Emerging market bond funds: A comprehensive analysis

Sirapat Polwitoon; Oranee Tawatnuntachai

doi:10.1111/j.1540-6288.2007.00186.x

Emerging market bond funds: A comprehensive analysis

Sirapat Polwitoon, Oranee Tawatnuntachai

School of Business Administration (Harrisburg)

Research output: Contribution to journal › Article › peer-review

14 Scopus citations

Abstract

We analyze U.S.-based emerging market bond funds over a ten-year (1996-2005) complete cycle of ups and downs in the dominant emerging bond markets. Emerging market bond funds outperform comparable domestic and global bond funds. The results are robust across both conditional and unconditional models. The funds also provide international diversification benefits to U.S. and international bond and equity portfolios. The funds exhibit persistence in performance and seasonality. Active funds, large funds and funds with high minimum purchases perform better on a total return basis but not on a risk-adjusted basis.

Original language	English (US)
Pages (from-to)	51-84
Number of pages	34
Journal	Financial Review
Volume	43
Issue number	1
DOIs	https://doi.org/10.1111/j.1540-6288.2007.00186.x
State	Published - Feb 2008

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1111/j.1540-6288.2007.00186.x

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AB - We analyze U.S.-based emerging market bond funds over a ten-year (1996-2005) complete cycle of ups and downs in the dominant emerging bond markets. Emerging market bond funds outperform comparable domestic and global bond funds. The results are robust across both conditional and unconditional models. The funds also provide international diversification benefits to U.S. and international bond and equity portfolios. The funds exhibit persistence in performance and seasonality. Active funds, large funds and funds with high minimum purchases perform better on a total return basis but not on a risk-adjusted basis.

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Emerging market bond funds: A comprehensive analysis

Abstract

All Science Journal Classification (ASJC) codes

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