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Article
Publication date: 14 September 2020

Qiang Bu and Jeffrey Forrest

The purpose of this study is to investigate whether the direct and indirect sentiment measures are similar in explaining mutual fund performance.

Abstract

Purpose

The purpose of this study is to investigate whether the direct and indirect sentiment measures are similar in explaining mutual fund performance.

Design/methodology/approach

The authors examine the role of direct and indirect sentiment measures on fund performance in two scenarios. One is when a sentiment measure is added to market models, and the other is when it used independently. Also, the authors propose a system science theory to explain the findings.

Findings

The authors find that both direct and indirect sentiment measures are integral to the benchmark models to explain fund performance. However, while the explanatory power of the direct sentiment index is robust when used independently or collectively, the indirect sentiment measures can explain fund performance only when used along with other market factors.

Originality/value

Given the number of sentiment measures, it is critical to determine whether these measures contain the same information of sentiment. This paper represents the first study on this topic.

Details

International Journal of Managerial Finance, vol. 17 no. 3
Type: Research Article
ISSN: 1743-9132

Keywords

Article
Publication date: 3 October 2016

Qiang Bu

The standard market models assume that all investors are rational with the same level of risk aversion, whereas investors in the real world are neither rational nor…

Abstract

Purpose

The standard market models assume that all investors are rational with the same level of risk aversion, whereas investors in the real world are neither rational nor homogeneous. This contrast makes these models inappropriate for evaluating manager skill. The purpose of this paper is to attempt to bridge the gap between model assumption and fund investment practice.

Design/methodology/approach

This study proposes a series of modified models using the excess return of peer funds to estimate fund alpha. In these models, the market excess return in the standard market models is replaced with the average excess return of bootstrapped funds. In addition, the author examines the reasons for the difference between the modified models and the standard models.

Findings

The modified models better explain the variation of fund returns, and they exhibit that a considerably higher percentage of funds can earn positive alpha, thus the skill of fund managers is underestimated based on the standard market models.

Originality/value

The proposed models provide a more reliable method for investors to identify skilled fund managers, and they can also serve as an objective benchmark in evaluating fund performance and in designing manager compensation packages.

Details

American Journal of Business, vol. 31 no. 4
Type: Research Article
ISSN: 1935-5181

Keywords

Article
Publication date: 18 July 2019

Qiang Bu

This study aims to examine whether mutual funds can earn daily alpha and time daily market return.

Abstract

Purpose

This study aims to examine whether mutual funds can earn daily alpha and time daily market return.

Design/methodology/approach

Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds.

Findings

The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal.

Originality/value

Using bootstrapped funds as the benchmark, this study shows that daily fund market is overall efficient.

Details

Studies in Economics and Finance, vol. 36 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 21 August 2019

Qiang Bu

The purpose of this paper is to create a quantitative measure that captures the effects of investor sentiment in an objective way.

Abstract

Purpose

The purpose of this paper is to create a quantitative measure that captures the effects of investor sentiment in an objective way.

Design/methodology/approach

The author introduced risk estimation bias (REB) to examine the effects of forecasting error of future market volatility on fund alpha. The author also used GARCH to model the volatility of the REB.

Findings

The author documented a statistically significant relation between REB and realized market volatility. The author also found that the REB plays a significant role in explaining fund alpha.

Originality/value

REB is the first quantitative measure to examine the effects of investor sentiment on risk estimation and fund performance. The GRACH properties of REB provide important information on how investor sentiment fluctuates over time.

Details

Review of Behavioral Finance, vol. 11 no. 4
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 8 August 2016

Qiang Bu and Nelson Lacey

– The purpose of this paper is to examine managerial skill of US equity mutual funds in the context of both abnormal return and risk.

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Abstract

Purpose

The purpose of this paper is to examine managerial skill of US equity mutual funds in the context of both abnormal return and risk.

Design/methodology/approach

The authors evaluate manager skill based on the outperforming probability and cumulative distribution function of the actual funds and the bootstrapped funds. And the authors recognize the role of fund life cycle and use different evaluation horizons to control for fund age and the overall state of the market.

Findings

The authors find that a small percentage of equity funds can beat the market, and the percentage is overall higher than what the control group would predict. The authors find no evidence of persistence. The authors also document that the chance of underperformance is much higher than what the authors had expect from the control group. Taking the risk-return tradeoff into account, any performance advantage of actual funds over bootstrapped funds is correlated with tail risk, and a robustness check confirms this finding.

Originality/value

The authors find that the outperforming probability itself is not enough to confirm the existence of manager skill. The complete story of mutual fund alpha, should it exist, would not be complete without incorporating both risk and luck.

Details

Managerial Finance, vol. 42 no. 8
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 15 February 2013

Qiang Bu and Nelson Lacey

The purpose of this study is to examine the market‐timing ability of mutual fund flows and how fund investors conduct asset allocation in response to market volatility.

Abstract

Purpose

The purpose of this study is to examine the market‐timing ability of mutual fund flows and how fund investors conduct asset allocation in response to market volatility.

Design/methodology/approach

The paper compares the abnormal returns of net inflow funds with those of net outflow funds, and it explores the performance gap between them based on a model that incorporates both market return timing and market volatility timing. The asset allocation pattern of fund investors and its relation to market volatility are also investigated.

Findings

This study finds that funds that receive net money inflows fail to earn risk‐adjusted abnormal returns, while funds with net outflows earn statistically significant negative abnormal returns. Neither the net inflow funds nor the net outflow funds show any ability to time the market return, but there is some evidence that net inflow funds exhibit an ability to time market volatility. Because cash holdings of the net outflow funds are much lower than that of the net inflow funds, it is concluded that the underperformance of net outflow funds is to an extent an asset fire sale.

Research limitations/implications

The study results show that fund investors on the whole are driven by market volatility, and they do not have an ability to time the market return. The results do not exclude the possibility that a small number of investors possess market timing skills.

Originality/value

The study demonstrates the importance of funds' liquidity management through investor reaction to dynamic market conditions.

Details

Review of Accounting and Finance, vol. 12 no. 1
Type: Research Article
ISSN: 1475-7702

Keywords

Article
Publication date: 2 May 2008

Qi Xu

Recognising interest in the nascent “rise of China”, the purpose of this paper is to engage with the normative social science approach to comparative management, positing…

Abstract

Purpose

Recognising interest in the nascent “rise of China”, the purpose of this paper is to engage with the normative social science approach to comparative management, positing that it is inadequate for an enlightened view of the Chinese subject.

Design/methodology/approach

This paper presents a critical appraisal of extant literature, specifically Redding's The Spirit of Chinese Capitalism, by drawing resources from Fabian's epistemological critique of anthropology and Levinas' ethics to replace ontology as first philosophy, and by reference to historical studies on China's economic culture and its language.

Findings

Attention is drawn to how Redding's research subject is made an object of knowledge. In the objectification process, the subject's continuity is interrupted, its voice deprived, and its capacity for dialogue denied. This is evident in Redding's framework for analysis. Indeed, his Weberian social science template manifests a certain “imperialism of the same” and is symptomatic of much in comparative management regarding non‐western subjects. After critique, this essay then explores a supplement to Redding.

Practical implications

The paper proposes three principles for finding one's way out of objectification: ethics before “knowledge”, justice before “power”, and dialogue before “vision”.

Originality/value

The paper contributes to discourse on how comparative management must transcend its imperial social science legacy before it can find a just footing, and be born again.

Details

Critical perspectives on international business, vol. 4 no. 2/3
Type: Research Article
ISSN: 1742-2043

Keywords

Article
Publication date: 16 January 2009

Wu Yan and Lisa Catherine Ehrich

The purpose of this paper is to provide an understanding of principal preparation and training in China by providing a background discussion of principal preparation in a…

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Abstract

Purpose

The purpose of this paper is to provide an understanding of principal preparation and training in China by providing a background discussion of principal preparation in a number of countries. As an illustration, it provides an overview of the curriculum used in the initial preparation of school principals at Beijing Normal University.

Design/methodology/approach

The paper draws mainly on writing and research from China, Australia and the USA to explore principal preparation and training in China.

Findings

In addition to providing a rich description of principal preparation in China, the paper's main findings comprise seven key challenges that confront China as it endeavours to provide quality principal preparation. These challenges include China's diversity and uneven social, cultural and educational development; limited resources in some regions throughout China; the place and importance of study tours for principal preparation; the teaching approach used to train principals; the process used for assessing principal learning during their training programs; the limited transfer of learning from the classroom to the school environment; and the timing of training for principals.

Practical implications

Each of the challenges arising here raises important practical implications for developers of principal training programs.

Originality/value

The paper paints a picture of principal preparation in China and raises a number of issues and challenges with which it continues to grapple. Of note is that China is not alone in facing some of these ongoing concerns.

Details

International Journal of Educational Management, vol. 23 no. 1
Type: Research Article
ISSN: 0951-354X

Keywords

Book part
Publication date: 3 September 2021

Fengqi Qian and Guo-qiang Liu

Since the beginning of the new millennium, Confucian doctrines on one’s self-cultivation have been re-introduced to curriculum in China. The revived cherish of the…

Abstract

Since the beginning of the new millennium, Confucian doctrines on one’s self-cultivation have been re-introduced to curriculum in China. The revived cherish of the Confucian legacy in the twenty-first century is a reverse from the official rejection of Confucianism in the Mao era (1950–1976). It also appears as a counterweight to the individualism proliferating among the Chinese youths born at the beginning of the new millennium (Gen Z). The re-introduction of Confucianism is thus ideologically purposeful. Yet how does the mixed exposure to Confucius’ legacy and the modern idea of self-awareness impact this cohort of young people, in particular their way of learning? This chapter focusses on Chinese Gen Z studying in Australia. Using the Bourdieuan theory of human habitus, this chapter examines how these students negotiate between the ideas of self-cultivation and self-awareness, and what implications such experiences have in an intercultural academic community.

Details

Teaching and Learning in Higher Education: The Context of Being, Interculturality and New Knowledge Systems
Type: Book
ISBN: 978-1-80043-007-5

Keywords

Article
Publication date: 1 August 2019

Min Li, Wenyuan Huang, Chunyang Zhang and Zhengxi Yang

The purpose of this paper is to draw on triadic reciprocal determinism and social exchange theory to examine how “induced-type” and “compulsory-type” union participation…

Abstract

Purpose

The purpose of this paper is to draw on triadic reciprocal determinism and social exchange theory to examine how “induced-type” and “compulsory-type” union participation influence union commitment and job involvement, and how union participation in the west differs from that in China. It also examines whether the role of both organizational justice and employee participation climate (EPC) functions in the Chinese context.

Design/methodology/approach

Cross-sectional data are collected from 694 employees in 46 non-publicly owned enterprises, both Chinese and foreign, in the Pearl River Delta region of China. A multi-level moderated mediation test is used to examine the model of this research.

Findings

Union participation is positively related to organizational justice, union commitment and job involvement. In addition, organizational justice acts as the mediator among union participation, union commitment and job involvement. Specifically, the mediating role of organizational justice between union participation and union commitment, and between union participation and job involvement, is stronger in high-EPC contexts than low-EPC contexts.

Originality/value

Instead of examining the impacts of attitudes on union participation, as per most studies in the western context, this research examines the impacts of union participation in the Chinese context on attitudes, including union commitment and job involvement. It also reveals the role of both organizational justice and EPC in the process through which union participation influences union commitment and job involvement.

Details

Employee Relations: The International Journal, vol. 41 no. 6
Type: Research Article
ISSN: 0142-5455

Keywords

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