https://scholars.lib.ntu.edu.tw/handle/123456789/414545
標題: | Effective fair pricing of international mutual funds | 作者: | Chua, Choong Tze Sandy LAI Wu, Yangru |
關鍵字: | Fair pricing | International mutual funds | Stale pricing | Stepwise regression | 公開日期: | 1-十一月-2008 | 出版社: | ELSEVIER SCIENCE BV | 卷: | 32 | 期: | 11 | 起(迄)頁: | 2307 | 來源出版物: | Journal of Banking and Finance | 摘要: | We propose a new methodology to provide fair prices of international mutual funds by adjusting prices at the individual security level using a comprehensive and economically relevant information set. Stepwise regressions are used to endogenously determine the stock-specific optimal set of factors. Using 16 synthetic funds whose characteristics are extracted from 16 corresponding actual US-based Japanese mutual funds, we demonstrate that our method estimates fund prices significantly more accurately than existing methods. Although existing fair-pricing methods provide an improvement over the current practice of simply using Japanese market closing prices, they are still highly vulnerable to exploitation by market-timers. By contrast, our method is the most successful in preventing such strategic exploitation since no competing method can profit from our stated prices. © 2008 Elsevier B.V. All rights reserved. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414545 | ISSN: | 03784266 | DOI: | 10.1016/j.jbankfin.2007.06.014 |
顯示於: | 財務金融學系 |
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