ASSESSING THE PERFORMANCE OF EMERGING MARKET MUTUAL FUNDS IN CANADA

Emerging markets have received wide attention from investors around the globe because of their return potential and risk diversification. This research examines the selection and timing performance of Canadian mutual funds which invest in fixed-income and equity securities in emerging markets. We use (un)conditional two- and five-factor benchmark models that accommodate the dynamics of returns in emerging markets. We also adopt the cross-sectional bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. All the tests are conducted using a comprehensive data set of bond and equity emerging funds over the period of 1989-2011. The risk-adjusted measures of performance are estimated using the least squares method with the Newey-West adjustment for standard errors that are robust to conditional heteroskedasticity and autocorrelation. The performance statistics of the emerging funds before (after) management-related costs are insignificantly positive (significantly negative). They are sensitive to the chosen benchmark model and conditional information improves selection performance. The timing statistics are largely insignificant throughout the sample period and are not sensitive to the benchmark model. Evidence of timing and selecting abilities is obtained in a small number of funds which is not sensitive to the fees structure. We also find evidence that a majority of individual funds provide zero (very few provide positive) abnormal return before fees and a significantly negative return after fees. At the negative end of the tail of performance distribution, our resampling tests fail to reject the role of bad luck in the poor performance of funds and we conclude that most of them are merely ‘unlucky’.

Timing verification in transaction modeling

Les systèmes Matériels/Logiciels deviennent indispensables dans tous les aspects de la vie quotidienne. La présence croissante de ces systèmes dans les différents produits et services incite à trouver des méthodes pour les développer efficacement. Mais une conception efficace de ces systèmes est limitée par plusieurs facteurs, certains d'entre eux sont: la complexité croissante des applications, une augmentation de la densité d'intégration, la nature hétérogène des produits et services, la diminution de temps d’accès au marché. Une modélisation transactionnelle (TLM) est considérée comme un paradigme prometteur permettant de gérer la complexité de conception et fournissant des moyens d’exploration et de validation d'alternatives de conception à des niveaux d’abstraction élevés. Cette recherche propose une méthodologie d’expression de temps dans TLM basée sur une analyse de contraintes temporelles. Nous proposons d'utiliser une combinaison de deux paradigmes de développement pour accélérer la conception: le TLM d'une part et une méthodologie d’expression de temps entre différentes transactions d’autre part. Cette synergie nous permet de combiner dans un seul environnement des méthodes de simulation performantes et des méthodes analytiques formelles. Nous avons proposé un nouvel algorithme de vérification temporelle basé sur la procédure de linéarisation des contraintes de type min/max et une technique d'optimisation afin d'améliorer l'efficacité de l'algorithme. Nous avons complété la description mathématique de tous les types de contraintes présentées dans la littérature. Nous avons développé des méthodes d'exploration et raffinement de système de communication qui nous a permis d'utiliser les algorithmes de vérification temporelle à différents niveaux TLM. Comme il existe plusieurs définitions du TLM, dans le cadre de notre recherche, nous avons défini une méthodologie de spécification et simulation pour des systèmes Matériel/Logiciel basée sur le paradigme de TLM. Dans cette méthodologie plusieurs concepts de modélisation peuvent être considérés séparément. Basée sur l'utilisation des technologies modernes de génie logiciel telles que XML, XSLT, XSD, la programmation orientée objet et plusieurs autres fournies par l’environnement .Net, la méthodologie proposée présente une approche qui rend possible une réutilisation des modèles intermédiaires afin de faire face à la contrainte de temps d’accès au marché. Elle fournit une approche générale dans la modélisation du système qui sépare les différents aspects de conception tels que des modèles de calculs utilisés pour décrire le système à des niveaux d’abstraction multiples. En conséquence, dans le modèle du système nous pouvons clairement identifier la fonctionnalité du système sans les détails reliés aux plateformes de développement et ceci mènera à améliorer la "portabilité" du modèle d'application.

Data dilemmas in forecasting European office market rents

This paper uses data provided by three major real estate advisory firms to investigate the level and pattern of variation in the measurement of historic real estate rental values for the main European office centres. The paper assesses the extent to which the data providing organizations agree on historic market performance in terms of returns, risk and timing and examines the relationship between market maturity and agreement. The analysis suggests that at the aggregate level and for many markets, there is substantial agreement on direction, quantity and timing of market change. However, there is substantial variability in the level of agreement among cities. The paper also assesses whether the different data sets produce different explanatory models and market forecast. It is concluded that, although disagreement on the direction of market change is high for many market, the different data sets often produce similar explanatory models and predict similar relative performance.

Timing and the holding periods of institutional real estate

The literature on investors’ holding periods for equities and bonds suggest that high transaction costs are associated with longer holding periods. Return volatility, by contrast, is associated with short-term trading and hence shorter holding periods. High transaction costs and the perceived illiquidity of the real estate market leads to an expectation of longer holding periods. Further, work on depreciation and obsolescence might suggest that there is an optimal holding period. However, there is little empirical work in the area. In this paper, data from the Investment Property Databank are used to investigate sales rate and holding period for UK institutional real estate between 1981 and 1994. Sales rates are investigated using the Cox proportional hazards framework. The results show longer holding periods than those claimed by investors. There are marked differences by type of property and sales rates vary over time. Contemporaneous returns are positively associated with an increase in the rate of sale. The results shed light on investor behaviour.

The Crowding-out Effect of Mandatory Labour Market Pension Schemes on Private Savings. Evidence from renters in Denmark. CEPS Working Document No. 389, February 2014

This paper aims to estimate the crowding-out effect of the Danish mandatory labour market pension reforms begun in 1993 on the level of total household savings for renters. The effect is identified via a large panel of individual administrative records utilising the differences in speed, timing and sectoral coverage of the implementation of the reform in the period 1997 to 2005. Little substitutability was found between current mandatory labour market pension savings and private voluntary savings. Each euro paid into mandatory labour market pension accounts results in a reduction in private savings of approximately 0 to 30 cents, depending on age. This low rate of substitution is only, to a minor extent, explained by liquidity constraints. The results point to mandatory pension savings having a large effect on total household savings. Thus, pension reforms that introduce mandatory savings have macroeconomic implications.

The Market Stability Reserve in Perspective. CEPS Special Report No. 91, October 2014

This Special Report aims to contribute to the debate on the Market Stability Reserve (MSR), which was introduced by the European Commission in a legislative proposal of January 2014. The MSR would introduce a degree of supply management into the EU Emissions Trading System (ETS). This report is the result of various meetings with ETS-stakeholders throughout 2014. It discusses the MSR’s rationale and reviews the different options available for its design, governance and timing, as well as its consequences for the functioning of the EU ETS and the EU’s climate and energy policy.

The Long and Winding Road: Heterogeneity in the Form and Timing of Postsecondary Education

Thesis (Ph.D.)--University of Washington, 2016-06

A new methodology for generation investment in the national electricity market of Australia

Market administrators hold the vital role of maintaining sufficient generation capacity in their respective electricity market. However without the jurisdiction to dictate the generator types, locations and timing of new generation, the reliability of the system may be compromised by delayed entry of new generation. This paper illustrates a new generation investment methodology that can effectively present expected returns from the pool market; while concurrently searching for the type and placement of a new generator to fulfil system reliability requirements.

Financial liberalization and stock market volatility:the case of Indonesia

This article examines the relationship between financial liberalization and stock market volatility in Indonesia. By looking at the time series properties of the Jakarta Composite Index (JCI) we identify breaks in stock market volatility which coincide with the timing of major policy events. Our main findings are (i) a significant decrease in volatility after the 'official' opening of the stock market to foreign participation; (ii) a significant increase in volatility in the year before market opening following reforms that eased entry requirements and the issuance of brokerage licenses and (iii) a significant increase in volatility at the time of the Asian crisis followed by a significant decrease in the second and sixth years after the crisis.

The effects of ownership and stock liquidity on the timing of repurchase transactions

We analyze detailed monthly data on U.S. open market stock repurchases (OMRs) that recently became available following stricter disclosure requirements. We find evidence that OMRs are timed to benefit non-selling shareholders. We present evidence that the profits to companies from timing repurchases are significantly related to ownership structure. Institutional ownership reduces companies' opportunities to repurchase stock at bargain prices. At low levels, insider ownership increases timing profits and at high levels it reduces them. Stock liquidity increases profits from timing OMRs.

Does timing of decisions in a mixed duopoly matter?

We determine the endogenous order of moves in a mixed pricesetting duopoly. In contrast to the existing literature on mixed oligopolies we establish the payo equivalence of the games with an exogenously given order of moves if the most plausible equilibrium is realized in the market. Hence, in this case it does not matter whether one becomes a leader or a follower. We also establish that replacing a private firm by a public firm in the standard Bertrand-Edgeworth game with capacity constraints increases social welfare and that a pure-strategy equilibrium always exists.

The Impact of Proactive Strategies on Market Performance in Economic Downturn: the Case of Hungary

Recession in 2008/09 affected almost all the European countries seriously but some of them were hurt to greater extent. The timing of economic downturns can never be appropriate but it found Hungary at the time when it was in a vulnerable condition leading to a prolong struggle to find the way out. However, each company’s own experience and approach in crisis can differ from what the whole economy would explain. This study aims to contribute to the emerging research field regarding the concept of proactive marketing. We investigated the relationship between approach to crisis as an opportunity and market performance. Based on a survey of 173 companies we demonstrated that proactive marketing can lead to better performance but larger companies have the advantage of implementing this strategy more successfully.

The applied computer science of economic analyses: Internet prioritization and Internet pricing, and software engineering and software pricing for the mass market

This research examines evolving issues in applied computer science and applies economic and business analyses as well. There are two main areas. The first is internetwork communications as embodied by the Internet. The goal of the research is to devise an efficient pricing, prioritization, and incentivization plan that could be realistically implemented on the existing infrastructure. Criteria include practical and economic efficiency, and proper incentives for both users and providers. Background information on the evolution and functional operation of the Internet is given, and relevant literature is surveyed and analyzed. Economic analysis is performed on the incentive implications of the current pricing structure and organization. The problems are identified, and minimally disruptive solutions are proposed for all levels of implementation to the lowest level protocol. Practical issues are considered and performance analyses are done. The second area of research is mass market software engineering, and how this differs from classical software engineering. Software life-cycle revenues are analyzed and software pricing and timing implications are derived. A profit maximizing methodology is developed to select or defer the development of software features for inclusion in a given release. An iterative model of the stages of the software development process is developed, taking into account new communications capabilities as well as profitability. ^

The market value implications of pension asset allocation

Pension funds have been part of the private sector since the 1850's. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers' Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/liability composition from disclosure in the footnotes to recognition in the financial statements. I add to the literature by being the first to examine the effect of recent pension reform during the financial crisis of 2008-09. This dissertation is comprised of three related essays. In my first essay, I investigate whether investors assign different pricing multiples to the various classes of pension assets when valuing firms. The pricing multiples on all classes of assets are significantly different from each other, but only investments in bonds and equities were value-relevant during the recent financial crisis. Consistent with investors viewing pension liabilities as liabilities of the firm, the pricing multiples on pension liabilities are significantly larger than those on non-pension liabilities. The only pension costs significantly associated with firm value are actual rate of return and interest expense. In my second essay, I investigate the role of accruals in predicting future cash flows, extending the Barth et al. (2001a) model of the accrual process. Using market value of equity as a proxy for cash flows, the results of this study suggest that aggregate accounting amounts mask how the components of earnings affect investors' ability to predict future cash flows. Disaggregating pension earnings components and accruals results in an increase in predictive power. During the 2008-2009 financial crisis, however, investors placed a greater (and negative) weight on the incremental information contained in the individual components of accruals. The inferences are robust to alternative specifications of accruals. Finally, in my third essay I investigate how investors view under-funded plans. On average, investors: view deficits arising from under-funded plans as belonging to the firm; reward firms with fully or over-funded pension plans; and encourage those funds with unfunded pension plans to become funded. Investors also encourage conservative pension asset allocations to mitigate firm risk, and smaller firms are perceived as being better able to handle the risk associated with underfunded plans. During the financial crisis of 2008-2009 underfunded status had a lower negative association with market value. In all three models, there are significant differences in pre- and post- SFAS 158 periods. These results are robust to various scenarios of the timing of the financial crisis and an alternative measure of funding.

Timing and economic value of mergers and acquisitions

Doctor of Philosophy in the Faculty of Business Administration