https://scholars.lib.ntu.edu.tw/handle/123456789/414545
Title: | Effective fair pricing of international mutual funds | Authors: | Chua, Choong Tze Sandy LAI Wu, Yangru |
Keywords: | Fair pricing | International mutual funds | Stale pricing | Stepwise regression | Issue Date: | 1-Nov-2008 | Publisher: | ELSEVIER SCIENCE BV | Journal Volume: | 32 | Journal Issue: | 11 | Start page/Pages: | 2307 | Source: | Journal of Banking and Finance | Abstract: | 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 |
Appears in Collections: | 財務金融學系 |
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