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Macroeconomic Forces and Mutual Fund Betas

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  • Lockwood, Larry J

Abstract

This paper develops and tests a model in which fund betas are linearly related to changes in macroeconomic factors. Tests using monthly returns for 171 mutual funds over 1978-1991 were run. Results indicate that equity funds betas, on average, are negatively related to inflation changes and default risk premia while bond fund betas, on average, are negatively related to changes in risk-free rates, industrial production growth, and the term structure. Betas for passive portfolios, however, are not related to the macroeconomic factors examined. Copyright 1996 by MIT Press.

Suggested Citation

  • Lockwood, Larry J, 1996. "Macroeconomic Forces and Mutual Fund Betas," The Financial Review, Eastern Finance Association, vol. 31(4), pages 747-763, November.
    • Handle: RePEc:bla:finrev:v:31:y:1996:i:4:p:747-63
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    Cited by:

    1. Galatis Nikolaos & Nitsi Ekaterini & Theloura Chrysoula, 2020. "Investigating Financial Performance of Low-and High-Rated ETFs During the QE-Tapering," HOLISTICA – Journal of Business and Public Administration, Sciendo, vol. 11(1), pages 107-123, April.

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