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Acharya, Debashis
- Predicting Returns on Mutual Fund: Some Indian Evidence
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1 School of Economics, University of Hyderabad, Andhra Pradesh, IN
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: 434-448Abstract
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.- Monetary Aggregation: A Survey of Major Issues and Evidences
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Authors
Affiliations
1 Department of Economics, Punjab University, Chandigarh - 160 014, IN
1 Department of Economics, Punjab University, Chandigarh - 160 014, IN