https://scholars.lib.ntu.edu.tw/handle/123456789/414545
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chua, Choong Tze | en_US |
dc.contributor.author | Sandy LAI | en_US |
dc.contributor.author | Wu, Yangru | en_US |
dc.creator | Wu, Yangru;Sandy LAI;Chua, Choong Tze | - |
dc.date.accessioned | 2019-07-23T03:45:10Z | - |
dc.date.available | 2019-07-23T03:45:10Z | - |
dc.date.issued | 2008-11-01 | - |
dc.identifier.issn | 03784266 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414545 | - |
dc.description.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. | en_US |
dc.publisher | ELSEVIER SCIENCE BV | en_US |
dc.relation.ispartof | Journal of Banking and Finance | en_US |
dc.subject | Fair pricing | International mutual funds | Stale pricing | Stepwise regression | en_US |
dc.title | Effective fair pricing of international mutual funds | en_US |
dc.type | journal article | en |
dc.identifier.doi | 10.1016/j.jbankfin.2007.06.014 | - |
dc.identifier.scopus | 2-s2.0-52949125993 | - |
dc.identifier.isi | WOS:000260726700004 | - |
dc.identifier.url | https://api.elsevier.com/content/abstract/scopus_id/52949125993 | - |
dc.relation.pages | 2307 | en_US |
dc.relation.journalvolume | 32 | en_US |
dc.relation.journalissue | 11 | en_US |
dc.relation.pageend | 2324 | en_US |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.fulltext | no fulltext | - |
item.cerifentitytype | Publications | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
crisitem.author.dept | Finance | - |
crisitem.author.parentorg | College of Management | - |
Appears in Collections: | 財務金融學系 |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.