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Given the importance of style allocation strategy under the outsourced chief investment officer (OCIO) structure, the authors examine the validity of style allocation strategies in the Korean stock market. The authors find that external investment agencies can improve performance by using newly suggested investment styles such as high dividend yield and low volatility as well as traditional styles. In addition, the authors find that the style combination strategies create economically large and statistically significant returns. Finally, empirical results indicate that factor timing strategies suggested in this study can improve the reward-to-risk ratio. In sum, the empirical findings indicate that external investment agencies under the OCIO structure can improve performance using active style allocation strategies.

The purpose of this paper is to present and demonstrate how the use of a multifactor model in the analysis of market timing skill can be misleading because the use of a multifactor model does not suit all investment styles equally well. If the factors of the analysis model do not span the portfolio holdings of a fund with less conventional investment strategy, the use of a multifactor model may even deteriorate the overall inference in measuring the market timing skill of a large sample of funds.

This study investigates the limitations of multifactor models in the analysis of market timing skill by applying the traditional Treynor-Mazuy and Henriksson-Merton analysis models of market timing skill using a set of “placebo” funds which are “natural” passive market timers.

The results of the study show that the incorporation of the Carhart four-factor model into the analysis of market timing skill considerably reduces the percentage of significant market timing results. But, as expected, the reduction of bias is not equal for different investment styles, and it works best when the factors of the analysis model are related to the investment style of the placebo portfolio.

This style-related limitation of multifactor models in the analysis of market timing skill may result in detecting funds with less conventional investment strategies as market timers since the factors used in the analysis are not likely to span their investment styles.

This study shows that the use of a multifactor model may lead to inferring passive market timers with less conventional investment styles as market timers. In addition, the findings of the study leave option replication approaches as more preferable bias corrections than multifactor extensions.

This paper aims to identify the direct impact of fund style drift on the risk of stock price collapse and the intermediary mechanism of financial risk, so as to better protect the interests of minority investors.

This paper takes all the non-financial companies on the Chinese Growth Enterprise Market from 2011 to 2020 as study object and selects securities investment funds of their top ten circulation stocks to study the relationship between fund style drift and stock price crash risk.

Fund style drift is likely to add stock price crash risk. Financial risk is positively correlated with stock price crash risk. Fund style drift affects stock price crash risk via the mediating effect of financial risk, and fund style drift and financial risk have a marked impact on the stock price crash risk of non-state enterprises, yet a non-significant impact on that of state-owned enterprises.

This paper links fund style drift with stock price crash risk in an exploratory manner and enriches the study perspectives of relationship between institutional investors’ behaviors and stock price crash risk, thus enjoying certain academic value. On the one hand, it furnishes a new approach to the academic frontier issue concerning financial risk and stock price crash risk, and proves that financial risk is positively correlated with stock price crash risk. On the other hand, it regards financial risk as a mediating variable of fund style drift for stock price crash risk and further explores different influencing mechanism of institutional investors’ behaviors.

This study aims to examine style-deviation practices in the socially responsible mutual funds (SMRF) industry i.e. how mutual funds game their stated financial objectives to earn a higher relative performance ranking. In addition, the consequences of such practices on sustainable scores and money flows are studied.

A sample of 454 US equity SRMFs is studied. This paper uses panel regressions controlling for time and style fixed-effects.

This study finds that 17.60% of SRMF managers in the sample are engaged in style deviation practices. These practices positively impact the sustainable performance of SRMFs and negatively impact their financial performance. One effect offsets the other and they consequently do not affect money flows. Another finding is that only investors with lower portfolio sustainability scores do show return-chaser behaviour.

This paper reveals that SRMF managers deviating from their stated financial style face a dilemma that is non-existent for their conventional peers that is style deviation practices affect financial and sustainable performance in opposing ways, whereas SRMF investor utility depends positively on both dimensions. The findings are not conclusive about the effectiveness of style deviation practices in attracting SRMF money flows.

SRMF industry has experienced tremendous growth in the past decade. The increased competition in this industry has led managers to strive to attract investors, sometimes by relying on irregular practices that enhance their portfolio results. Regulators should consider how to avoid such perverse behaviour with a view to improving mutual funds transparency.

This is the first research that analyses style deviation practices and their consequences for the SRMF industry.

This paper investigates whether style migration affects industry evolution. The study documents industry evolution in terms of market weights, returns, and risks over the sample period from 1966 to 2000. The study shows that investment styles migrate in different degrees across different industries over time. In addition, the relation between industry evolution and style migration is neither simple nor static. The paper shows that growth‐value migration has predictability about the industries' returns and changes in volatility. Furthermore, style migration in the industry is mainly driven by existing firms changing their investment styles, not by new entrants to the industry causing style shifts. Both investment theory and its application to investment management critically depend on our understanding of stock return persistence anomalies. The ability to outperform buy‐and‐hold strategies by acquiring past winning stocks and selling past losing stocks, commonly referred to as “individual stock momentum,” remains one of the most puzzling of these anomalies. Moskowitz and Grinblatt (1999) attribute the bulk of the observed momentum in individual stock returns to industry momentum—the tendency for stock return patterns at the industry level to persist. It is well known that there are hot and cold IPO markets, and hot and cold sectors of the economy. Investors may simply herd toward (away from) these hot (cold) industries and sectors, causing price pressure that could create return persistence. The recent attraction to internet stocks is perhaps the latest manifestation of such behavior, which is not unlike a similar pattern biotechnology firms and railroad firms witnessed in 1980s and 1900s, respectively. For the active portfolio manager, rotation among different industries may provide opportunities for portfolio performance enhancement. As a result, understanding both the evolution of industries and the style factors causing cyclical variation in industry returns and risk plays an important role in professional portfolio management. Given the fact that a number of researchers have found consistent differences among the returns of various equity classes, investment styles of size and growth‐value are natural candidates for studying what causes cyclical variation in industry returns and risks. Individual investment styles perform differently during various stages of a cycle of bull market and bear market. For example, small cap stocks outperformed large cap stocks in the 1970s, but large cap stocks outperformed small cap stocks in the 1980s. Growth stocks outperformed value stocks in 1998 while the opposite occurred in 1997. Although it is well documented that the cross‐sectional variation in expected returns can be captured by three factors: market, size, and book‐to‐market, it is not yet clear whether cyclical variations in style attributes, not style returns, influence cross‐sectional variation in expected returns and return variance. In the investment industry, cyclical variation in style attributes is commonly called style migration. Perez‐Quiros and Timmermann (2000) provide a rational suggestion that small firms are most strongly affected by tighter credit market conditions in a recession and thus cyclical variations in style performance result from business cycles. As certain equity classes took off and others fell out of favor, investors overreacted, thereby causing cyclical variations in returns and risks of industries where firms are similarly sensitive to the fundamental shocks. In a recent study of behavioral finance, Barberis and Shleifer (2003) argue that in the presence of switchers who can affect asset prices by moving funds across styles, a style‐level momentum strategy could be successful because good performance by a style attracts switcher flows, which then drive the prices even higher. Analyzing the extent of interaction between style migrations and industry evolution may shed light on understanding the sources of predictable components in industry returns and risk. This paper provides such a contribution to the literature. The rest of the paper is organized as follows. Section I describes the sample data and summarizes industry evolution in terms of market capitalization weights in the entire market over time. Section II analyzes style migration within each industry. Section III examines the effect of style migration on industry evolution. Section IV concludes.

The purpose of this paper is to examine the ethical investment willingness decision-making process to understand how investors evaluate corporate social responsibility (CSR) actions.

Data were collected through a survey of 298 individual investors and analyzed using structural equation modeling.

Results reveal that perfectionist decision-making style is positively related to perceived moral intensity, substitutability of financial returns, and ethical investment willingness. In addition, perceived moral intensity and substitutability of financial returns are positively related to ethical investment willingness. Finally, perceived moral intensity is positively related to substitutability of financial returns, and a two-factor causal mediation model is supported.

The limitation of this study was that the pre-tests and sampling methods required all participants to have investing experience; however, procurement of trading information for each investor was impossible; thus, actual investment behaviors were undetermined. This study shed light on the mediating roles of perceived moral intensity and the substitutability of financial returns. Future studies can further investigate the factors influencing perceived moral intensity and the substitutability of financial returns.

Future ethical investment education can focus on cultivate the ability to distinguish ethical investments and change ethical investment willingness into actual investment behavior.

Understanding the relationship between these variables can help understand why ethical investment willingness varies among investors and how the traditional financial theory investment decision model should be revised as, internationally, more people have begun to observe CSR and sustainable development.

This study evaluates the practicability of style analysis in evaluating the risk‐adjusted performance of New Zealand's retail equity trusts. The size of the New Zealand market and the short history of data available generate doubts concerning the usefulness of style analysis under these conditions. Style analysis provides useful insight when applied to the New Zealand retail equity unit trust sector. Two prevalent styles are identified, a large cap style and a mid‐cap‐value/small cap style. Little variation in style was detected for the group of trusts that tracked the large‐cap equity index but substantial variation was indicated in relative performance versus a passive investment in their style benchmarks. Significant variation was detected, both in terms of style and relative performance of trusts that tracked a mid‐cap‐value/small‐cap index. A small number of New Zealand equity managers were able to maintain a consistent style, while meeting or beating the performance of their style benchmarks.

The demand for value added investment in the European real estate market emerged in the mid to late 1990s and over the past decade has grown rapidly as a preferred investment style. Recent evidence suggests that investor appetite for value added products is set to intensify further. The purpose of this paper is to consider value added investment in the context of the wider market and in particular considers the rationale underpinning the current surge in demand. The paper explores the core components of its risk return profile and puts forward a strategic investment framework for European value added investment.

This paper develops a three tier filter to enable the classification of investment style. First, the risk parameters of the key investment characteristics are considered; second, the degree of risk exposure experienced on any one dimension and finally, the combination of such risks taken at any one time.

The key findings of this paper are: the shift in capital towards real estate at the beginning of the decade brought a new investor audience to the sector. Alongside the existing investor base, their growing experience in the sector, together with steep pricing competition for core has increased their risk appetite within the sector.

The paper emphasizes that investment strategies focussed on delivering true risk adjusted value added returns must be capable of identifying structural change, evaluating its implications for the real estate market and analysing its impact on current and future value.

Though 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.

We use Cox Proportional Hazard model, which is considered a superior method, over the logistic regression models. All previous studies are based on logistic regressions.

We 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.

Tracking 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.

Our 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.

Hopefully, 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.

We 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.

There is a great deal of research that has been done to investigate the investment characteristics of conventional socially responsible investment portfolios compared to their broader conventional counterparts. However, the impact of incorporating sustainability criteria into the traditional Sharia screening process has not so far been investigated. Therefore, the study aims to give empirical evidence as to whether or not incorporating sustainability socially responsible criteria in the traditional Sharia screening process has a significant impact on the investment characteristics of the Islamic investment portfolio.

The paper examines the investment characteristics of four groups of investment portfolios mainly, Dow Jones Global Index, Dow Jones Sustainability World Index, Dow Jones Islamic Market World Index and Dow Jones Islamic Market Sustainability Index. To improve the robustness of the study, the analysis was carried out at different levels. First, absolute mean return and t‐test were used to examine whether the difference between the different groups of investments is statistically significant or not. Second, risk adjusted equilibrium models, both single‐index and Fama and French multi‐index, were employed. This is to control for different risk exposure and investment style bias associated with different investment portfolios examined.

The paper finds that neither the Sharia nor the sustainability screening process seems to have an adverse impact on the performance and systematic risk of the investment portfolios compared to their unrestricted conventional counterparts. Therefore, Muslim as well as socially responsible investors can choose investments that are consistent with their value systems and beliefs without being forced to sacrifice performance or expose to higher systematic risk.

The study contributes to the existing literature by giving new evidence on the impact of incorporating sustainability criteria into the traditional Sharia screening process that has not so far been investigated.