The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.

This volume is a collection of three essays relating to the pricing of securities in financial markets, such as stock markets, where a large number of individual securities are traded. Lead-Lag Effects in a Competitive REE MarketThis essay introduces a model of cross-security information aggregation. The model is essentially an extension of Chan (Journal of Finance, 1993) to the case of simultaneous auction markets where revealed information is correlated across securities.The model provides clear predictions of lead-lag effects between securities returns. Several of the model's predictions are confirmed empirically using data from the Paris Bourse. Other models of price formation, including the basic Chan model and nonsynchronous trading, are rejected as they cannot account for observed return patterns. Learning the True Index LevelThis essay extends the model of cross-security information aggregation by deriving implications for autocorrelation in index returns. Both time series and cross-sectional predictions are confirmed by empirical evidence from the Paris Bourse. In addition, the time series predictions are consistent with earlier, partly unexplained, empirical evidence from the US market. An Empirical Study of Index Return AutocorrelationThis essay studies return autocorrelation on the Stockholm Stock Exchange focusing on the relation between index returns and indvidual stock returns. It is demonstrated that the two return types have similar time series properties, and it is concluded that the causes of autocorrelation are the same in both cases. / <p>Diss. Stockholm : Handelshögskolan, 1997</p>

Cette thèse applique la théorie des prospects et la théorie du regret à l’étude sur la performance des actions et à expliquer une anomalie du marché connue appelé l’effet momentum. Cette thèse propose un modèle théorique qui lie les facteurs comportementaux à la performance des actions et à l’effet momentum, et ensuite réalise des tests empiriques pour examiner le modèle théorique. Dans le chapitre 2, le modèle est établi sur un concept des gains/pertes potentiels, qui indiquent si un investisseur se trouve actuellement dans une situation gagnante ou perdante. Ensuite, le modèle montre que les investisseurs sont très réticents à vendre leurs stocks dans une situation des grands gains ou des grandes pertes. Les chapitres 3 et 4 effectuent des tests empiriques sur le modèle des gains/pertes potentiels. L'échantillon des tests comprend tous les stocks de NYSE et l'AMEX de l’année 1982 à 2012. Les tests sont en mesure de confirmer l'influence des gains/pertes potentiels sur les rendements des actions. En outre, une stratégie de coût nul d’Extrémité moins Moyen (EMM), basée sur le modèle théorique, est documentée pour être rentable après contrôlée pour des risques. Dans le chapitre 5, le modèle des gains/pertes potentiels est développé dans une version dynamique. Il suggère que l'influence des gains/pertes potentiels pourrait persister pendant une période de intermédiaire à long terme, et génère une tendance à la hausse de la performance pour les actions avec un grand gain/perte potentiel. Les tests empiriques dans ce chapitre se concentrent sur l'évolution de série temporelle des rendements. Les tests montrent que les actions avec un grand gain/perte potentiel ont une plus forte tendance à la hausse. Le chapitre 6 applique les résultats du chapitre précédent pour expliquer l'effet momentum. La tendance à la hausse correspond à une auto-corrélation positive des rendements, ce qui est l'une des sources qui contribuent au profit de momentum. Les tests empiriques dans ce chapitre regardent la similitude entre la stratégie de momentum et les gains/pertes potentiels, et examinent également la corrélation entre le profit de momentum et le profit de la stratégie EMM. Les tests montrent que des gains/pertes potentiels pourraient contribuer à l'effet momentum, mais ne sont pas la seule source. L'effet momentum peut être le résultat d'une combinaison de plusieurs facteurs complexes. / This dissertation applies the prospect theory and the regret theory to the study on the stock performance and to explain one well-known market anomaly called the momentum effect. The dissertation proposes a theoretical model that links the behavior factors to stock performance and the momentum effect, and performed empirical test to examine the theoretical model. In chapter 2, the model is established on the concept of the potential gain/loss, which indicates if an investor is currently at a winning or a losing position. The model then shows that the investors are highly reluctant to sell their stocks in a large gain or in a large loss situation. The chapter 3 and 4 perform empirical tests on the model of potential gain/loss. The test sample includes all stocks in NYSE and AMEX from 1982 to 2012. The tests are able to confirm the influence of the potential gain/loss on stock returns. Moreover, a zero-cost Extremity minus Middle (EMM) strategy based on the theoretical model is documented to be profitable after controlling for risks. In chapter 5, the model of potential gain/loss is developed into a dynamic version. It suggests that the influence of a potential gain/loss could persist over an intermediate to long term, and generates an upward trend in performance for stocks with large potential gain/loss. The empirical tests in this chapter focus on the time serial evolution of returns. The tests show that stocks with large potential gain/loss have a stronger upward trend. The chapter 6 applies the results from the previous chapter to explain the momentum effect. The upward trend corresponds to a positive return autocorrelation, which is one of the sources that contribute to the momentum profit. The empirical tests in this chapter look into the similarity between the momentum strategy and the potential gain/loss, and also examine the correlation between the momentum profit and the profit from the EMM strategy. Tests show that the potential gain/loss could contribute to the momentum effect, but is not the only source. The momentum effect could be a result of a combination of many complex factors.