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The Efficiency of Net Asset Values for Asian–Country Mutual Funds in the US

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  • Oscar Varela

Abstract

The net asset values for Asian–country mutual funds in the US come from the underlying market’s close a half–day earlier and create inefficiencies that improve returns 6 to 12 times in a pure sense. While these are mitigated because of loads, restrictions on trading and fair value pricing, informational biases exist in trading such funds. These can be exploited with a simple rule: If one plans to trade at all, then one should buy (sell) the fund after its own Asian–country index falls (rises). Basing NAVs on the underlying market’s close after the NY market closes can eliminate this inefficiency.

Suggested Citation

  • Oscar Varela, 2002. "The Efficiency of Net Asset Values for Asian–Country Mutual Funds in the US," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(5‐6), pages 761-786.
    • Handle: RePEc:bla:jbfnac:v:29:y:2002:i:5-6:p:761-786
    DOI: 10.1111/1468-5957.00449
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    Cited by:

    1. M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7‐8), pages 979-1007, July.
    2. M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 979-1007.

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