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Full-Text Articles in Finance and Financial Management
Emerging Market Mutual Funds: Recent Trends In Performance, Expenses, Composition And Growth, Will Bertin, Laurie Prather, Li-Anne Woo
Emerging Market Mutual Funds: Recent Trends In Performance, Expenses, Composition And Growth, Will Bertin, Laurie Prather, Li-Anne Woo
Li-Anne Woo
Emerging market mutual funds are a rapidly growing mutual fund category. This growth is most likely due to their impressive realized returns, although their returns may be quite volatile. This study reports on emerging market mutual funds' characteristics and performance relative to domestic and international equity mutual funds and also details the significant growth in these funds. We further consider the investment allocations of the three categories of funds among developing versus mature markets. Our results suggest that the superior performance of emerging market mutual funds more than adequately compensates for their higher risk, and thus provides a sound justification …
What Do Options Have To Do With It?: Inclusion Of Options Market Indicators In Bid-Ask Spread Decomposition, David Michayluk, Laurie Prather, Li-Anne Woo, Henry Yip
What Do Options Have To Do With It?: Inclusion Of Options Market Indicators In Bid-Ask Spread Decomposition, David Michayluk, Laurie Prather, Li-Anne Woo, Henry Yip
Li-Anne Woo
This paper develops a cross-market model to extend Huang and Stoll (1997) by utilizing information from trade flows in the options market. Empirical tests reveal a significant increase in the estimated adverse information component, which stays consistent irrespective of the degree of option leverage. Further, intraday variation in stock bid-ask spread components is affected by the stock trade size and the extent of imbalance in information-based option trades. Including the options market information in decomposition of the stock bid-ask spread enhances the quality of its estimation.