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Return Predictability in Australian Managed Funds

Author

Listed:
  • Luo Wang

    (Griffith Business School, Griffith University, Australia)

  • Bin Li

    (Griffith Business School, Griffith University, Australia)

  • Rakesh Gupta

    (Griffith Business School, Griffith University, Australia)

  • Jen-Je Su

    (Griffith Business School, Griffith University, Australia)

  • Benjamin Liu

    (Griffith Business School, Griffith University, Australia)

Abstract

We examine return predictability of Australian managed funds in twenty-four categories by using twenty-nine macroeconomic indicators. The time-series regression results suggest that coal price, GDP, and Treasury bill rate have predictive power over fund returns.

Suggested Citation

  • Luo Wang & Bin Li & Rakesh Gupta & Jen-Je Su & Benjamin Liu, 2017. "Return Predictability in Australian Managed Funds," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 16(1), pages 1-19, June.
    • Handle: RePEc:ijb:journl:v:16:y:2017:i:1:p:1-19
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    References listed on IDEAS

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    More about this item

    Keywords

    managed fund; return predictability; Australian market;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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