Effective fair pricing of international mutual funds

Journal of Banking and Finance

Volumn 32, Issue 11, 2008, Pages 2307-2324

  Chua, Choong Tze ^a   Lai, Sandy ^a   Wu, Yangru ^b,c  

^a SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^b RUTGERS UNIVERSITY   (United States)

^c CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS   (China)

Author keywords

Fair pricing; International mutual funds; Stale pricing; Stepwise regression

Indexed keywords

EID: 52949125993     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.06.014     Document Type: Article

References (30)

1. Beckers S., Connor G., and Curds R. National versus global influences on equity returns. Financial Analysts Journal 52 (1996) 31-39
2. Bhargava R., Bose A., and Dubofsky D.A. Exploiting international stock market correlations with open-end international mutual funds. Journal of Business Finance and Accounting 25 (1998) 765-773
3. Boudoukh J., Richardson M., Subrahmanyam M., and Whitelaw R.F. Stable prices and strategies for trading mutual funds. Financial Analysts Journal 58 (2002) 53-71
4. Burns P., Engle R., and Mezrich J. Correlations and volatilities of asynchronous data. Journal of Derivatives 5 (1998) 7-18
5. Campbell J.Y., and Hamao Y. Predictable stock returns in the United States and Japan: a study of long-term capital market integration. Journal of Finance 47 (1992) 43-69
6. Chalmers J.M.R., Edelen R.M., and Kadlec G.B. On the perils of financial intermediaries setting security prices: the mutual fund wild card option. Journal of Finance 56 (2001) 2209-2236
7. Chan K., Hameed A., and Lau S.T. What if trading location is different from business location? Evidence from the Jardine Group. Journal of Finance 58 (2003) 1221-1246
8. Craig A., Dravid A., and Richardson M. Market efficiency around the clock: some supporting evidence using foreign-based derivatives. Journal of Financial Economics 39 (1995) 161-180
9. Draper N.R., and Smith H. Applied Regression Analysis (1998), Wiley, New York
10. Duffee G.R. Term premia and interest rate forecasts in affine models. Journal of Finance 57 (2002) 405-443
11. Dumas B., and Solnik B. The world price of foreign exchange risk. Journal of Finance 50 (1995) 445-479
12. Errunza V., and Losq E. International asset pricing under mild segmentation: theory and test. Journal of Finance 40 (1985) 105-124
13. Eun C.S., and Janakiramanan S. A model of international asset pricing with a constraint on the foreign equity ownership. Journal of Finance 41 (1986) 897-914
14. Fama E., and French K.R. Commodity futures prices: some evidence on forecast power, premiums, and the theory of storage. Journal of Business 60 (1987) 55-73
15. Fama E., and French K.R. Multifactor explanations of asset-pricing anomalies. Journal of Finance 51 (1996) 55-84
16. Fama E.F., and French K.R. Industry costs of equity. Journal of Financial Economics 43 (1997) 153-193
17. Fama E.F., and French K.R. Value versus growth: the international evidence. Journal of Finance 53 (1998) 1975-1999
18. Froot K.A., and Dabora E.M. How are stock prices affected by the location of trade?. Journal of Financial Economics 53 (1999) 189-216
19. Goetzmann W.N., Ivkovic Z., and Rouwenhorst K.G. Day trading international mutual funds: evidence and policy solutions. Journal of Financial and Quantitative Analysis 36 (2001) 287-309
20. Greene J.T., and Hodges C.W. The dilution impact of daily fund flows on open-end mutual funds. Journal of Financial Economics 65 (2002) 131-158
21. Hartzmark M.L. Luck versus forecast ability: determinants of trader performance in futures markets. Journal of Business 64 (1991) 49-74
22. He J., and Ng L.K. The foreign exchange exposure of Japanese multinational corporations. Journal of Finance 53 (1998) 733-753
23. Hou, Keiwei, Karolyi, Andrew, Kho, Bong Chan, 2006. What fundamental factors drive global stock returns? Working Paper, Ohio State University.
24. Investment Company Institute, 2002. Valuation and liquidation issues for mutual funds: 2002 supplement. ICI White Paper.
25. Jorion P. The exchange-rate exposure of US multinationals. Journal of Business 63 (1990) 331-345
26. Kilian L., and Taylor M.P. Why is it so difficult to beat the random walk forecast of exchange rates?. Journal of International Economics 60 (2003) 85-107
27. Pesaran M.H., and Timmermann A. Predictability of stock returns: robustness and economic significance. Journal of Finance 50 (1995) 1201-1228
28. Qi M., and Wu Y. Nonlinear prediction of exchange rates with monetary fundamentals. Journal of Empirical Finance 10 (2003) 623-640
29. Rouwenhorst K.G. International momentum strategies. Journal of Finance 53 (1998) 267-284
30. Zitzewitz E. Who cares about shareholders? Arbitrage-proofing mutual funds. Journal of Law, Economics, and Organization 19 (2003) 245-280