility and market excess return) is contingent on their levels of market exposure. To this end, we use a panel of 1467 active open-end mutual funds for the period 2004–2013. Fund-specific time-dynamic beta is employed and we avail room for more policy implications by disaggregating the dataset into market fundamentals of: equity, fixed income, allocation and tax preferred. The empirical evidence is based on Quantile regressions. The following findings are established. First, there is consistent positive threshold evidence of volatility and market return in market timing, with the slim exception of allocation funds for which the pattern of volatility is either U- or S-shaped. Second, the effect of volatility and market return are consistently positive and negative respectively in the bottom and top quintiles of market exposure, but not for allocation funds. Third, the effects of information asymmetry and aggregate liquidity are positive and negative, contingent on specifications, level of market exposure and market fundamentals. The findings broadly suggest that blanket responses of market exposures to investigated factors are unlikely to represent feasible strategies for fund managers unless they are contingent on initial levels of market exposure and tailored differently across ‘highly exposed’-fund managers and ‘lowly exposed’-fund managers. Implications for investors and fund managers are discussed. [ABSTRACT FROM AUTHOR]

Lottery stocks have been shown to severely underperform on average. I find that from 1980 to 2016, while the average stock held by U.S. equity mutual fund managers outperforms those they do not hold by 3.8% per year, lottery stocks held by mutual funds outperform those they avoid by 24%. I find that a fund's loading on lottery stocks is a good predictor of future performance. Lottery stock loading is also correlated with various measures of fund manager skill. Investors can benefit from this information either to find skillful fund managers or to build a profitable copycat portfolio. • Past results show that Lottery Stocks underperform non-lottery stocks. • Lottery stocks held by mutual fund managers strongly outperform all other stocks. • Some fund managers seem to have skill to pick winners within the Lottery Stock group. • The loading on Lottery Stocks is also correlated with other measures of skill. • Investors can benefit by picking a skillful fund manager, or through copycatting. [ABSTRACT FROM AUTHOR]

Financial development and stock markets have been widely considered to be key factors in economic growth. Among institutional investors, mutual funds play a key role in providing financial resources to stock markets, particularly in developing countries. Different from other investments, mutual fund flows could be affected by retail investors’ behavior and their overreaction to specific events. We considered 78 equity mutual funds that are geographically specialized in African countries and observed monthly flows and performance for the period of 2006–2015. We find that two major events, Ebola and the Arab Spring, significantly affected the fund flows, controlling for fund performance, expenses and market returns. Retail investors over-reacted to these major events, withdrawing their savings from the African mutual funds. This result is particularly strong when connected to the media coverage of these events: the higher the number of articles about Arab Spring and Ebola, the higher the withdrawals. These irrational investors’ behavior damaged the funds’ managers market timing ability, and reduced the equity capital injection into African stock markets. Our results have several implications for both holders of frontier market mutual funds and the overall asset management industry. [ABSTRACT FROM AUTHOR]

In May 2013, the U.S. Federal Reserve announced the beginning of the end of the program of monthly security purchases, the so-called “tapering.” The announcement was associated with large investor outflows from EM funds and large fund re-allocations across countries and stocks. Unexpected flow-implied fund upward (downward) allocations are associated with positive (negative) individual security returns following the announcement. The effect is pronounced in EM stocks that had positive cumulative abnormal returns around earlier Federal Reserve asset-purchase announcements leading up to the taper. It is concentrated in more liquid, smaller capitalization stocks and is stronger for forced trades among funds with more active country bets. [ABSTRACT FROM AUTHOR]

We investigate the empirical relationship between aggregate mutual fund flows and stock market volatility in Asian emerging markets by providing a comparative analysis of equity and balanced funds with market-wide volatility. Using a panel vector autoregressive model, we find that market volatility increases with increase in equity fund flows. However, it decreases with increase in balanced fund flows suggesting rational investment behaviour of balanced mutual funds. In addition, equity funds follow the market volatility positively, suggesting positive feedback trading (momentum) behaviour. On the other hand, balanced funds follow market volatility negatively and exhibit negative feedback trading behaviour (contrarian behaviour). We also show that macroeconomic variables influence both fund flows and market volatility. We discuss the implications of the findings for policy makers and portfolio managers. [ABSTRACT FROM AUTHOR]

We studied the financial performance of alternative energy mutual funds using multifactor models and propensity score matching techniques. For a sample of alternative energy mutual funds quoted in EUR and in USD for the period 2010–2016, we found that alternative energy funds underperformed corporate and socially responsible mutual funds in terms of returns and downside risk protection. Our results are consistent with the idea that investors are paying a premium for going green via renewable energies. [ABSTRACT FROM AUTHOR]

This paper examines the emergence of the latest powerful structure of the Intelligent Real Estate Investment Trust (iREIT) model: when real estate investment model is empowered by information technology online platform. iREIT is known as a revolutionary and controversial topic since it was born in terms of breaking the ‘glassing ceiling’ that real estate investment became no longer exclusively reserved for high net worth individuals. The barrier of entry is significantly reduced to $1000 USD for anybody who would like to diversify his/her investment portfolio. The originality and invaluable contributions of this paper are twofold: (a) a Trend Following (TF) trading strategy is applied to test the possibility and sustainability of 13% annual returns as some iREIT companies stated. Two modifications on TF are tested here, one is to extend TF over multiple markets, the other is to combine the use of forecasting tool that would predict a future trend. TF would give the insights on buying or selling decisions based on the moving trend patterns. (b) Assess the trend profitability from Top5 Asian countries, verify whether the best practices of the diversified real estate investment portfolio for iREIT exists, hence to explore the possibility of auto-investment over iREIT in future. [ABSTRACT FROM AUTHOR]

For decades, the literature has questioned the role of financial advisers and the interests of investors who purchase load funds. Many conflicts of interest are stressed. To go beyond a normative approach, this paper uses the harmonized structure of the US distribution system of load funds and the consequent commissions to understand better the choice criteria of brokers. These choice criteria are unstable and are affected by risks related to the probability of withdrawal of the investor and the performance of the fund. This model may be used to provide explanations for the allocation of funds among share classes. [ABSTRACT FROM AUTHOR]

• This study explores how EMA-approved vaccinations affect EU stock fund results. • This study applied event study methodology. • The study indicates all vaccines increased fund returns. • Early vaccinations had higher abnormal returns, indicating the first-mover advantage. • The findings imply that stock markets embraced vaccines to increase firm business. In this paper, we analyze the impact of the marketing authorization of EMA-approved vaccines on the returns of equity funds in the EU. Using the event study methodology, we report that the introduction of all vaccines had a positive impact on the funds' returns. Higher abnormal returns were associated with the earlier vaccines, indicating the first-mover advantage and the abnormal returns were persistent across several event windows. The findings imply that equity markets welcomed the vaccine administration as an important pharmaceutical intervention to support the quasi-revival of business activities. Consequently, there was a significant uplift in the economic bottom line. [ABSTRACT FROM AUTHOR]

Mutual funds with managers who share a work connection have greater overlap in portfolio holdings, equity purchases, and equity sales. This relationship develops after a work connection begins and persists after the connection ends. Several tests to mitigate endogeneity concerns provide supportive evidence of a causal interpretation that work connections lead to the sharing of investment ideas among mutual fund managers. Tests on reciprocal trading suggest that quid pro quo expectations motivate managers to share valuable investment ideas. • Mutual funds with connected managers have greater overlap in portfolio holdings. • Connected equity purchases outperform non-connected purchases. • Quid pro quo expectations motivate managers to share valuable investment ideas. [ABSTRACT FROM AUTHOR]

• The intra-family TD is higher with fewer interactions between funds and managers. • The intra-family TD is higher with a smaller average portion of TNA per a manager. • The intra-family TD is higher as the percentage of male managers increases. • The intra-family TD has a significantly positive influence on performance. • The ability to differentiate the fund family from others provides better results. We examine the influence of managerial structures and characteristics on the level of trading divergence among fund families as well as their effects on the subsequent performance of those families. Fund families with fewer interactions between their funds and managers tend to diverge more in their trading decisions. We find a positive influence of this divergence on the performance of fund families not only in competitive but also in cooperative environments. This finding shows that if cooperation leads a fund family to make different trading decisions than their competitors, they have better results. [ABSTRACT FROM AUTHOR]