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Authors
Affiliations
1 School of Economics, University of Hyderabad, Andhra Pradesh, IN
Source
Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 54, No 4 (2012), Pagination: 434-448
Abstract
Common indicators of business and monetary conditions, the lagged mutualfund-risk premium and the market-risk premium are used to predict mutualfund returns for a time horizon of one-day. In isolation, each of the four predictors significantly forecast mutual-fund returns from April 2008 to March 2011 for Indian market. The indicator of monetary conditions, i.e., the MIBOR premium is found to have the strongest forecast power. Multivariate analysis confirms that the four predictors are indeed strong forecasters of mutual fund returns. Moreover, the MIBOR premium, term premium and lagged mutual-fund-risk premium emerge as the best and most consistent predictors of mutual fund returns. The market-risk premium is found to be good, but less consistent as predictor of mutual-fund returns.
