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Exploiting International Stock Market Correlations with Open‐end International Mutual Funds
Author(s) -
Bhargava Rahul,
Bose Ann,
Dubofsky David A.
Publication year - 1998
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00211
Subject(s) - basis point , business , closed end fund , stock (firearms) , exploit , open end fund , net asset value , mutual fund , monetary economics , financial economics , financial system , institutional investor , economics , finance , interest rate , market liquidity , mechanical engineering , corporate governance , computer security , computer science , engineering
Investors can exploit the correlations between international stock markets by trading no‐load, open‐end, international mutual funds. These investors in effect cheat passive investors because they buy the mutual funds at their net asset values, which do not reflect information released during the US trading day. The strategy we examine yields an annual rate of return 800 basis points above the S&P500, over a period of almost eight years.