FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1506562913> ?p ?o ?g. }

• W1506562913 endingPage "771" @default.
• W1506562913 startingPage "756" @default.
• W1506562913 abstract "Purpose The purpose of this paper is to examine asset class cross‐autocorrelations at the macro‐level by exploring the return associations among mutual fund asset classes. The low transactions costs of trading mutual funds make this extension important since informed traders can potentially use mutual funds to exploit asset class return cross‐autocorrelations that were not exploitable with individual securities. Design/methodology/approach The Granger causality tests and correlation results are employed to ascertain whether significant relationships exist among asset classes. Using a time series of 2,739 daily returns for 641 mutual funds comprising 20 asset classes, trading strategies are developed using the initial sample and evaluated out‐of‐sample on a risk‐adjusted basis. Findings Both the cross‐autocorrelations and Granger causality tests suggest that most of the domestic equity asset class returns can predict future global and international equity returns. Further, the trading‐rule portfolios provide a greater return per unit of risk (Sharpe and Treynor ratios) thus dominating all buy‐and‐hold portfolios. Risk‐adjusted excess returns (Jensen's α) of the trading rules are positive and statistically significant at the 1 per cent level. The results of trading strategies also reveal that there are no statistically significant return differences between load and no‐load funds. Research limitations/implications Redemption fees seem to be standard practice now, except for money market funds and funds specially designed for market timers. Thus, the trading strategy returns of this paper overestimate actual returns. However, investors may still find the proposed trading strategies beneficial because redemptions fees can be avoided if investors get the opportunities to trade in mutual fund supermarkets. The trading strategies may have implications for other international markets where the sizes and styles of the mutual funds' assets are increasing enormously with a few trading restrictions. Originality/value A noteworthy and original contribution of this study is the two‐day Granger causality test. This paper documents that the duration of mutual funds' return predictability extends beyond a one‐day horizon. The duration of daily mutual fund return predictability is believed to be unexplored and should be of considerable relevance to practitioners and regulators." @default.
• W1506562913 created "2016-06-24" @default.
• W1506562913 creator A5036074622 @default.
• W1506562913 creator A5065664382 @default.
• W1506562913 creator A5083799345 @default.
• W1506562913 date "2008-09-26" @default.
• W1506562913 modified "2023-09-27" @default.
• W1506562913 title "Cross‐autocorrelations among asset classes" @default.
• W1506562913 cites W1981264385 @default.
• W1506562913 cites W1992912203 @default.
• W1506562913 cites W1993702833 @default.
• W1506562913 cites W2006316300 @default.
• W1506562913 cites W2013037245 @default.
• W1506562913 cites W2016334400 @default.
• W1506562913 cites W2028203519 @default.
• W1506562913 cites W2042340776 @default.
• W1506562913 cites W2055337889 @default.
• W1506562913 cites W2092526140 @default.
• W1506562913 cites W2136120210 @default.
• W1506562913 cites W2169786125 @default.
• W1506562913 cites W2178225550 @default.
• W1506562913 cites W3121305307 @default.
• W1506562913 cites W3122187992 @default.
• W1506562913 cites W3123239780 @default.
• W1506562913 cites W3123539557 @default.
• W1506562913 cites W3124439061 @default.
• W1506562913 cites W3125778425 @default.
• W1506562913 cites W3126146309 @default.
• W1506562913 cites W4241584625 @default.
• W1506562913 cites W4248290786 @default.
• W1506562913 cites W1993319357 @default.
• W1506562913 doi "https://doi.org/10.1108/03074350810900488" @default.
• W1506562913 hasPublicationYear "2008" @default.
• W1506562913 type Work @default.
• W1506562913 sameAs 1506562913 @default.
• W1506562913 citedByCount "5" @default.
• W1506562913 countsByYear W15065629132020 @default.
• W1506562913 crossrefType "journal-article" @default.
• W1506562913 hasAuthorship W1506562913A5036074622 @default.
• W1506562913 hasAuthorship W1506562913A5065664382 @default.
• W1506562913 hasAuthorship W1506562913A5083799345 @default.
• W1506562913 hasConcept C10138342 @default.
• W1506562913 hasConcept C106159729 @default.
• W1506562913 hasConcept C131562839 @default.
• W1506562913 hasConcept C139819358 @default.
• W1506562913 hasConcept C139938925 @default.
• W1506562913 hasConcept C144133560 @default.
• W1506562913 hasConcept C149782125 @default.
• W1506562913 hasConcept C158876240 @default.
• W1506562913 hasConcept C160471959 @default.
• W1506562913 hasConcept C162118730 @default.
• W1506562913 hasConcept C162324750 @default.
• W1506562913 hasConcept C172428447 @default.
• W1506562913 hasConcept C17744445 @default.
• W1506562913 hasConcept C199539241 @default.
• W1506562913 hasConcept C199728807 @default.
• W1506562913 hasConcept C2777064782 @default.
• W1506562913 hasConcept C2780821815 @default.
• W1506562913 hasConcept C30755413 @default.
• W1506562913 hasConcept C44723521 @default.
• W1506562913 hasConcept C78508483 @default.
• W1506562913 hasConceptScore W1506562913C10138342 @default.
• W1506562913 hasConceptScore W1506562913C106159729 @default.
• W1506562913 hasConceptScore W1506562913C131562839 @default.
• W1506562913 hasConceptScore W1506562913C139819358 @default.
• W1506562913 hasConceptScore W1506562913C139938925 @default.
• W1506562913 hasConceptScore W1506562913C144133560 @default.
• W1506562913 hasConceptScore W1506562913C149782125 @default.
• W1506562913 hasConceptScore W1506562913C158876240 @default.
• W1506562913 hasConceptScore W1506562913C160471959 @default.
• W1506562913 hasConceptScore W1506562913C162118730 @default.
• W1506562913 hasConceptScore W1506562913C162324750 @default.
• W1506562913 hasConceptScore W1506562913C172428447 @default.
• W1506562913 hasConceptScore W1506562913C17744445 @default.
• W1506562913 hasConceptScore W1506562913C199539241 @default.
• W1506562913 hasConceptScore W1506562913C199728807 @default.
• W1506562913 hasConceptScore W1506562913C2777064782 @default.
• W1506562913 hasConceptScore W1506562913C2780821815 @default.
• W1506562913 hasConceptScore W1506562913C30755413 @default.
• W1506562913 hasConceptScore W1506562913C44723521 @default.
• W1506562913 hasConceptScore W1506562913C78508483 @default.
• W1506562913 hasIssue "11" @default.
• W1506562913 hasLocation W15065629131 @default.
• W1506562913 hasOpenAccess W1506562913 @default.
• W1506562913 hasPrimaryLocation W15065629131 @default.
• W1506562913 hasRelatedWork W182225376 @default.
• W1506562913 hasRelatedWork W2185817393 @default.
• W1506562913 hasRelatedWork W2254717692 @default.
• W1506562913 hasRelatedWork W2515205588 @default.
• W1506562913 hasRelatedWork W2792090726 @default.
• W1506562913 hasRelatedWork W2993576887 @default.
• W1506562913 hasRelatedWork W3147260643 @default.
• W1506562913 hasRelatedWork W4244897355 @default.
• W1506562913 hasRelatedWork W4386129100 @default.
• W1506562913 hasRelatedWork W2620677994 @default.
• W1506562913 hasVolume "34" @default.
• W1506562913 isParatext "false" @default.
• W1506562913 isRetracted "false" @default.

• next