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Limited partners allocate capital into venture capital funds with the expectation of a risk-return profile matching the fund's investment style in terms of startup investment stage, location and industry. This paper draws a connection between style drifts in these three dimensions and the connected risk-taking attitude of the general partner. By analyzing a sample of 31,521 investments with respect to the motivation for style drifts, this paper seeks to answer whether style drifts are deliberate risk-shifts or happen out of competitive pressure. The results suggest that venture capitalists increase risk, when they have strong past performance and public markets are bullish in order to make the most of the balance of compensation and employment incentives. This balancing most likely constitutes an agency conflict between limited partners and general partners. Further, results show that most risky style drifts have a negative impact on the probability of a successful exit even after controlling for performance persistence and endogeneity. Finally, the findings show that aggregate style drift has a negative effect on a fund's performance measured as its exit rate.

Asset managers are increasingly incorporating equity factors that deviate from traditional academic definitions in their stock selection process. The authors show that these factors frequently exhibit strong industry biases, making it crucial to understand the interaction between factor exposure and traditional industry exposure. Industry exposure plays a major role in the risk profile of a portfolio, making unintended industry exposures costly. For an extensive set of 21 equity factors, beyond the standard academic factors, the authors examine which equity factors are rewarded for their industry allocation. This set spans the value, quality, momentum, low-volatility, and size investment styles. The authors use a global and liquid investment universe, as is commonly used by large institutional asset managers. They find that equity factors from the same investment style, most notably momentum and quality, exhibit strong differences in their returns from industry allocation. Understanding the interaction between factors and industry exposures can lead to higher return premiums and lower portfolio volatility without harming performance. Key Findings ▪ Asset managers are increasingly using nontraditional equity factors to select stocks. Many of these factors have biases toward and away from certain industries. ▪ Some equity factors are rewarded for industry exposure; for others, this is an unrewarded risk. We assess industry allocation efficacy for 21 equity factors. ▪ Industry allocation efficacy differs significantly across equity factors, even among factors associated with the same investment style.

Purpose This study aims to analyze the returns obtained from companies with strong growth potential (growth stocks) and the returns from companies with quite low stock prices, but with high value (value stocks). Design/methodology/approach The sample comprises monthly data, from January 2002 to December 2016, from seven countries, Germany, France, Switzerland, the UK, Portugal, the USA and Japan. The authors have used linear regression models for three different periods, the pre-crisis, subprime crisis and post-crisis period. Findings The results point out that the performance of value and growth stocks differs from different periods surrounding the global financial crisis. In fact, for six countries, value stocks outperformed growth stocks in the period that precedes the subprime crisis and during the crisis, this tendency remained only for France, Portugal and Japan. This trend changed in the period following the crisis. The results also show that investor sentiment has a robust significance in value and growth stock returns, mostly in the period before the crisis, highlighting that the investor sentiment is more significant in the moments that the value stocks outperformed. Originality/value As far as the authors know, this is the first work that, taking into account the future research lines of Capaul et al. (1993), investigates whether the results obtained by those authors remain current, meeting the authors’ challenge and covering the gap of recent studies on the performance of value and growth stocks. Besides, the authors have introduced a new country, heavily punished by both the global financial crisis and the sovereign debt crisis to understand whether there are significant differences in investment styles and whether this is related to the different economies. Also, in this context, the authors were pioneers in adding investor sentiment as an exogenous variable in the influence of stock returns.

Investor attracting and keeping requires both successful management of a company’s financial performance and an investor’s behavior knowledge, as well as monitoring of stock market current trends. This paper contains the study results on the influence of public companies’ financial performance on Tobin’s q as a common measure of investment opportunity for dividend (income) investors and growth investors in conditions of competition and financing limitations. The goal of this article is to identify the financial performance indicators of public companies, influencing their Tobin’s q, for dividend (income) investing and growth investing respectively. We determined that the proxies for the variables of the Tobin’s q function should be different for different investment styles. For this reason, we composed two sets of financial ratios that reflect financial performance specifics of dividend (income) stock companies and growth stock companies for the quantitative assessment of these investor types’ preferences. The analysis results led to the conclusion that a company can attract attention of dividend (income) investors by demonstrating higher levels of dividend payments. Whereas, growth investors are sensitive to the level of company’s business activities, which is related to its revenue. Based on the results of this study, we believe that investment decisions’ successfulness depends on the reliability of the issuer’s financial statements. In our conclusions, we suggest that public companies’ managers focus on the financial performance that best correlate with the preferences of certain type of investors, which is a promising way to attract and keep their investors.

This study empirically investigates the comparative performance of four portfolios— Indonesia Shariah Stock Index (ISSI), socially responsible investing (SRI), conventional, and Islamic-SRI portfolios—in Indonesia, of which the last integrates an Islamic portfolio into an SRI portfolio (henceforth, ISRI or the ISRI portfolio), to test whether the ISRI portfolio matters by addressing the two specific issues: first, the degree to which investment performance from the ISRI portfolio is different from the other portfolios; second, whether the ISRI portfolio has better time-varying performance than the other portfolios. Overall, this study provides evidence that the ISRI portfolio outperforms the other three types. Investing in the ISRI portfolio provides more flexibility in term of investment style. Hence, integrating Islamic screening into SRI/environmental, social, and governance screening is a reasonable way to implement Islamic values in “modern” investment. The relevant policies should be adjusted.

Purpose The paper aims to investigate the performance determinants of European non-listed private equity real estate funds between 2001 and 2014. Design/methodology/approach Using a sample of 363 funds collected from the Inrev database, the analysis evaluated the impact of fees and other intrinsic characteristics of these funds, such as leverage, size and duration, on the funds’ performance, intending to enhance the understanding underlying their relationship. Findings The findings show a negative relationship between the return of the funds and redemption fee, performance fee and management fee. Conversely, marketing fees have a positive effect on performance. When analyzing the investment style, the results reveal inhomogeneous behaviors of leverage on funds’ performance. This variable has a positive impact on the return in core funds, while there is a negative relationship in value-added investments. Finally, the emphasis on the global financial crisis shows that the effects of the independent variables on the performance do not significantly change in different economic cycles. Practical implications The practical implication of the research is to understand whether an investor can direct its resources in a fund, leveraging on certain intrinsic characteristics that can be observed a priori. Originality/value Even if there is a considerable body of literature on determinants of performance in European non-listed real estate funds, little research has analyzed the role of fees in driving their results. Besides, this paper takes advantage of observations from different investment styles to emphasize the impact of higher or lower risk profiles and from the full economic cycle to understand the effects of the crisis period.

In this paper, techniques proper to complex networks studies have been applied to analyze features of theinvestment styles and similarities in the Italian pension funds. The analysis has been developed through interdisciplinaryapproaches. First, we look at the node degree distributions; next, we consider the centrality measures,like betweenness and closeness. Results indicate that the network of funds is dense and assortative, withshort path lengths. Moreover, through community detection algorithms, it is found that many funds show similarfeatures. In particular, the network of benchmarks is far from being dense, is characterized by hubs, and isdisassortative. Furthermore, the insertion of weights does not produce dramatic changes in the centralitymeasures, but it blurs the communities. Still, the k-core and the highest k-shell do properly evidence the mostpopular benchmarks. In conclusion, the network structure of the Italian pension funds, without taking intoaccount information from weights, seems to contain already sufficient information for detecting similarities ininvestments styles.

How do tactical asset allocation funds compare with a portfolio of index ETFs having the same investment style and bond- and foreign-market-augmented same-style Fama–French benchmarks? The authors find that portfolios of equally weighted TAA funds under-returned corresponding portfolios of index ETFs by gaps ranging from 1.77% to 5.15% per year, and corresponding Fama–French benchmarks by gaps ranging from 1.92% per year to 5.08% per year. TOPICS:Portfolio construction, exchange-traded funds and applications, factor-based models, performance measurement Key Findings ▪ Tactical asset allocation mutual funds and fund-of-fund ETFs substantially under-return static index funds that have the same style. ▪ The α’s from Fama–French multifactor models can be thought of as the extent to which an asset out-returns a benchmark consisting of long and short positions in various assets, with the portfolio shares in these positions described by their β’s. ▪ The α’s and β’s from the Fama–French regression models are identical to those calculated using Sharpe’s technique of performance measurement when the Sharpe benchmark weights are invariant during the same period as the Fama–French regression.

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers. Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017. Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy. Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies. Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection. Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds. Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

This paper mainly studies whether the inclusion of China’s A-shares in the MSCI (Morgan Stanley Capital International) index improved the trading activity. Taking all China’s A-share stocks as samples and using the trading data of four years from 2016 to 2019, this paper designs corresponding Difference-in-Difference models and conducts empirical research. It is found that the inclusion of MSCI index does reduce the turnover rate of stocks and the level of activity in stock trading decrease. Two reasons account for this: on the one hand, institutional investors with more long-term capital and more robust investment styles have entered into A-share market; on the other hand, investors have become relatively more consistent in the value of the MSCI component stocks because of the highly recognition of global capital markets.

In this paper, we assess the relationship between risk-shifting of mutual funds, measured as benchmark-adjusted factor-based investment style change following a structural break, and their risk-adjusted performance. We isolate only the breaks in style risk beyond those embedded in the funds’ benchmark index to eliminate any natural style risk changes resulting from varying company fundamentals over time. We group style risk changes into extreme (style rotation), moderate (style drifting), and weak (style-strengthening/weakening) and assess which investment style category is most profitable to shift in to and out of. Our findings show that funds that exhibit breaks generate overall better risk-adjusted performance than those that do not. Funds that are most successful in risk-shifting have both statistically and economically distinct risk-adjusted performance, make shifts towards small/large/value/growth style combinations rather than mid-cap and blend style, exhibit breaks less frequently and has more moderate risk-shifts than funds that are unsuccessful.

The main objective of this study is to examine fund performance across different investment styles. Using a large sample of US mutual funds, we evaluate fund performance in relation to investment s...

A convenient way to apply Fama–French factor models in empirical research is to use factor returns downloaded from databases like Kenneth French’s data library. These factors are usually provided in US dollars—for both US and non-US stock markets. But when evaluating non-US data samples from a non-US-dollar investor’s perspective (e.g., European funds from a EUR perspective), the authors maintain that the downloaded factors need to be converted into the respective non-US-dollar currency. They show how to convert the currencies of downloaded factors and illustrate the statistical and practical relevance of the currency conversion based on passive index returns of the MSCI Europe IMI and the returns of actively managed European equity funds from a EUR perspective. Their findings show that neglecting currency conversion results in skewed estimated alphas and factor loadings. The currency conversion of downloaded factors is thus relevant in drawing reliable conclusions when applying time-series or cross-sectional factor models from a non-US dollar perspective. TOPICS:Currency, factor-based models, performance measurement Key Findings ▪ Factor returns downloaded from databases like Kenneth French’s data library are often applied in common factor models. Depending on the investor’s perspective, these factors may require currency conversion to generate reliable alpha and beta estimates. ▪ The adequate currency conversion formulas are straightforward and can be applied to long and long–short factors. ▪ Currency conversion of factors is not a technical exercise. Empirical analysis of a broad sample of equity funds shows that ignoring currency conversion can produce misleading conclusions on performance and investment styles.

In the United States, retail investors rely heavily on the mutual fund industry to meet long-term objectives such as preparing for retirement. One segment of the mutual fund industry identifies as value stock funds, while another identifies as growth stock funds. Anecdotal evidence suggests that mutual funds in both categories deviate from their stated style for some of their purchases. We identify what proportion of each types’ funds are invested in crossover stocks that do not fit the funds’ stated investment styles and whether this deviation earns abnormal positive returns. We find that mutual fund managers frequently hold stocks outside their identified style; this effect is larger for value fund managers holding growth stocks. We find that, on average, growth fund managers earn higher returns than their index on these “crossover” stock holdings. We conduct a simple attribution analysis and provide weak evidence that managers of large-cap growth funds can time their investment in value stocks, and strong evidence that both large and small-cap growth fund managers can successfully select underpriced value stocks. The same is not true of value fund managers. TOPICS:Exchange-traded funds and applications, mutual fund performance, manager selection Key Findings • Managers of value funds, particularly small-cap value funds, frequently and consistently deviate from their stated fund objective. • Deviating from fund style does not generate excess returns for value fund managers by either timing or selection. • Growth fund managers generate excess returns by investing in value stocks, particularly from selecting underpriced Value stocks, though they deviate from style less often.

PurposeThough exchange-traded funds (ETFs) are similar to mutual funds, we identify several reasons how they are different based on their structure and trading characteristics. Therefore, we argue that the determinants of fund closure decisions for ETFs will not be the same as the mutual funds. We systematically explore those factors.Design/methodology/approachWe use Cox Proportional Hazard model, which is considered a superior method, over the logistic regression models. All previous studies are based on logistic regressions.FindingsWe investigate the closure rate of ETFs over the 1995–2018 sample period. We find that the first three years are the most critical period for the survival of ETFs. Our full sample results show that early fund performance, the investment style of the fund, the expense ratio and fund family size are the most relevant factors influencing the likelihood of closure. When we consider equity-only funds, we find that key factors that influence fund closure are early fund performance, the expense ratio, failure to grow the fund's assets relatively quickly and the equity investment category of the fund.Research limitations/implicationsTracking error could be a significant factor. However, we have several missing values in the data. Therefore, we are forced to drop that variable. However, we use the SD of daily returns in lieu of that. Similarly, we were constrained by the availability of data for the equity style box scores.Practical implicationsOur study suggests that individual investors will be better off by investing in ETFs that are at least three-year to four-year old. If individuals want to invest in ETFs from the date of inception, the probability of survival is higher for an ETF within a larger fund family.Social implicationsHopefully, our research will attract the attention of CFPB and provide a warning to individual investors when they choose to invest in ETFs. More and more ETFs are getting included in retirement savings. So, abrupt ETF closures are likely to have large social implications for the future.Originality/valueWe are the first to use Cox Proportional Hazard model. We base our arguments from latest research on ETFs that the one earlier paper on ETF closure has missed. So, we examine the issue in a more systematic way.

Existing empirical studies assert that there is significant cross-sectional variation in the risk-adjusted returns of hedge funds, and that their performance is affected by manager characteristics such as education. However, when analyzing the impact of manager characteristics, prior research does not control for the difference in liquidity. In this study we find that manager education affects the liquidity of hedge fund shares and assets; on average, managers educated in elite institutions impose stronger share restrictions and thus can better manage illiquid assets to generate a liquidity premium. We also find that manager education affects the survival of hedge funds, but that the CFA designation has a stronger impact. From 1994 to 2015, the hazard rate of CFA funds was 13.6% lower, and the difference was significant after controlling for risk, return, and investment style effects. Our findings are important because the search and due diligence process is costly for investors such as pension funds—and survival rates reduce costs. TOPICS:Performance measurement, manager selection, style investing Key Findings • Manager characteristics such as education affect the liquidity of hedge fund shares and assets. On average, hedge funds whose managers were educated in elite institutions imposed stronger share restrictions and invested in more illiquid assets than other funds did. • Share restrictions enable funds to better manage illiquid assets, and the skills and alumni networks of managers contribute to this advantage. This article shows that the major driving force is trust inspired by the reputation and network of elite institutions. • The educational backgrounds and certification of hedge fund managers are related not only to the liquidity premium that long-horizon investors can earn, but also to the lower search costs due to the higher survival rates.

The likelihood of pandemics has been perceived very low till very recently. Therefore, the exponential spread of Covid-19 was a major surprise that has resulted in a global rout of financial markets. In this study, we document some preliminary evidence of performance and investment styles of European funds during the evolution of Covid-19. We assess the period between January and May 2020 and categorized the spread of contagion in three phases. The results document that Social Entrepreneurship funds demonstrated positive returns across the three phases, while most of the other subcategories plunged into negative zone. Our findings on style analysis suggest that fund managers have been drifting from high risk option to low risk in terms of size and investment strategy. Similarly, there has been a switch from high risk to relatively less sensitive sectors and a transition of investment from countries with higher to those with lower number of cases.

The paper investigates usefulness of a rebalancing strategy that was proposed in 2014 by Boďa and Roháčová and is based on ideas borrowed from the managerial concept Six Sigma. Centring upon a small investor who is willing to invest into S&P 500 Index components in an attempt to track the S&P 500 Index, the paper compares the performance of different rebalancing strategies for four different sets of monthly data ranging from 2011 to 2017. Rebalancing is undertaken on a monthly basis and tracking portfolios are diversified by investing in proportions into stocks belonging to investment styles defined by size (big/small caps) and market-to-book ratio (growth/value stocks). The results show that the Six Sigma rebalancing strategy is superior in a transaction-cost-free environment, but when transaction costs are accounted for, it is dominated by the buy-and hold strategy and a liberal threshold rebalancing strategy. Overall, periodic rebalancing fares unsatisfactorily with respect to criteria adopted for performance assessment.

This study provides finer-grained results on the financial effectiveness of ESG integration for mainstream active investment styles. We account for firm size, industry and country effects within ESG scores and introduce the concept of ESG risk materiality. Empirical evidence shows that US and European investors can raise their portfolio’s ESG level and increase risk-adjusted performance at the same time. Therefore, we add to the growing demand for sustainable products in the traditional investment industry and overcome the notion of ESG integration being a burden to traditional investment strategies.

We look at a technique of classification, based on convergent and divergent patterns of returns that has been applied to hedge funds and alternative investments, and apply it to US equity investment styles with a particular interest in ESG. We extend the technique by looking at the impact of price changes on factor-mimicking portfolio weights. This analysis leads to powerful insights into style return dynamics. In particular, an ESG-ranked long-short portfolio looks more like momentum than value.

Using a novel style identification procedure, we show that style-shifting is a dynamic strategy commonly used by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from January 1994 to December 2013. We perform empirical tests of two hypotheses for the motivations of hedge fund style-shifting, namely backward-looking and forward-looking hypotheses. We find no evidence that style-shifting funds are backward-looking. Instead, we show evidence that managers of style-shifting funds exhibit both style-timing ability and the skill of generating abnormal returns in new styles. The new styles that hedge funds shift to on average outperform their old styles by 0.76% and style-shifting funds on average outperform their new style benchmark by 1.10% over the subsequent 12-month horizon. Finally, we show that small funds, winner funds, and funds with net inflows are more likely to shift styles. This paper was accepted by David Simchi-Levi, finance.

This thesis investigates commodity risk premia in the context of modern portfolio management. It focuses on portfolio allocation methods to better capture the risk premia, the strategic role of commodity risk premia in multi- asset portfolios, and whether sophisticated modelling techniques, including machine learning methods, can be used to exploit information from the state of the economy and financial markets to capture the commodity risk premia. In the first empirical study presented in Chapter 2, we examine whether more sophisticated weighting schemes lead to stronger performance of commodity investment portfolios due to an enhanced capacity to capture risk premia. We go beyond the naive equally weighted portfolio that dominates the commodity literature, and consider sophisticated portfolio allocations (i.e., utility optimization, mean variance optimization, risk minimization, and risk timing) to improve the performance characteristics of the investment portfolios. Portfolios are long-short and are constructed using momentum or term structure signals. Three variations of utility function optimization (i.e., power utility, power utility with disappointment aversion, and negative exponential utility) and several variations of risk timing methods (i.e., volatility timing, reward-to-risk timing, beta timing, Value-at-Risk timing, and conditional Value-at-Risk timing) are implemented. We show that risk timing and risk minimization weighting schemes lead to desirable portfolio characteristics such as greater risk-adjusted returns for most of the investigated portfolios. In addition to momentum and term structure signals, strong results persist when alternative methods are used based on hedging pressure or basis momentum in the formation of long-short portfolios. We find the results to be robust to transaction costs, liquidity risk and the choice of model parameters and confirm they are not an artefact of data mining. The second empirical study is presented in Chapter 3. In this study, we assess the benefits of a strategic allocation to commodities in multi-asset portfolios. Traditional portfolios of equities and bonds are constructed using various exposures and allocation methods. The traditional portfolios are then augmented with commodity exposures, and the performance of these combined portfolios are measured and compared against their traditional counterparts that exclude commodities. A range of commodity allocations are considered which include naive and simple exposures, to act as benchmarks, and more sophisticated long and long-short portfolios based on integrating various investment styles. More specifically, an integrated signal consisting of momentum, value, term structure, skewness, and speculative pressure stimuli is responsible for the sophisticated commodity allocations. With respect to equities and bonds, various allocations are considered including traditional and widely-used indices, style-integrated futures portfolios, and equity style portfolios such as size, value, and trend-following portfolios. Different portfolio weighting schemes (i.e., naive equally weighted, weights based on utility maximization, and risk timing) are implemented to assess the importance of allocation methods. The results show that investment portfolios that include style-integrated commodity exposures exhibit improved out-of- sample risk-adjusted returns and drawdown measures that are statistically significant compared to traditional portfolios. The benefits are present for both long-only and long-short allocations, irrespective of the type of equity or fixed income allocations. Furthermore, naive commodity allocations fail to add value to traditional portfolios. Chapter 4 presents the third and final empirical study, focusing on capturing commodity risk premia using a large dataset of macroeconomic and financial variables. Specifically, we construct linear and nonlinear predictive models to study the linkage between 128 macroeconomic and financial predictors representing the state of the economy, an unobservable variable, and subsequent commodity futures returns. Linear models consist of predictive regression models employing two shrinkage methods to reduce the dimensionality of the large predictor set. Shrinkage is done either naively by producing one factor from the standardized average of the predictors or by selecting the first few principal components of the predictors in lieu of the full cross section. Nonlinear techniques consist of machine learning methods, centred on two alternative approaches. One alternative utilizes a deep neural network, while the other combines the deep neural network with a recurrent neural network, namely, the long short-term memory network. Based on positive results from all four methods, we conclude that the state of the economy carries information about commodity risk premia which can be realized via constructing profitable portfolios. We also show that the performance is strongest for the combination of feedforward and recurrent networks and that the risk premium is unrelated to, and exceeds, those earned on previously- published characteristic-sorted portfolios. We show our results are robust to liquidity risk, transaction costs, and positive performance persists across various market environments.

Investment style, comprising generic-style and specific-style, is the real estate investment management approach adopted by REIT management in guiding the construction of their portfolios. These portfolios would have distinctive return and risk performance reflecting the stated risk and return underlying the investment vision. Using quantitative and qualitative approaches, this study identified the investment style of each M-REIT listed on Bursa Malaysia. Using the generic-style criteria and analysis, M-REITs are found to have pursued passive and value strategies aided by a top-down approach to their property portfolio management. Whilst results of the specific style analysis show that core portfolios have produced a lower risk-return ratio compared to value-added and opportunistic portfolios. These findings will benefit investors by guiding their investment decision making in constructing their investment portfolios and also in deciding ways to achieve diversification.

This chapter identifies differences in hedge fund and private equity strategies in terms of investments, strategies, and fundamental terms. These underlying structural differences have implications for the type of investor attracted to each investment style. Previously, investment decisions could be made on a set of trade-offs, but increased competition in the hedge fund industry is now the main factor driving the type of fund operating and competing in investment markets. This chapter describes the terms and conditions which address fund formation and operation, fees and expenses, profit sharing and distributions, as well as corporate governance. No matter how appealing the prospects of hedge fund and private equity convergence, there are significant concerns: can both types of fund combine different investment styles without affecting the level of returns?; can the transition toward financial convergence be blocked if hedge fund investors object to valuations based on subjective, and not actual, market trading?;can ‘side pockets’ in a hedge fund be isolated from the costs of accounting for the two streams of capital?

The use of social media, which is among the most basic purposes of internet use, has also begun to shape people’s investment tools and investment styles. As a result of increasing interest in recent years, thousands of crypto-currencies have been put into use. Investors invest in these currencies through personal research and referrals. Social media sites, on the other hand, have taken their place among the most effective tools in directing people’s investments in this regard. For this reason, in this study, 10 crypto-currencies with a high market value were determined and people’s reactions on social media were examined. More than 1 million Tweet data were obtained from Twitter with the determined keywords and these data were analyzed by frequency analysis method. In the study, the guidance and manipulation findings of crypto-currencies over social media were also mentioned and the results of the study were explained. Suggestions for areas where the study could be expanded were also made.

This research aims to study the applicability of the Fama-French five-factor model in the Meals Industry of the US stock market, and then analyzes and interprets the industry based on the background of the COVID-19 pandemic. This model considers five factors namely market, size, value, profitability and investment in explaining the cross-sectional variations. Due to the outbreak of COVID-19, the world economy experienced a huge impact. It is an important and hot topic to study the changes in the world economy before and after the pandemic. The research subject of this paper is the US stock market of the Meals Industry, and the data is selected from May 2019 to December 2020 regarding March 1st, 2020 as the flashpoint to perform multiple regression. The results have shown that the five-factor model fits well after the pandemic and the industry prefers stocks with small-cap, high book-to-market ratio, high profitability and aggressive investment style. These have implications for asset pricing, market efficiency and investment strategies in the Meals Industry of the US stock market.