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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27236
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| Title: | Fundamental Variables, APT, and Bond Fund Performance |
| Authors: | Elton, Edwin J.
Gruber, Martin J.
Blake, Christopher R. |
| Issue Date: | Mar-1995 |
| Series/Report no.: | FIN-94-028 |
| Abstract: | In this paper, 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 paper is the
measurement of the economic factors as changes in forecasts. The return
indexes are the most important variables in explaining the time series
of returns. However, the addition of the economic variables leads to a
large improvement in the explanation of expected returns. Furthermore,
when we examine the percentage of expected returns explained by each of
the variables, the economic variables are much more significant than all
indexes with the exception of an aggregate index. We utilize our
relative pricing models to examine the performance of bond funds. Bond
funds underperform the returns predicted by the relative pricing models
by the amount of expenses, on average. |
| URI: | http://hdl.handle.net/2451/27236 |
| Appears in Collections: | Finance Working Papers
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