Fundamental economic variables, expected returns, and bond fund performance

Article Abstract:

In this article, we develop relative pricing (APT) models that are successful in explaining expected returns in the bond market. We utilize indexes as well as unanticipated changes in economic variables as factors driving security returns. An innovation in this article is the measurement of the economic factors as changes in forecasts. The return indexes are the most important variables explaining the time series of returns. However, the addition of the economic variables leads to a large improvement in the explanation of the cross-section of expected returns. We utilize our relative pricing models to examine the performance of bond funds. (Reprinted by permission of the publisher.)

Models, Prices and rates, Pricing, Bonds, Bonds (Securities), Credit market, Credit markets

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Incentive fees and mutual funds

Article Abstract:

Incentive fees have a positive impact on stock selection by mutual fund managers, according to this study.

Management dynamics, Personnel administration, Security and Commodity Services, Securities & Commodities Services, Securities, Commodity Contracts, and Other Financial Investments and Related Activities, Management Compensation, Management, Compensation and benefits, Behavior, Influence, Securities industry, Executive compensation, Company business management, Incentives (Business), Mutual fund managers

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