Yin-Ching Jan

Short-Run and Long-Run Persistence in Mutual Funds

This empirical examination of a strategy that picks equity mutual funds on the basis of past short- and long-run performance provides some interesting results. The premise is that short-run mutual fund performance is likely to persist in the long run. A division of the funds in the CRSP Survivor-Bias-Free U.S. Mutual Fund Database according to past performance?funds with strong past short-run and long-run performance rated as best?reveals that in the subsequent year the best funds significantly outperformed the worst funds. Mutual fund investors can likely benefit from selecting funds on the basis of not only past short-run performance but also past long-run performance.

A three‐step matrix method for strategic marketing management

This paper proposes a simple three‐step matrix method to assess the situations in the marketplace. First, an industry perspective matrix is developed to assess the opportunities and threats in the operating environment. Next, a competitive position matrix is constructed, to determine the strength and weakness of the strategic business unit. Then, the two are combined to produce a market situation matrix. Any firm can locate its strategic business unit into these matrices, and thereby assess its current and predicted future position in a given marketplace. This approach is very easy to implement in practice, and provides a clearer assessment of strategic options than any single decision matrix alone.

The world price of exchange risk in the Pacific Basin equity markets

This paper investigates whether the foreign exchange risk is priced in the Pacific Basin equity markets. The test was performed in the conditional version which allows the world prices of market risk and exchange risk to vary over time. Being parsimonious, a principal component analysis is taken on these Pacific Basin interest rates to extract the common exchange rate factors. The results show that the international asset pricing model with exchange risk premia is better than the international asset pricing model without exchange risk premia to describe the Pacific Basin stock returns. This implies the world prices of exchange risk are present in the Pacific Basin equity markets.

Rate of Return Would Not Increase To the Extent of Annuity Saving Discount

This note demonstrates that when there is a discount on uniform cash flow, the rate of return would not increase to the extent of the discount. The extent to which the rate of return would increase depends on the investment horizon.

Sharpe Timing Ratio

Many researchers have advocated measuring market timing performance by measuring the extent to which fund realized investment weight-shift is consistent with the realized asset return. However, the weight-shift approach ignores the market timing risk, which comes from the variation in market return. This article proposes a new measure, the Sharpe timing ratio, which incorporates the market timing risk into the measurement of market timing performance. Using an example, the authors demonstrate that compared with the weight-shift approach, the Sharpe timing ratio yields results that are more consistent with market realities in timing-risk scenarios