Crowding of International Mutual Funds

Time-varying performance of international mutual funds

Article history: Received 5 May 2010 Received in revised form 1 February 2012 Accepted 1 March 2012 Available online 8 March 2012 We examine the ability of oneand two-factor regime switching models to describe US, developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns wi...

The Performance of Open-End International Mutual Funds

1 Federal Reserve Bank of Atlanta E C O N O M I C R E V I E W Third Quarter 2001 diversify their portfolios into foreign markets. Indeed, the net new cash flow into international funds in 2000 was $49.9 billion (ICI 2001). Most advocates of international investing focus on the diversification benefits of adding assets that have relatively low correlations with domestic stock portfolios. Another...

The weekend trading profitability: evidence from international mutual funds

The weekend effect is described as the tendency for Monday security returns to be low (or negative) compared to other days of the week. The weekend effect may not be exploited by trading individual stocks because of transactions costs. However, the institutional characteristics of the US-based international open-end mutual funds may allow investors to exploit the weekend effect because mutual f...

Mutual Funds in Equilibrium∗

Historically, the literature on money management has not consistently applied the rational expectations equilibrium concept. We explain why and summarize recent developments in the money management literature that do apply this concept correctly. We demonstrate that in many respects the rational expectations equilibrium better approximates the observed equilibrium in the money management space ...

Mutual Funds by Edwin