This paper investigates features of performance persistence in actively managed mutual funds, when fund performance is measured relative to both funds' self-reported benchmarks and peer groups. Using a novel benchmark-and peer-group-adjusted performance model (MMT), we evaluate 735 US Large Cap Growth funds from 1990 to 2018. Our findings show that MMTidentified winner funds deliver persistent outperformance across 6-, 12-, and 24-month holding periods, with the strongest results for shorter rebalancing intervals. Crucially, this persistence holds across market regimes-including crisis periods-and survives realistic transaction cost estimates, supporting the model's practical feasibility. Outperformance is not limited to the select few top funds; even diversified portfolios of MMT winners generate superior returns. The MMT model's strength lies in its ability to isolate persistent fund manager skill by adjusting for benchmark misalignment and peer-group dynamics, offering a robust alternative to traditional alpha-based models.

This study examines intraday volatility spillovers between oil prices and sector indices of five oil exporting and nine oil importing countries applying the connectedness approach. The sample comprises 1689 stocks, from which ten sector indices are manually constructed utilising 5-min data covering the period from July 31, 2020, to April 30, 2021. Results indicate that the total volatility connectedness remains elevated following the peak phases of market turbulence during the global health crisis. Significant and dynamic volatility interdependencies are observed between oil and sector indices, with the direction and intensity of spillovers varying by country and sector. Oil serves as a primary net-contributor of volatility to sectors in Norway and the United Kingdom, while acting as a net-recipient from sectors in Canada and the United States. Sectors in Australia, China, Mexico, and South Korea exhibit minimal volatility interlinkages with oil.

This study investigates the return and volatility transmissions between petroleum prices and stock sector indices of 7 net petroleum-exporting and 19 net petroleum-importing countries over the period from January 2005 to September 2018. Given that indices representing sectors of most considered countries are not available, a unique approach is implemented to manually construct sector indices using daily data of 5768 stocks listed in 10 sectors. The VAR-GARCH model is applied that allows to capture bilateral volatility interactions. Furthermore, the estimates of the model are employed to analyse optimal portfolio holdings and hedge ratios. The findings reveal significant volatility transmissions between petroleum prices and stock sector indices of exporters and importers. However, the direction and magnitude of spillover effects are country- and sector-specific. The optimal portfolio weights and hedge ratios indicate that sector indices of Saudi Arabia (net exporter) and China (net importer) offer better opportunities with respect to hedging petroleum price risks.

This study compares four multivariate GARCH approaches in modelling bilateral return and volatility spillovers between petroleum prices and self-constructed stock sector indices of net petroleum exporters (Canada and Saudi Arabia) and net petroleum importers (the United States and China). The estimates are subsequently used to quantify optimal portfolio weights and hedge ratios and to evaluate the effectiveness of the resulting hedging strategies. The outputs point to the presence of heterogeneous volatility interdependencies, which are more evident for Canada and the United States. The optimal weight of petroleum is greater in portfolios comprising stock sector indices of Saudi Arabia and China, which also provide lower hedging costs. Time-varying conditional correlations, portfolio weights, and hedge ratios exhibit considerable variations, particularly during turbulent periods. Finally, the hedging strategies generated from the VAR-DCC-GARCH specification result in the greatest reduction, although not substantial, of risks for portfolios involving stock sector indices of all countries.

Employing the novel technique of disentangling daily demand, supply and risk shocks, this study examines their impact on manually constructed ten sector indices of petroleum exporters and importers. The empirical results suggest that the sign and magnitude of observed sectors' sensitivities are contingent on the nature of petroleum shocks and differ across petroleum exporters and importers. The total connectedness between petroleum shocks and stock sector indices, which is greater for importers, strengthens during the financial crisis and geopolitical tensions. Overall, the applied methodologies indicate that stock returns in sectors of petroleum exporters and importers are predominantly driven by demand shocks.

We examine the voluntary disclosure of climate-related financial risk information by a sample of the largest pension funds in selected OECD countries (Australia, Canada, Denmark, the Netherlands, Sweden, the U.K., and the U.S.). Specifically, we assess the extent of aligning their engagement with the recommendations of the Task Force on Climate-Related Financial Disclosures (TCFD) across three dimensions of environmental accountability: (i) membership in external organizations, (ii) reporting and policy commitments, and (iii) climate-related actions undertaken. Our analysis focuses on the six-year period from 2016 to 2021, following the release of the TCFD’s disclosure framework. We manually collected data on financial characteristics and climate risk disclosure practices for the sample funds. We hypothesize that fund-specific risk characteristics influence the likelihood that pension funds will publicly disclose their climate risk engagement. Our second hypothesis posits that cultural attributes at the country level help explain international variation in climate risk engagement. Third, we propose that countries mandating private pension savings incentivize pension funds to report on and engage with climate-related risks. Our findings mainly support these predictions, based on a multivariate ordered logistics regression test. We additionally find a significant increase in engagement over time among the sample funds. Moreover, our results show a negative relationship between investment risk and climate risk engagement at the fund level. Finally, we find that cross-sectional variation in climate engagement is shaped by both country-level cultural factors and public policy frameworks.

The UK fully legalised open market share repurchases in 1981, and to our knowledge no study has investigated the business cycle’s influence on repurchase decision-making. We address this aspect and investigate the period 1985-2014. This is relevant as the business cycle factors impact the firm-specific variables such as cash flow, profitability, dividends and capital structure, and these factors traditionally influence repurchase decisions. This forms the paper’s theoretical intuition, and the empirical objectives test the business cycle’s influence on the decision to undertake a repurchase, and also its influence on repurchases values. The results find that the business cycle influences both the decision of undertaking repurchases and repurchases’ values, and this influence has aggregately remained positively associated with economic prosperity. Thus, the frequency of repurchase announcements by British firms is more probable during prosperous economic circumstances. The results also reveal that the repurchase-business cycle relationship witnessed a structural break in 1996:Q2, and the real difference following this break is the increase in the business cycle’s influence on the decision regarding repurchase values. The paper thus contributes to existing literature by directly testing the UK’s repurchase-business cycle relationship, and providing detailed empirical evidences that business cycle conditions strongly impact the repurchase decision-making.

In this article, we investigate the pattern and dynamics of return and volatility connectedness across East and Southeast Asian markets (referred to as the ASEAN5 + 5 group) by utilizing forecast-error variance decompositions in a generalized VAR framework in conjunction with the Bai-Perron procedure to control for structural breaks. Our analysis of the dynamics of return spillovers in static and time-varying settings identifies that the stock markets of Singapore, Hong Kong and South Korea act as constant and largest net transmitters of shocks throughout the period from January 2003 to July 2021. The Chinese stock market is found to have the lowest return connectedness with other regional markets, which could be due to the local foreign ownership regulations. Visualization of the net pairwise return spillover network shows that Singapore is the sole net transmitter of shocks to all other markets in the ASEAN5 + 5 group, whereas, China, despite its market size is the sole net recipient. Two other markets in the regional group are identified as the net receivers, Japan and the Philippines, with the former becoming a net recipient from 2007. Our analysis of structural breaks shows that return spillovers across the markets intensify during periods of economic turmoil, financial shocks and the health crisis (COVID-19), however, return to the pre-shock levels during stable market periods. Further analysis of time-varying patterns revealed that the dynamic connectedness across the region is not symmetrical and the influence of negative returns is more pronounced. The investigation of volatility spillovers shows no substantial differences. The stock markets generally retain their roles. Importantly, the time-varying volatility connectedness exhibits similar patterns and tends to reach peak levels during turbulent episodes.

This paper discusses how bank governance has evolved in academic research and critically discusses the evolution of its concepts, research topics, and research scope in the literature. This paper differs from other literature reviews of the bank's corporate governance in two main points. First, we only survey the board governance to highlight a specific aspect of the bank's corporate governance. Second, this is a historical review that places the literature by the year of publication in a historical context. As presented, the topics that emerged in the M&A and banking consolidation in the 1990s expanded to financial stability in the post-financial crisis of 2008 and recently concerned economic sustainability issues. In addition, contributions in the historical review go beyond the history of corporate governance and motivate us to complete this paper. We show how the 2008 financial crisis impacted the evolution of the literature on the bank's board governance and identified the likely directions for future research.

Standard Fama-French-Carhart models define ‘winners’ as funds that generate the highest excess returns given the factor risks involved; however, they do not provide information on whether such winners are outperforming their prospectus benchmark or their peer group. In addition, existing literature relying on these models, by and large, does not find evidence of persistence in performance. In this paper, we propose a two-stage procedure that allows investors to select “true” winners(losers) which generate the highest factor-risk-adjusted performance relative to the benchmark and the peer group simultaneously. Utilizing both adjustments at the same time results in a strong predictive ability, leading to a selection of funds that persist in performance. Our true winner funds have statistically significant superior benchmark-adjusted alphas, peer group adjusted alphas and Sharpe ratios one year ahead, which are significantly different from those generated by the true loser funds. The results are robust to extended investment horizon, and alpha estimation method, and they are not driven by outliers, size of fund-sorts, or any particular period within our sample.

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Standard Fama-French-Carhart (FFC) models are widely used by academics to assess risk-adjusted fund performance versus market, size, style and momentum factors. However, they fail to reflect the industry standard, following which the performance of money managers is commonly evaluated relative to a corresponding benchmark and the peer group. In this paper, we introduce a new approach that augments the Carhart model and enables investors to identify the funds that outbid both the benchmark and the peer group. In addition, it allows discovering more certain winners by eliminating the under/outperformance of funds driven by the bias in the FFC factor construction. The application of our model is illustrated on Large Cap Value and Large Cap Growth US active equity mutual funds using contingency tables. The performance and persistence in performance are assessed by comparing our novel and the standard Carhart models. Our model identifies more winners than the Carhart; those winners earn higher returns net of benchmark and peer- group than the Carhart's winners, and show persistence in performance 36 months ahead. The results are robust to different specifications of contingency tables, holding periods or style categories of funds.

The multifaceted interrelationship between petroleum prices and equity markets has been a subject of immense interest. The current paper offers an extensive review of a plethora of empirical studies in this strand of literature. By scrutinising over 190 papers published from 1983 to 2023, our survey reveals various research themes and points to diverse findings that are sector- and country-specific and contingent on employed methodologies, data frequencies, and time horizons. More precisely, petroleum price changes and shocks exert direct or indirect effects dictated by the level of petroleum dependency across sectors and the country’s position as a net petroleum exporter or importer. The interlinkages tend to display a time-varying nature and sensitivity to major market events. In addition, volatility is not solely spilled from petroleum to equity markets; it is also observed to transmit in the reverse direction. The importance of incorporating asymmetries is documented. Lastly, the summarised findings can serve as the basis for further research and reveal valuable insights to market participants.

The paper focuses on the factors that determine the size of an open market share repurchase in the UK. The testing covers the time period 1985–2014 and tests if the traditional motives for repurchasing shares also determine the size of the repurchase. The testing also checks if the influences of these determinants are non-linear, U-shaped or inverted U-shaped, which, to the best of our knowledge, is also a novel empirical approach. The consideration of non-linear influences on repurchase size is relevant due to the overlapping of repurchase determinants. For instance, if the distribution of excess cash is the motive for undertaking the repurchase and not replacing dividend distribution, then the influence of dividend distribution on repurchase size may conflict with the traditional expectation of repurchases being used as dividend replacements. The testing finds that the motive of using repurchases for signalling stock undervaluation has the most consistent influence on repurchase size, followed by the motives of adjusting the reported EPS when earnings are negative and for distributing surplus cash. The motive for using repurchases to adjust the capital structure to increase the debt exposure has a U-shaped influence on repurchase size, while board independence has an inverted U-shaped influence. Overall, when compared to the current literature, this paper is able to demonstrate that there is a strong consistency between the motives that lead to repurchases in the UK, and the determinants of repurchase size.

This paper investigates the drivers of the market’s reaction to share repurchase announcements in the UK and the related abnormality in stock performance. It uniquely captures the impact of globalisation in tandem with a variety of firm-level and macro-level determinants. We undertake multivariate OLS regression to test the determinants of the market’s reaction and find a negative influence when repurchases are tax-friendlier than dividends if there is high debt exposure and economic globalisation is rising, with a positive influence when the company has a history of distributing above average dividends. To quantify the short-term price abnormality, we employ event study analysis, and the findings compute positive (insignificant) stock price abnormality for nonfinancial (financial) firms. For long-term stock price abnormality, we compare against the FTSE 100 by computing annual geometric stock performances. The findings indicate a negative (insignificant) stock price abnormality for nonfinancial (financial) firms. The results can aid corporate management in improving repurchase timing, aid in the decision making of financial practitioners when trading or investing in repurchasing firms, and assist policymakers in mapping more efficient fiscal and cross-market trade frameworks.

This paper reviews the literature that discusses how liberalization affects emerging stock markets on the cost of equity, stock volatility, stock liquidity, and informational efficiency. The survey consists of two parts, theoretical arguments and empirical evidence. Four primary mechanisms explaining the impacts are risk diversification, information-sharing, friction channel, and market competition. Our survey indicates that liberalization was evidenced to reduce the cost of equity (via risk diversification mechanism), stabilize stock volatility (mainly through risk diversification mechanism), increase stock market liquidity (in both friction channels and informational-sharing mechanisms), and improve the local market's informational efficiency (by informational-sharing mechanism). Also, we suggest some aspects of theoretical arguments that still need further examination by empirical research.

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

This paper examines the direction and magnitude of volatility transmissions between prices of petroleum and stock sector indices of the net petroleum exporter, Mexico, and the net petroleum importer, the United Kingdom. The sector indices are self-constructed utilizing daily data of 258 unique stocks listed in eight sectors from January 2005 to September 2018 that permits implementing the same methodological framework across two markets. The study applies the VAR-GARCH model that enables to study bidirectional spillover effects. The results provide evidence of volatility spillovers between petroleum prices and sector indices. The effects are more apparent in the case of the net exporter, where the bidirectional volatility transmissions were observed. The computed optimal portfolio weights and hedge ratios considerably vary among sectors of both countries. The findings emphasize the crucial role of comprehending the heterogeneity of sectors for the management of investment portfolios.