On Predictability Of Mutual Funds Return

ISBN-13: 9783659219177 / Angielski / Miękka / 2012 / 72 str.

Pradeep Kumar Panda

Opis

Mutual Funds in recent past as a channel of resource mobilization has gained immense importance in general and in India in particular. Common indicators of business and monetary conditions, the lagged mutual-fund-risk premium, and the market- risk premium, are used to predict mutual-fund 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 confirm that the four predictors are indeed strong forecasters of mutual fund returns. Moreover, the MIBOR premium, the term premium, and the lagged mutual-fund-risk premium all 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 predictors of mutual-fund returns.

O autorze

Mr. Pradeep Kumar Panda is an Economist in APITCO, Hyderabad and Research Scholar in Department of Economics, University of Hyderabad. His research papers in the areas of macro-monetary economics and financial economics are published in various national and international journals. He has published two books Sri Krishna Speaks and Sach is Life.