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Dissertations / Theses on the topic 'Money market funds'
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Neubert, Timothy Miles James A. "Money market funds vs. ultra-short bond funds." [University Park, Pa.] : Pennsylvania State University, 2009. http://honors.libraries.psu.edu/theses/approved/WorldWideIndex/EHT-35/index.html.
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Gallagher, Emily A. "Money market funds, shareholder behavior, and financial stability." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010028.
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Fonds du marché monétaire, comportement des actionnaires et stabilité financièreIn the five business days following the default of Lehman Brothers in September 2008, U.S. prime money market funds (MMFs) experienced outflows totaling over 300 billion of dollars, representing 15% of their total assets. In order to generate cash to service outflows, some MMFs sold assets and stopped rolling their investments. Many have argued that these outflows exacerbated the financial crisis by contributing to a freezing of commercial paper markets. In 2010, in an effort to improve the resiliency of MMFs to withstand severe market stresses, the Securities and Exchange Commission (SEC) adopted a number of substantial reforms. Since 2010, many regulators have called for further reforms of MMFs, citing the eurozone crisis of 2011 as evidence that MMFs remain a financial stability concern. Over June, July and August 2011, MMFs experienced outflows of 162 billion of dollars, representing 10% of their total assets. Some contend that the size and timing of these outflows indicate that MMF investors continue to react to, and perhaps exacerbate, stresses in the financial markets. According to this view, yield sensitive investors incent MMFs to take risk through foreign bank investments and then cut and run once those risks escalate, resulting in a sudden loss of funding available to credit-worthy U.S. firms. Using the eurozone crisis of 2011 as an acid test, this thesis evaluates the validity of this narrative and, more broadly, the stability of U.S. MMFs after the 2008 financial crisis and resulting reforms. (...)
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Ganguli, Alakananda. "Globalization of financial markets and the demand for international reserves : the case of the industrialized countries." Thesis, McGill University, 1994. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=28447.
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The purpose of this thesis is to explain theoretically and empirically the demand for international reserves by the major industrialized countries in the context of the present highly integrated and extremely volatile international financial system. The reserves demand behaviour of each of the G7 countries along with seven non-G7 industrialized countries have been empirically examined. The demand functions are estimated using the cointegration approach on autoregressive distributed lag and simple distributed lag models.This study has revealed that a country's reserve demand is significantly influenced by its level of capital flows in addition to the traditionally used trade flow variables. It is shown that the greater the external vulnerability of an economy as measured by its net capital flows in relation to its GNP, the higher is its demand for international reserves. The results have striking similarity for all the 14 industrialized countries despite their structural and institutional differences.
This study points to the need of international monetary policy coordination to reduce large fluctuations in exchange rates and lessen massive flows of speculative capital which carry a potential threat of becoming inflationary.
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Chandrasekaran, Abhijit. "Impact of money market funds on commercial paper markets in United States and South Korea." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/72874.
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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 32-34).
The focus of this study is on Commercial Paper markets which are used by financial and non financial firms to manage working capital and maturity transformation. We explore how the primary investors in CP in the US, the Money Market Mutual Funds (MMMFs) have influenced the markets. We see how CP usage has changed post the advent of MMMFs and how they have grown with growth in MMMFs assets. We also try to understand what made MMMFs in the US successful and what has led to their tremendous growth. We then move on to study South Korean CP markets and try to see if there are similar characteristics emerging in the markets with the establishment of short term money funds. South Korea gives a window into Asia to judge if it would be prudent for Asian countries to adapt from the US market structure to spur the CP markets locally. With the tremendous growth taking place in emerging Asia, the requirement for short term capital markets is growing and hence the importance of adapting from successful markets. We do see from the study that post MMMFs establishment there is a greater use of CP among business in both economies. There is also a greater holding of CP as assets by firms in the economy. MMMFs tend to hold large volumes of CP and may have led to greater CP market access for firms. Liquidity, yield and safety come out as the vital characteristics which make MMMFs a preferred investment conduit for money market instruments.
by Abhijit Chandrasekaran.
S.M.
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Agapova, Anna. "Cross-Sectional Differences between Topic 1: Money Market Mutual Funds and their Role in the Mutual Fund Families. Topic 2: Innovations in Financial Products. Conventional Mutual Funds versus Exchange Traded Funds." Digital Archive @ GSU, 2007. http://digitalarchive.gsu.edu/finance_diss/10.
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The first essay examines cross-sectional differences between money market mutual funds (MMMFs), in the context of the sponsoring fund family. While extant studies have shown that fund family characteristics impact the management of open-end equity mutual funds, results of this study’s analysis find that fund family characteristics also affect the management of MMMF assets, contributing to differences in the maturity of the fund’s holdings, expenses, and realized returns. I find that an MMMF is not simply a transitional account with a short-term low-risk investment objective, but rather, a critical role player within the fund family. Differences in maturity, yield, and expenses in MMMFs can be explained by family-specific characteristics, including diversification and cash management strategies at the family level. The second essay examines implications of substitutability of two similar financial assets: conventional index mutual funds and exchange traded funds (ETFs). I seek to explain the coexistence of these fund types, since both offer a claim on the same underlying index return process, but have different organizational structures. This study compares conventional open-end index funds with matched ETFs on various underlying indexes. Aggregate flows are used to detect substitution and clientele effects. I show that conventional funds and ETFs are substitutes, while ETFs have smaller tracking errors and lower fund expenses. However, I find that these fund types are not perfect substitutes, and their coexistence can be explained by a clientele effect that segregates them into different market niches.
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Baklanova, Viktoria. "Money market funds in the US and the EU : a legal and comparative analysis." Thesis, University of Westminster, 2012. https://westminsterresearch.westminster.ac.uk/item/8z40w/money-market-funds-in-the-us-and-the-eu-a-legal-and-comparative-analysis.
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The failure of the Reserve Primary Fund, a US money market fund, in September 2008 triggered a widespread withdrawal of assets from other money market funds in the US. The withdrawals led the US Government to adopt emergency measures to maintain market stability. The ability of money market funds to rapidly withdraw funding from the financial system also showed during the European sovereign debt crisis in the summer of 2011. The crisis prompted further regulatory debate on both sides of the Atlantic on how to make money market funds more resilient to investors’ runs and systemic shocks. The solutions that are currently discussed propose to eliminate the essential bank-like feature of money market funds – their ability to transact at a stable share price – and thereby reduce their attractiveness to investors seeking cash management options outside the banking system. This thesis detaches from those discussions originally enquiring on how should money market funds be regulated in the US and in the EU. As a theoretical premise, this research identifies two overarching goals for money market funds regulation, namely, investor protection and systemic stability. The prevalent proposals for regulation are thus seen as misguided because the change in money market funds pricing mechanisms and the accounting convention would demonstrably not satisfy these goals. In order to formulate the new propositions for the regulation of money market funds in the US and the EU, therefore, this thesis first critically evaluates the existing US and EU regulatory frameworks applicable to money market funds from the standpoint of the dual policy goal of investor protection and systemic stability. Secondly, it introduces an alternative path for achieving this dual goal. It is argued that the blueprint of the international money market fund regulation ought to focus on full disclosure of the funds’ assets and liabilities – portfolio holdings and fund investors – as the primary measure of investor protection. Such disclosure also addresses systemic stability concerns by empowering regulators to properly monitor the transmission channels of funding risk. While my study does not purport to do away with risk limiting rules for money market funds, it cautions against copying the US-centric view of the investment standards to the much shallower European markets under the banners of harmonisation. Instead, this thesis advocates a harmonised international approach to the transparency of money market fund activities and the creation of a global database of market 5 exposures that would subject asset managers to public scrutiny and enable regulators to monitor the major risk transmitting channels. By these means the dual regulatory goal in money market fund regulation – investor protection and systemic stability – shall be upheld.
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SANT'ANNA, Ot??vio Ulisses de Araujo. "An??lise de desempenho dos fundos de investimento multimercados ap??s a Crise do subprime." FECAP, 2014. http://tede.fecap.br:8080/jspui/handle/jspui/762.
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This study analyzes the performance of the Brazilian hedge fund investment after Subprime Crisis. Evaluates if the different management strategies hedge funds manage to overcome the benchmark, considering the new classification established by ANBIMA in May 2009. The categories were classified as Long & Short Directional Long & Short Neutral, Multigestor Macro, Multiestrat??gia, Interest and Currencies, Trading, Strategy specifies, Balanced and Protected Capital, in order to adapt in a better way the different strategies and risk profile of each hedge fund the profiles of investors. It was considered in the study only non exclusive hedge funds that had quotas from May 2009 to December 2013. The funds performance was analyzed using indicators such as the average return, volatility, Sharpe ratio and Jensen???s Alpha, in order to assess whether hedge funds are able to get a significant risk adjusted return compared to the CDI rate. Moreover, hypothesis tests were applied to verify if the average return of hedge funds is equivalent to CDI. Data analysis found evidence that only certain categories of hedge funds outperformed the benchmark during the period analyzed, such as Long & Short Directional Long & Short Neutral, Multigestor, macro, multi-strategy and Interest and Currency categories. The return was higher than CDI with acceptable volatility, presenting Sharpe Ratios and Jensen's Alpha positive, further were efficient in overcoming the CDI in relation to the risk assumed in each of their respective management strategies. Concerning to hypothesis testing, it was not rejected the hypothesis that the average returns of hedge funds are statistically equal to the CDI. Only Capital Protected category got a statistically different mean return of CDI in the analyzed period. This study is usefull as a tool for market analysis and reflection on the management strategies of hedge funds and as an investment guide for the general public, helping to identify the best strategies for active management, as well as hedge funds with better performance.
Este estudo analisa o desempenho dos fundos de investimento multimercados brasileiros ap??s a crise do mercado imobili??rio americano, conhecida como a Crise do Subprime. Avaliase as diferentes estrat??gias de gest??ode fundos multimercado conseguem superar o benchmark, considerando a nova classifica????o institu??da pela ANBIMA em Maio de 2009. As dez categorias foram classificadas como Long & Short Direcional, Long & Short Neutro, Multigestor, Macro, Multiestrategia, Juros e Moedas, Trading, Estrat??gia Especifica, Balanceados e Capital Protegido, visando adequar de uma melhor forma as diferentes estrat??gias e o perfil de risco de cada fundo multimercado aos perfis dos investidores. Considerou-se na amostra do estudo apenas os fundos multimercados n??o exclusivos que apresentaram cotas de Maio de 2009 a Dezembro de 2013. O desempenho dos fundos foi analisado utilizando indicadores, como o retorno m??dio, a volatilidade, o ??ndice de Sharpe e o Alfa de Jensen, deforma a avaliar se os fundos mulimercados conseguem obter um retorno ajustado ao risco significante, em compara????o com a taxa do CDI. Al??m disso, foram aplicados testes de hip??tese, para verificar em que medida a m??dia de retorno dos fundos multimercados se equivale ao CDI.A an??lise de dados encontrou evid??ncias de que apenas algumas categorias de fundos multimercados superaram o benchmark no per??odo analisado, tais como as categorias Long & Short Direcional, Long & Short Neutro, Multigestor, Macro, Multiestrategia e Juros e Moedas. Obtiveram um retorno acima do CDI com volatilidade aceit??vel, apresentando ??ndices de Sharpe e Alfa de Jensen positivos, ou seja, foram eficientes na supera????o do CDI em rela????o ao risco assumido em cada uma das suas respectivas estrat??gias de gest??o. Em rela????o aos testes de hip??tese, n??o foi poss??vel rejeitar a hip??tese de que a m??dia dos retornos dos fundos multimercados s??o estatisticamente iguais ao CDI. Apenas a categoria Capital Protegido apresentou m??dia de retorno estatisticamente diferente do CDI no per??odo analisado. Este trabalho serve ao mercado como uma ferramenta de an??lise e reflex??o sobre as estrat??gias de gest??o de fundos multimercados e como um guia de investimentos para o p??blico em geral, contribuindo para identificaras melhores estrat??gias de gest??o ativa, bem como os fundos multimercados com melhor desempenho.
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Hojat, Simin. "The Impact of Monetary Policy On the Stock Market." ScholarWorks, 2015. https://scholarworks.waldenu.edu/dissertations/1603.
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Prior studies examining the impact of monetary policy instruments on the equity market have produced mixed results. This problem is important to address because of the substantial impact of monetary policy on the economy and economic resource allocation via the equity market. The purpose of this study was to determine the impact of change in money supply (M2), change in Federal Funds Rate (FFR), and change in Federal Funds Futures (FFF) on the expected rate of returns of publicly traded companies while controlling for the rate of return of the whole equity market and size of the sampled companies. The capital asset pricing model formed the theoretical foundation. The research questions addressed the significance of the monetary policy instruments M2, FFR, and FFF on the expected rate of returns of publicly traded companies. The research design was ex post facto. To answer the research questions, annual data were collected for the period of January 2005 through January 2015 for the rate of return on the overall equity market, rate of return on stocks of 90 publicly traded companies, size of the sample companies, M2, FFR, and FFF. A multiple regression showed a positive effect of market rate of return and company size, a positive moderation effect of M2, and a negative moderation and mediation effect of FFR and FFF on the expected rate of returns of publicly traded companies (p < .05). These findings could have positive social change implications in that they may help individual and institutional investors in their investment decision making, leading to better allocation of economic resources. The findings may also assist monetary policy authorities in assessing the impact of monetary policy on the equity market and thus preempting stock market crashes.
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Jones, Garett. "Measuring the liquidity effect with daily data /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p3023450.
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Koether, Philipp. "On the basis of F.A.v. Hayek's idea of a free market monetary system and his publication "Denationalisation of money : an analysis of the theory and practice of concurrent currencies" (1976) about currency competition on financial markets in the times of electronic commerce and the introduction of "e-money" /." Click to view the E-thesis via HKUTO, 2001. http://sunzi.lib.hku.hk/hkuto/record/B31972810.
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Koether, Philipp. "On the basis of F.A.v. Hayek's idea of a free market monetary system and his publication: "Denationalisation ofmoney : an analysis of the theory and practice of concurrentcurrencies" (1976) about currency competition on financial markets inthe times of electronic commerce and the introduction of "e-money"." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31972810.
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Neves, Junior Hamilton Cruz. "Fundos de investimentos em direitos credit??rios: riscos e ratings em eventos de avalia????o." FECAP, 2016. http://tede.fecap.br:8080/jspui/handle/jspui/732.
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This research outlined a longitudinal view of Asset Backed Securities (in Brazilian version named FIDC) presenting evaluation events and problems that led to the early amortization and/or settlement by analyzing 44 ABS of a sample selected in the period between the years 2005 and 2014. It???s a descriptive and bibliographic research, with a qualitative approach and informative material content analysis related to such funds: regulations, prospectuses, rating reports and minutes of shareholders' meetings available on the websites of Brazilian Securities Commission (CVM) and Center for Custody and Financial Settlement of Securities (CETIP). The limitation of this research was that the document databases for the history of each existing fund with the CVM are not always complete. This study aimed to identify the main features of these ABS, the reasons that led to the evaluation events, and the presence of evidence to suggest "conflict of interest" from the perspective of agency theory in the management of these funds. On the one hand the results showed that many ABS who enjoyed high preliminary rating had operational problems that hampered receivables flows for these funds: only 20% of evaluated cases, ratings agencies could lower the ratings before evaluation events were announced . On the other hand, during biennium 2014/2015 CVM sought to improve legislation to prevent conflicts of interest among the participants of these operations, and to create mechanisms to ensure necessary information flows for credit rating agencies to carry out their monitoring work more effectively.
Essa disserta????o delineou um panorama longitudinal dos Fundos de Investimento em Direitos Credit??rios (FIDCs) que apresentaram eventos de avalia????o e problemas que levaram ?? amortiza????o e/ou liquida????o antecipada, analisando 44 FIDCs de uma amostra selecionada no per??odo que vai entre os anos de 2005 a 2014. Trata-se de uma pesquisa descritiva e bibliogr??fica, com abordagem qualitativa e an??lise de conte??do de material informativo referente a esses fundos: regulamentos, prospectos, relat??rios de rating e atas das assembleias de cotistas dispon??veis nas p??ginas da internet da Comiss??o de Valores Mobili??rios (CVM) e da Central de Cust??dia e Liquida????o Financeira de T??tulos (CETIP). A limita????o para a realiza????o desta pesquisa foi que os bancos de dados de documentos referentes ao hist??rico de cada fundo existente junto a CVM nem sempre s??o completos. Este trabalho objetivou identificar as principais caracter??sticas desses FIDCs, os motivos que levaram aos eventos de avalia????o e a presen??a de elementos que indiquem ???conflito de interesses??? sob a ??tica da Teoria da Ag??ncia na administra????o desses fundos. De um lado os resultados mostraram que diversos FIDCs que gozavam de elevado rating preliminar apresentaram problemas operacionais que prejudicaram o fluxo de receb??veis para esses fundos: somente em 20% dos casos avaliados, as ag??ncias puderam rebaixar os ratings antes que fossem acionados os eventos de avalia????o. Por outro lado, a CVM no bi??nio (2014/2015) procurou aprimorar a legisla????o para evitar conflitos de interesse entre os participantes dessas opera????es, bem como criar mecanismos que garantam o fluxo de informa????es necess??rias para que a ag??ncias de classifica????o de risco possam realizar seus trabalhos de monitoramento com mais efic??cia.
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Poschmann, Jenny [Verfasser], Markus [Akademischer Betreuer] Pasche, and Christoph [Akademischer Betreuer] Ohler. "The shadow banking system : an analysis of FSB proposed regulation on money market funds in respect to financial stability / Jenny Poschmann. Gutachter: Markus Pasche ; Christoph Ohler." Jena : Thüringer Universitäts- und Landesbibliothek Jena, 2015. http://d-nb.info/1065233647/34.
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Bates, Brandon. "Essays in Financial Economics and Econometrics." Thesis, Harvard University, 2011. http://dissertations.umi.com/gsas.harvard:10419.
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In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. The mechanisms biasing coefficients in short-horizon regressions differ from those affecting longer horizons. Further, I demonstrate that R\(^2s\) are biased and give an estimable bias correction. A calibration exercise shows sample lengths will be insufficient to determine what predicts asset returns until beyond the year 2100. The problem is not isolated to highly persistent predictors; even modestly persistent predictors have difficulties. Further, long-horizon regressions have inferior power relative to their single-period counterparts. These results present a predicament. If return predictability exists, then our ability to identify its source using predictive regressions alone is exceedingly poor. The second essay, written with James Stock and Mark Watson, considers the estimation of approximate dynamic factor models when there is temporal instability in the factors, factor loadings, and errors. We demonstrate that estimators for the factors and for the number of those factors are consistent for their population values even when affected by these instabilities. Further, we characterize the inferential theory in our framework for the estimated factors and for diffusion index forecasts and factor-augmented vector autoregressions that make use of the estimated factors. These results illustrate the broad robustness factor models have against temporal instability. In the third essay, co-author Peter Tufano and I consider the complex accounting rules, explicit fund sponsor supports, and government actions, that grant US money market mutual fund investors an implicit put option allowing them to redeem their shares at a fixed price of $1.00, regardless of the portfolio's market value. We describe the institutional features that generate these options, identify their writers, and estimate their premia. Using a hypothetical MMMF, we find that currently, non-redeeming shareholders, fund sponsors, and the government collectively bear annual premia of 22 to 44 basis points to give MMMF shareholders the right to redeem their shares at $1.00 rather than at the market value of the fund portfolio. These premia rose dramatically during the financial crisis, with the put value potentially being over 50 basis points.
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DE, ROSA Clemente. "Risk assessment in the mutual fund and insurance industry." Doctoral thesis, Scuola Normale Superiore, 2021. http://hdl.handle.net/11384/104444.
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Costa, Leonardo Tavares Lameiro da. "O efeito smart money na indústria de fundos brasileira." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/2325.
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Previous issue date: 2006-02-13T00:00:00ZO presente trabalho estuda o efeito Smart Money, inicialmente identificado por GRUBER (1996) e ZHENG (1999), na indústria de fundos brasileira no período de 2001 a 2005. Buscou-se identificar se os fundos que apresentaram maior captação líquida em seguida performam melhor do que os fundos de menor captação líquida. O efeito Smart Money foi identificado nos fundos de ações mesmo após ter sido controlado pelo efeito momentum. Nos fundos multimercados com renda variável e nos fundos de renda fixa não foi possível identificar tal fenômeno.
This work studies the Smart Money Effect, initially identified by GRUBER (1996) and ZHENG (1999), in the brazilian mutual fund industry in the period of 2001-2005. The objective was to verify if the funds with the highest net cash flows had a better performance in the following period than the funds with the lowest net cash flows. The Smart Money Effect was identified in stock funds, even after controlling by the stock return momentum phenomenon. In mixed funds and in fixed income funds it was not possible to identify such effect.
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Náhlovský, David. "Stínové bankovnictví a jeho vliv na stabilitu finančních trhů." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-201572.
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This diploma thesis is focused on shadow banking and its impact on the financial markets. The first section defines shadow banking and offers an overview of its instruments and activities with focus on the advantages and risks related to securitization, repurchase agreements and money market funds. The second section begins with an overview of systemic risk emerging from shadow banking activities. Substantial part of the thesis is dedicated to measurement of the shadow banking sector size based on methods of Financial Stability Board. The thesis concludes with an overview of current regulatory progress in transforming shadow banking into resilient market-based finance.
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Keitsch, Sandra. "Monkey business : Can a portfolio with randomly selected shares beat the market?" Thesis, Jönköping University, JIBS, Economics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-12505.
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Actively managed mutual funds underperform the index and investors are recommended to invest in index funds since they give higher returns (Dagens Industri Debatt, 2010). In this thesis it is investigated if partly indexated portfolios with randomly selected stocks beat the benchmark index and thus are a valid option of portfolio construction for the individual investor. For this purpose sixteen portfolios are constructed partly by an index and partly by randomly selected stocks from the Swedish stock market in the time period of 2007.01.01 to 2010.01.01. Risk and return measures are used in order to analyse if the portfolios beat the benchmark index. The results are also compared to an index mutual fund in order to validate the results further.
The results suggest that partly indexated portfolios with randomly selected stocks are able to outperform both the benchmark index and the comparing index mutual fund. When dividends were included in the portfolios all of the sixteen portfolios had beaten the benchmark index. The two stock portfolio is a valid alternative when investing in mutual funds since it has superior returns with only marginally higher risk than the benchmark index.
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Liberato, Marcos de Mello. "A rela????o entre estrutura e mecanismos de governan??a corporativa e o desempenho dos fundos de pens??o no Brasil." FECAP - Faculdade Escola de Com??rcio ??lvares Penteado, 2013. http://132.0.0.61:8080/tede/handle/tede/531.
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Previous issue date: 2013-10-15Pension Funds in Brazil are presented as large institutional investors, moving a significant sum of money in the financial market. Investment decisions made by its managers should generate positive returns in order to ensure a dignified retirement to its participants and beneficiaries. The corporate governance structure of pension funds and their mechanisms are essential elements in the management of these entities, and the consequent impact exerted on their performance. The objective of this research is to study the relationship between structure and corporate governance mechanisms and performance of pension funds in Brazil. This is an empirical study, with quantitative treatment of the data by use of linear regression with panel data. The period of analysis included the years 2008 to 2012. The results were favorable to the affirmative conclusion regarding the existence of an associative relationship between corporate governance mechanisms and their performance
As Entidades Fechadas de Previd??ncia Complementar no Brasil, conhecidas como fundos de pens??o, apresentam-se como grandes investidores institucionais, movimentando uma significativa soma de dinheiro no mercado financeiro. As decis??es de investimento tomadas por seus gestores devem gerar retornos positivos, de forma a garantir uma aposentadoria digna a seus participantes e benefici??rios. A estrutura de governan??a corporativa dos fundos de pens??o, e seus mecanismos, constituem elementos fundamentais na gest??o dessas institui????es, e no consequente impacto exercido sobre seu desempenho. O objetivo desta pesquisa ?? analisar a rela????o entre a estrutura e os mecanismos de governan??a corporativa e o desempenho dos fundos de pens??o no Brasil. Este ?? um estudo emp??rico anal??tico, com tratamento quantitativo dos dados, pelo uso da t??cnica de regress??o linear com dados em painel, cujo per??odo de an??lise compreendeu os anos de 2008 a 2012. Os resultados obtidos foram favor??veis ?? conclus??o afirmativa a respeito da exist??ncia de uma rela????o associativa entre os mecanismos de governan??a corporativa e o desempenho dessas entidades
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Pádua, Rosana Passos de. "Um estudo sobre os impactos contábeis e econômicos da marcação a mercado dos investimentos de longo prazo na definição do déficit, equilíbrio ou superávit atuarial dos fundos de pensão no Brasil (IAS 19 e IAS 26)." Pontifícia Universidade Católica de São Paulo, 2018. https://tede2.pucsp.br/handle/handle/21063.
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Brazil is facing many discussions about the future of social security, and in this context, complementary social security becomes even more relevant; due to this, a great interest arose in studying the accounting of pension funds in the light of Brazilian and international rules, IAS 19 and IAS 26. The research problem consisted in understanding and seeking alternatives to the difficulty of pension fund managers to comply with the rules of the financial market and to mark-to-market for long-term investments with the current conditions of interest rate volatility, in the same time there is no mark-to-market of actuarial liabilities, causing an actuarial mismatching. The research was conducted through a case study based on a six-year pension fund financial statement and the outcome of the case study demonstrated that a possibility to minimize this effect and reduce the risk of sponsors and participants being called to cover the deficits, would be the accounting of the counterpart of the mark-to-market of the asset in a transitional liability account as a provision, without impacting the results of the pension funds
O Brasil está passando por um momento de muitas discussões sobre o futuro da previdência social e nesse contexto, a previdência complementar torna-se ainda mais relevante; em virtude disso, surgiu o grande interesse em estudar a contabilidade dos fundos de pensão à luz das regras brasileiras e das internacionais, IAS 19 e IAS 26. O problema de pesquisa consistiu em compreender e buscar alternativa para a dificuldade dos gestores dos fundos de pensão em obedecer às regras do mercado financeiro e marcar a mercado os investimentos de longo prazo com as condições de volatilidade de taxas de juros, sem que haja a marcação a mercado dos passivos atuariais, causando desequilíbrio atuarial. A pesquisa foi realizada através de estudo de caso, com base em demonstrações financeiras de seis anos de uma entidade privada e o resultado do estudo de caso demonstrou que uma possibilidade para minimizar esse efeito e reduzir o risco de patrocinadores e participantes serem chamados a cobrir os déficits, seria a contabilização da contrapartida da marcação a mercado do ativo em conta transitória de passivo a título de provisão, sem impactar o patrimônio dos fundos de pensão
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HO, TE-KUANG, and 何德光. "Explore the Money Market Funds Investor Behavior." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/84078406041275395531.
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碩士佛光大學
應用經濟學系
104
Since mutual funds have low entry barrier and managed by professional expert, most of the investors would prefer to opt for this type of investment. In terms of scale, currency mutual funds would perhaps be one of the most significant funds. The purpose of this study is to investigate the relationship between investor’s cash against the influence of mutual fund purchase placement and mutual fund performance. In addition, research method uses Quantile Regression & Ordinary Least Squares. The results indicate: 1.For currency mutual funds investors, the result indicates that when investor is low in cash ratio, fund redemption would occur, whereas, when cash ratio reaches 60th the quantity for fund purchase would increase. However, on the other hand, for stock mutual funds investors, the result indicates that when investor is low in cash ratio the quantity for fund purchase would increase and vice versa. 2.In terms of the correlation between cash ratio and currency mutual funds, the result indicates that low cash ratio would have a positive correlation; however, structure change would occur after 50th (from positive to negative correlation). Whereas for stock mutual fund the correlation is negative. 3.Most of the investors prefer currency and stock mutual funds with large scale and low management fees, however, in terms of performance, large scale with high management fees are generally the ones which perform the best
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Sun, Kuo-Jung, and 孫國榮. "The Feasibility of Money Market Mutual Funds in Taiwan." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/21285047543517216532.
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碩士國立臺灣大學
財務金融學系
85
Equity funds , bond funds , and money market mutual funds are 3 major classes in fund industry. Money market mutual funds currently are not permitted in Taiwan .However , Taiwan's bond funds have been operating like money market mutual funds because of insufficient liquidity in the bond market and the motivation to tax arbitrage . As Taiwan*s goal to be the Asia-Pacific Financial Center , open and sound financial markets are necessary . Legalizing money market mutual funds is one part of them. This article discusses the possibility and impacts of legalizing money market mutual funds.The pros and cons , the regulations , the fund managers' strategies , and basic knowledge that investors should know are discussed in detail. The conclusions are as follows:1. Disclosure: All money market mutual funds should use the same format of prospectus . The information within the prospectus must be clear, comprehensive, and honest. 2. Tax treatment: For fair competition , Repurchase Agreements are better treated as one of money market instruments .3. Resrve Requirement: (1)Money market mutual funds have the " conduit" feature. (2)Investors didn't use money market mutual funds' check features as they did in the ordinary checkable accounts according to turnover rates. (3)The majority of growing assets of money market mutual funds didn't come from deposit institutions. According to the evidences shown above , we suggest that the Central Bank should not impose reserve requirement on money market mutual funds.4. Liquidity: The viability of money market mutual funds is riding on the sufficient liquidity of underlying assets , esp. in bond and bills markets. So the authorities should try to eliminate structural obstacles and establish the credit rating organizations in order to increase the liquidity .
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JIANG, MEI-HUEI, and 姜美慧. "A Study of Onshore Funds: Examples for Money Market,REITs, and Technology Funds." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/70564494592178111473.
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碩士國立雲林科技大學
財務金融系
104
In this study, the domestic fund for the study were used to reward risk ratio, Sharpe Ratio, Treynor Index, Information Ratio, and the TAIEX and T test for performance evaluation .This five assessment methods to measure the performance of each fund profile. The study sample selects three types of funds; the sample contains 43 domestic money market funds, 21 real estate securitization funds, 27 open-tech funds, and a total of 91 funds. The sample period is from January 1, 2010 to September 30, 2015. This study evaluated the performance of each fund for various investment periods, including three, six, nine months, one year, two years and three years. Research results of this study that, according to the evaluation of the fund, Treynor Index and information ratio in any period in the best funds are all domestic money market, Sharpe Ratio for any period of fund performance, which is statistically significantly better than the TAIEX of the most proportion are all real estate securitization types, Information Ratio in any period of fund performance, which is statistically significantly better than the TAIEX of the most proportion are all real estate securitization types and open type of science and technology, whether in real estate securitization during any type is superior to the most significant proportion of the TAIEX. Real estate securitization type have a higher risk at the same time the total risk premium, and the performance of the fund's rate of return above average, the performance of open-type science and technology funds rate remuneration is also above average.
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Huang, Qi Ren, and 黃啟人. "The influence of online money market funds on commercial banks." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/6q4d32.
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Lee, Chi-de, and 李志得. "Persistence Analysis of Performance of Taiwan Money Market and Bond Funds." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/57410402816991536192.
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碩士國立雲林科技大學
財務金融系
104
The study evaluated the performance and persistence of Bond Fund and Money Market Fund. Fund performance criteria are Sharpe index, Treynor index and Jensen index. The study period is from 2010 January to 2014 December. The samples are domestic Bond Fund and Money Market Fund. Fund persistence uses Spearman Rank Relation Factor to examine fund rate persistence every two years. Bond Fund, Money Market Fund and TAIEX compared to the risk, the result is that the risk of Money Market Fund is lower than the risk of TAIEX and the risk of Bond Fund is higher than the risk of TAIEX. TAIEX’s systematic risk is higher than Money Market and Bond Fund’s systematic risk and Money Market Fund’s systematic risk is lower than Bond Fund’s systematic risk. Bond Fund, Money Market Fund and TAIEX performance indexes are Sharpe index, Treynor index and Jensen index, which discovers the best invest targets in the investment periods of three month, six month and one year. By examining the fund performance, it found that both of the fund performance are persistent respectively in the investment periods of one month, three month and six month from 2010 to 2014.
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"A study of the Hong Kong dollar money market funds and their impacts on Hong Kong's financial system." Chinese University of Hong Kong, 1987. http://library.cuhk.edu.hk/record=b5885731.
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Mpako, Vuyolwethu Maxabiso. "Money market mutual funds and their impact on bank deposits in South Africa." Diss., 2008. http://hdl.handle.net/2263/23469.
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Traditional banking theory has always viewed banks as financial intermediaries. Technological developments and regulatory changes have given rise to different types of non-bank financial intermediaries. Researchers have made claims about banks losing importance due to the emergence of non-bank financial intermediaries. As a non-bank financial intermediary, money market mutual funds have experienced phenomenal growth in Europe and the United States over the years. This growth has also been evident in South Africa in the past ten years. Several researchers have investigated the alleged disintermediation of banks’ traditional deposit taking in favour of investment management activities like managed funds. These researchers have found different levels of existence of such disintermediation in the different countries wherein the research was conducted. None of the research known to the author has provided empirical evidence of or refuted the allegation that the traditional deposit taking role of banks is declining and that money market mutual funds are substitutes for banks’ deposits. Moreover, such research has not been conducted in South Africa. Using banks’ deposits data and the net assets of money market mutual funds reported at the South African Reserve Bank, this thesis uses regression techniques to provide evidence for the substitutability of banks’ deposits by money market mutual funds. This substitution exists more in long-term deposit and short-term deposit products. The regression models derived in this thesis are found to be stable enough to be used for forecasting total bank deposits.Dissertation (MBA)--University of Pretoria, 2010.
Gordon Institute of Business Science (GIBS)
unrestricted
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Lai, Yi-yin, and 賴怡穎. "Does Advertising of Mutual Funds Drive Smart Money Effect?Evidence from Open-end Mutual Fund Market in Taiwan." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/qrj565.
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碩士國立中山大學
財務管理學系研究所
97
Prior research finds that mutual fund investors have adequate ability to select funds which superior performance remains persistent. Following the work of Keswani and Stolin (2008), we use a fund netflow as a proxy for investors’ preference to examine whether the smart money effect exists. Furthermore, this paper differs from prior research by combining the smart money phenomenon and fund firm’s marketing activities (the advertising expenditure of mutual funds). This paper generates four empirical findings. (1) Mutual funds with positive netflow subsequently have positive Carhart four-factor alpha, that is, the “smart money effect” exists in Taiwanese mutual fund market. (2) The smart money effect is caused by investors’ buying decisions. (3) The smart money effect is only a short-lived phenomenon. (4) Our evidence shows that advertising of funds can explain the smart money effect in Taiwanese open-end mutual fund market.
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Marques, João Gonçalo Maia. "What is the effect of removing rating-based regulation? Evidence from money market funds." Master's thesis, 2021. http://hdl.handle.net/10362/122924.
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This paper studies the effect of removing rating-based regulation, using as case of study the SEC removal of certain references to credit ratings in money market funds’ legislation. By making use of linear regression models, the funds’ asset allocation preferences were studied for the period surrounding the law amendments. The evidence suggests that the law amendments produced effects at an early stage. Additionally, the effects resulted in a movement towards securities perceived in the market as safer and a decreasing gap between the asset allocation preferences of prime and taxable money market fund types.
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Cheng, Shih-Ying, and 鄭詩穎. "Smart Money Effect and Market Volatility－A study on Equity Mutual Funds in Taiwan." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/8xrx92.
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碩士國立臺灣大學
財務金融學研究所
104
The thesis investigates whether the smart money effect exists in the Taiwan mutual fund market. In addition, the paper examines whether market volatility affects the smart money effect. Here are two steps: (1) use fund flow and fund performance data of equity mutual funds in Taiwan to measure if the smart money effect exists; (2) consider market volatility factor to take a look at the relationship between the smart money effect and market volatility. This study shows that (1) the smart money effect does not exist over the sample period, and (2) although the smart money effect does not hold, market volatility raises the excess return of fund portfolios.
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Löfvenberg, Mattias, and Högström Simon Pålsson. "“Smart Money” in a bear market? : Swedish active equity mutual funds’ ability to add value towards investors in the bear market Q1 2020." Thesis, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-190231.
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It is well-established by an abundance of previous empirical work presenting evidence that the average active equity mutual fund manager underperforms their benchmark net of expenses persistently over longer time-horizons. Active fund managers have the possibility to invest smart by forecasting the market and change their exposure to the market in regard of macroeconomic events to protect their portfolios violating the theory of an efficient market. In contrast to previous studies, this paper evaluates the average short-term risk-adjusted performance of 71 Swedish active equity mutual funds divided into subgroups of equally weighted portfolios consisting of small and large-sized funds during the first three months in the bear market 2020. This paper investigates if the average active fund manager with their assumption of an inefficient market and forecasting skills can pick mispriced stocks and provide loss-averse investors a safe haven with value-added returns in a market characterized with high volatility and uncertainty. A quantitative one-factor OLS regression based on the Capital Asset Pricing Model is used to obtain estimates of net Jensen’s Alphas. Additional risk-adjusted performance measures beyond the systematic risk component are used by evaluating the relative short-term performance among our three constructed fund portfolios to a broad benchmark. The results find insignificant negative net alphas among the constructed portfolios which do not violate the theory of an efficient market in any form and hence, no evidence is found of value-added performance among the average active fund manager. The findings conclude that the average active fund manager is not skilled enough to add value towards investors. A portfolio of small-sized funds indicates superior performance relative a portfolio of large funds although the performance is inferior compared to its benchmark in all measures.
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Molele, Sehludi Brian. "Economic risk exposure in stock market returns :|ba sector approach in South Africa (2007-2015)." Thesis, 2019. http://hdl.handle.net/10386/2946.
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Thesis (M.A. Commerce (Economics)) -- University of Limpopo, 2019South Africa had targeted the oil and gas sector for investment through the industrial action plan as a special economic zone. However, certain economic fundamentals might negate the anticipated sector financial development. This study investigate how economic risk exposure influence oil & gas sector stock market returns from 2007 to 2015 on a monthly basis. The four macroeconomic variables used to measure economic risk exposure are Brent crude oil prices, the USD/ZAR exchange rate, broad money supply and gold prices. The adopted techniques include the GARCH model to incorporate volatility, the Johansen cointegration and Granger causality techniques. The results of the study found that change in Brent crude oil prices and broad money supply had a positive and significant impact on changes in oil & gas sector stock returns. Changes in exchange rate and gold prices had a negative and significant impact on the sector returns. The long-run relationship established one cointegrating equation in the series. Only Brent crude oil prices indicated a bi-directional Granger causality on the sector returns. Based on the findings, it is recommended that government may use exchange rate as a policy tool to attract interest in the sector. Regarding money supply, the reserve bank should further preserve its effective regulatory infrastructure including the laws, regulations and standards towards the achievement and maintenance of a stable financial system. Portfolio managers, risk managers and investors should monitor the gold price to mitigate losses due to its strength as a safe haven asset.
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Lin, Yi-Chien, and 林易謙. "Impacts of Financial Tsunami on Mutual Funds：Using Money Market Fund and Equity Fund as Examples." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/88615139553185557525.
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碩士中原大學
國際經營與貿易研究所
101
Nowadays, investing has become an indispensable concept for citizens. A lot of derivatives emerge as a result of free market. And mutual funds have become one of the major investment objects. Hence, the importance of measuring the performance and risk of funds has become eminent. In 2008, the financial crisis hit the world. To understand, in normal times as well as in critical precious of financial of crisis, the indexes to evaluate the performance and risk of funds accurately became an issue for many investors. Consequently, this study uses the Taiwan's top 10 money funds and equity funds before and after the financial crisis, as examples to measure the funds’ performances by calculating their ROI of fund NAV, Sharpe Index and β. This thesis further examines them with t test, testing their differences. The results indicate that after the financial crisis, the ROI of NAV of money funds decreases and the money funds’ Sharpe Index decreases while the Sharpe Index of the equity funds increases. After t test, the result shows that the mean of the NAV of money funds increases and the monthly ROI decreases. Their performances decrease obviously and their fluctuations are closer to the broader market. While the performance of the equity funds increases and their fluctuations differ from the broader market.
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Liu, Her, and 劉赫. "Testing smart money effect in Taiwan mutual fund market by three factor and four factor models." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/10251668365873753590.
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碩士國立中興大學
財務金融系所
98
We use mutual fund flow data to test the smart money effect. The smart money effect happens when a mutual fund receives higher inflow and then the mutual fund will perform well in the next period. We use Fama and French three factors model and Carhart four factors model to calculate the performance of mutual fund. And also use the two models to calculate the Alpha of portfolio. If the Alpha is significant greater than zero, we confirm the existence of smart money effect. If the Alpha is not significant greater than zero, we compare the Alpha between the portfolio made by inflow and portfolio made by fund value. If the Alpha of inflow portfolio is significant greater than the Alpha of fund value portfolio, we say the money of investors is comparatively smart. We use the monthly data from January 2001 to January 2010.The data set includes inflow of mutual fund, outflow of mutual fund, fund value of mutual fund and the net flow of mutual fund. The result shows that only the Alpha of equal weighted net flow portfolio is significant. The other results show that the money of investors is comparatively smart.
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Satjawathee, Theeralak. "The performance of equity funds in Thailand, 1992-2000." Thesis, 2004. https://vuir.vu.edu.au/15681/.
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The primary aim of this study is to examine Thai equity fund performance during the period 1992-2000. The achievement of the primary aim will involve investigation of
fund performance in sub-periods of expansionary and contractionary market environments, the relationship between investment performance and risk, and the correlation between the risk-adjusted performance measures. The secondary aim of this study is to investigate the persistence of fund performance between a subsequent
period and a series of prior periods of varying length. This study of persistence will lead to an exploration of an optimal past performance information set of equity funds
in Thailand.
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HUANG, YU-TSEN, and 黃聿岑. "The Study of the Down-Side Risk and Performance for Money Market Fund Under the Corrected Sharpe and Jensen Index." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/8864ym.
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碩士世新大學
財務金融學研究所(含碩專班)
105
Monetary funds are treated by investors as temporary storage of funds, when the investment market changes drastically, the lower-paying monetary fund has become one of the goods. However, the monetary funds remains risky. This chapter collects 26 currency funds, including the NT dollar, the US dollar and the RMB currency fund, to sort out the three-month cumulative rate of return for each session of the currency fund, and expect the discussion of the futures fund by the revised Sharp and Jensen indicators The rate of return under risk. In this paper, the historical simulation method is used to estimate the relative risk value of each currency fund to correct the Jensen index. The results show that the relative risk value of RMB money fund is higher than that of NT money fund, so RMB monetary fund can get higher risk premium, so the use of relative risk considerations, the RMB monetary fund returns higher than the original Jensen Indicators and expected remuneration. However, because the investment strategy of the US dollar funds is different, so the estimated relative risk value is not consistent, so the estimated risk compensation is also different. Compared with the revised Jensen index, the Jensen index of this revised Jensen index is similar to the Jensen index. The Jensen index is similar to the Jensen index.
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Dovicová, Michaela. "Nárust stínového bankovnictví." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-330489.
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i Abstract Recent financial crisis resulting in global financial instability pointed at the importance of growing shadow banking. Shadow banking activities are gen- erally defined as banking-like activities outside of regulated banking. In this thesis, we study theoretical background of shadow banking, its regulation and supervision. Despite the data availability problem, a qualitative analysis is performed to estimate the volume of the European and the U.S. shadow bank- ing sectors from 2006 until 2013 Q2. European shadow banking system hit its bottom of EUR 8.3 trillion (19% of total European bank assets) in 2008 Q4. Nowadays, it equals to EUR 9.3 trillion (21% of total European bank assets). U.S. shadow banking sector attained its maximum of USD 20.7 trillion (163% of total U.S. bank assets) in 2008 Q1. Nowadays, it equals to USD 15.6 tril- lion which also equals to total U.S. bank assets. Moreover, we concentrate on Chinese money market funds and French and UK repo markets, since these represent an important part of shadow banking. Quantitative analysis studies relationships among traditional banking, shadow banking and economy itself in France and UK. Results show that if repo transactions, GDP and government debt increase, total bank assets increase. Furthermore, if money market fund assets decrease and...