Stale prices and strategies for trading mutual funds

被引：31

作者：

Boudoukh, J ^{[1
]}

Richardson, M ^{[1
]}

Subrahmanyam, M ^{[1
]}

Whitelaw, RF ^{[1
]}

机构：

[1] NYU, Stern Sch Business, New York, NY USA

来源：

FINANCIAL ANALYSTS JOURNAL | 2002年 / 58卷 / 04期

关键词：

D O I：

10.2469/faj.v58.n4.2454

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We demonstrate that an institutional feature of numerous mutual funds-funds managing billions in assets generates fund net asset values that reflect stale prices. Because investors can trade at these NAVs with limited transaction costs in many cases, obvious trading opportunities exist. These opportunities are especially prevalent in funds that buy Japanese or European equities. Simple, feasible strategies generate Sharpe ratios (excess return divided by standard deviation) that are many times greater than the Sharpe ratio of the underlying fund. We illustrate the potential of the strategy for three Vanguard Group mutual funds. A particular issue to keep in mind is that when the strategies are implemented, the gains from these strategies are matched by offsetting losses incurred by buy-and-hold investors in these funds.

引用

页码：53 / 71

页数：19

共 20 条

[1] Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations [J].