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1 – 5 of 5M. Imtiaz Mazumder, Edward M. Miller and Atsuyuki Naka
The purpose of this paper is to examine the predictability of the US‐based international mutual fund returns by investigating 2,479 daily observations for all categories of…
Abstract
Purpose
The purpose of this paper is to examine the predictability of the US‐based international mutual fund returns by investigating 2,479 daily observations for all categories of international equity, bond and hybrid mutual funds. Further, trading strategies are proposed and tested under different scenario including a proposed regulation by the Security and Exchange Commission (SEC).
Design/methodology/approach
The sample is split and the initial sub sample is used to investigate return patterns of international funds and to develop trading rules based on the predictable return patterns. Trading rules are then tested on the holdout sample.
Findings
Empirical results demonstrate statistically significant predictabilities. Various trading strategies show that the returns of both load and no‐load funds are economically significant beating a buy‐and‐hold strategy. Empirical findings are consistent across the fund categories irrespective of sizes and styles. The tested strategies are profitable even with various limits on frequency of trading, minimum holding periods and even under a recent SEC's proposed regulation. Further, possible contracting and regulatory changes are proposed to improve the efficiency in the mutual fund industry.
Originality/value
The results confirm previous findings of statistically and economically significant regularities from trading strategies that involve following the US markets. A test of SEC's proposed regulation documents that short‐term investors may benefit from active trading strategy even if the SEC's rule is implemented.
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Edward M. Miller, Larry J. Prather and M. Imtiaz Mazumder
The purpose of this paper is to examine asset class cross‐autocorrelations at the macro‐level by exploring the return associations among mutual fund asset classes. The low…
Abstract
Purpose
The purpose of this paper is to examine asset class cross‐autocorrelations at the macro‐level by exploring the return associations among mutual fund asset classes. The low transactions costs of trading mutual funds make this extension important since informed traders can potentially use mutual funds to exploit asset class return cross‐autocorrelations that were not exploitable with individual securities.
Design/methodology/approach
The Granger causality tests and correlation results are employed to ascertain whether significant relationships exist among asset classes. Using a time series of 2,739 daily returns for 641 mutual funds comprising 20 asset classes, trading strategies are developed using the initial sample and evaluated out‐of‐sample on a risk‐adjusted basis.
Findings
Both the cross‐autocorrelations and Granger causality tests suggest that most of the domestic equity asset class returns can predict future global and international equity returns. Further, the trading‐rule portfolios provide a greater return per unit of risk (Sharpe and Treynor ratios) thus dominating all buy‐and‐hold portfolios. Risk‐adjusted excess returns (Jensen's α) of the trading rules are positive and statistically significant at the 1 per cent level. The results of trading strategies also reveal that there are no statistically significant return differences between load and no‐load funds.
Research limitations/implications
Redemption fees seem to be standard practice now, except for money market funds and funds specially designed for market timers. Thus, the trading strategy returns of this paper overestimate actual returns. However, investors may still find the proposed trading strategies beneficial because redemptions fees can be avoided if investors get the opportunities to trade in mutual fund supermarkets. The trading strategies may have implications for other international markets where the sizes and styles of the mutual funds' assets are increasing enormously with a few trading restrictions.
Originality/value
A noteworthy and original contribution of this study is the two‐day Granger causality test. This paper documents that the duration of mutual funds' return predictability extends beyond a one‐day horizon. The duration of daily mutual fund return predictability is believed to be unexplored and should be of considerable relevance to practitioners and regulators.
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M. Imtiaz Mazumder and Nazneen Ahmad
The purpose of this paper is to shed light on the causes of the 2007‐2009 mortgage crisis, liquidity crisis, stock market volatility in the USA and their spillover effects on the…
Abstract
Purpose
The purpose of this paper is to shed light on the causes of the 2007‐2009 mortgage crisis, liquidity crisis, stock market volatility in the USA and their spillover effects on the global economy.
Design/methodology/approach
The paper critically reviews the 2007‐2009 financial crisis from both academic and practitioners' viewpoints.
Findings
The paper explores how the liquidity crisis has evolved with the advent of poorly supervised financial products, especially the credit default swaps and subprime mortgage loans. Further, it analyzes the laxity in regulations that encouraged high financial leverages, shadow banking system and excessive stock market volatility and worsened the recent financial crisis.
Originality/value
The implication of this paper is to understand numerous policy reforms that will help the global capital markets to be more transparent and less vulnerable to systematic risks; the suggested policy reforms may also help to prevent such financial calamities in the future.
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Shamsuddin Ahamad, Hamdan Amerali Al-jaifi and Md Imtiaz Mostafiz
The development of family-based microenterprises has attracted the attention of regulators, microfinance institutions and other stakeholders in either developing or least…
Abstract
Purpose
The development of family-based microenterprises has attracted the attention of regulators, microfinance institutions and other stakeholders in either developing or least developed countries. In the finance literature, several studies have examined the determinants of the family-based microenterprises development; however, there are several venues that need to be examined. The study aims to explain the economic profit of microenterprises from resource-based theory and human capital perspectives.
Design/methodology/approach
Based on critical review and theoretical grounding, this study proposes a conceptual framework, which bridges intangible resources with economic growth of microenterprises.
Findings
After reviewing previous studies and based on the underpinning theoretical framework, the study finds that human capital is one of the variables that has received a little attention and yet to be examined as a moderating role. Based on the human capital theorist, individual's competencies help enterprises to perform better in business, as enterprises that possess competencies and capabilities are more likely to have higher levels of growth and profitability.
Practical implications
This finding provides useful implications for the stakeholders and policymakers and contributes in the future literature.
Originality/value
Based on critical review and theoretical grounding, this study proposes a conceptual framework, which bridges intangible resources with economic growth of microenterprises.
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Muhammad Irfan, Omar Khalid Bhatti and Ali Osman Ozturk
Female managers have numerous vulnerabilities related to their reputation and career progression in addition to social, sexual and discriminatory vulnerabilities. In…
Abstract
Purpose
Female managers have numerous vulnerabilities related to their reputation and career progression in addition to social, sexual and discriminatory vulnerabilities. In organizational settings, antagonized subordinates, peers or superiors can exploit their vulnerabilities through negative use of social media. For optimal performance and inclusion in organizational activities, it is essential to protect female managers against exploitation. Social media can be used for this purpose and dictates an investigation into it as an agent to reduce vulnerabilities and enhance inclusion of female managers.
Design/methodology/approach
Qualitative data collected through 25 in-depth semi-structured interviews from respondents belonging to five different organizations has been used in this exploratory study. Thematic analysis was done to reach the underlying structures of subjective responses of female managers.
Findings
This study finds that positive use of social media is effective in reducing vulnerabilities and female managers feel more included and protected against exploitation in inclusive organizations. The study presents a holistic view of vulnerabilities of female managers, various forms taken by negative use of social media, mechanics of positive use of social media and pathways to inclusive organization through reduction of vulnerabilities.
Research limitations/implications
Availability of limited time, resources and a single cultural context were few limitations. The study highlights an important area for further research indicating psychological trauma of victimized female managers forcing them to feel excluded from the organization.
Practical implications
This study will enhance understanding of practitioners about vulnerabilities of female managers and its likely accentuation through negative use of social media. In addition, they can learn the use of social media for reducing vulnerabilities and enhancing inclusion of female managers. This study also shed light on methodology to handle the situation in the face of all forms of negative use of social media.
Social implications
Female managers are highly vulnerable to exploitation through use of social media by antagonized groups and individuals who can easily attack their reputation and image. This study is an effort to reduce vulnerabilities of business women. Additionally, it is also aimed at enhancing inclusion of females in organizational activities to counter their isolation and discrimination on the basis of gender.
Originality/value
The issue of negative use of social media has not received attention of scholars. Being a research gap, exploratory study based on qualitative responses has been conducted to explore different facets of the issue. In-depth interviews have been conducted to collect primary data.
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