The Predictability of International Mutual Funds

The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics and Finance

Year

2004

Author dc:creator

• Mazumder, Mohammed Imtiaz Ahmed

Contributors dc:contributor

• Miller, Edward M.
• Naka, Atsuyuki
• Whitney, Gerald

• Market Timing and Technical Trading Rule
• Weekend Effect
• Stale Prices and Return Autocorrelation
• Net Asset Value of Mutual Fund
• Return Predictability
• Fair Value Pricing

Repository record dc:identifier

https://scholarworks.uno.edu/td/175

OAI identifier oai:identifier

oai:scholarworks.uno.edu:td-1179