Date of Award
5-2004
Degree Type
Dissertation
Degree Name
Ph.D.
Degree Program
Financial Economics
Department
Economics and Finance
Major Professor
Miller, Edward M.
Second Advisor
Naka, Atsuyuki
Third Advisor
Whitney, Gerald
Fourth Advisor
Varela, Oscar
Fifth Advisor
Wei, Peihwang
Abstract
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.
Recommended Citation
Mazumder, Mohammed Imtiaz Ahmed, "The Predictability of International Mutual Funds" (2004). University of New Orleans Theses and Dissertations. 175.
https://scholarworks.uno.edu/td/175
Rights
The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.