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Article: Effective fair pricing of international mutual funds

TitleEffective fair pricing of international mutual funds
Authors
KeywordsFair pricing
International mutual funds
Stale pricing
Stepwise regression
Issue Date2008
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jbf
Citation
Journal Of Banking And Finance, 2008, v. 32 n. 11, p. 2307-2324 How to Cite?
AbstractWe 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.
Persistent Identifierhttp://hdl.handle.net/10722/157721
ISSN
2015 Impact Factor: 1.485
2015 SCImago Journal Rankings: 1.264
SSRN
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorChua, CTen_HK
dc.contributor.authorLai, Sen_HK
dc.contributor.authorWu, Yen_HK
dc.date.accessioned2012-08-08T08:54:55Z-
dc.date.available2012-08-08T08:54:55Z-
dc.date.issued2008en_HK
dc.identifier.citationJournal Of Banking And Finance, 2008, v. 32 n. 11, p. 2307-2324en_HK
dc.identifier.issn0378-4266en_HK
dc.identifier.urihttp://hdl.handle.net/10722/157721-
dc.description.abstractWe 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_HK
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jbfen_HK
dc.relation.ispartofJournal of Banking and Financeen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in <Journal of Banking and Finance>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL 32, ISSUE 11, (2008)] DOI 10.1016/j.jbankfin.2007.06.014-
dc.subjectFair pricingen_HK
dc.subjectInternational mutual fundsen_HK
dc.subjectStale pricingen_HK
dc.subjectStepwise regressionen_HK
dc.titleEffective fair pricing of international mutual fundsen_HK
dc.typeArticleen_HK
dc.identifier.emailLai, S: sandy_lai@hku.hken_HK
dc.identifier.authorityLai, S=rp01620en_HK
dc.description.naturepreprinten_US
dc.identifier.doi10.1016/j.jbankfin.2007.06.014en_HK
dc.identifier.scopuseid_2-s2.0-52949125993en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-52949125993&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume32en_HK
dc.identifier.issue11en_HK
dc.identifier.spage2307en_HK
dc.identifier.epage2324en_HK
dc.identifier.isiWOS:000260726700004-
dc.publisher.placeNetherlandsen_HK
dc.identifier.ssrn682369-
dc.identifier.scopusauthoridChua, CT=11840003100en_HK
dc.identifier.scopusauthoridLai, S=15127185200en_HK
dc.identifier.scopusauthoridWu, Y=7406895405en_HK

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