International mutual fund returns and Federal Reserve policy

Authors

  • Robert R. Johnson Association for Investment Management & Research, 560 Ray C. Hunt Drive, P.O. Box 3668, Charlottesville, VA 22903-0668, USA
  • Gerald W. Buetow BFRC Services, 1705 Owensville Drive, Charlottesville, VA 22901, USA
  • Gerald R. Jensen Northern Illinois University, School of Business, DeKalb, IL 60115-2854, USA

DOI:

https://doi.org/10.1016/S1057-0810(99)00043-8

Keywords:

Monetary policy, Discount rate, International diversification, Federal Reserve

Abstract

This study examines the performance of international mutual fund indexes across alternative Federal Reserve monetary policy environments. The results suggest that the benefits touted by advocates of international diversification may be less than previous studies indicate. Specifically, during restrictive US monetary policy periods, international mutual fund indexes provide lower excess returns than domestic counterparts. Additionally, the correlations between international mutual funds and domestic mutual funds are higher during restrictive monetary policy periods. This evidence may represent a partial explanation for the home country bias exhibited by US-based individual and institutional investors. © 2000 Elsevier Science Inc. All rights reserved.

Downloads

Published

1999-09-30

How to Cite

Johnson, R. R., Buetow, G. W., & Jensen, G. R. (1999). International mutual fund returns and Federal Reserve policy. Financial Services Review: The Journal of Individual Financial Management, 8(3), 199–210. https://doi.org/10.1016/S1057-0810(99)00043-8

Issue

Vol. 8 No. 3 (1999): Financial Services Review

Section

New Original Submission

License

Copyright (c) 1999 JAI Press Inc.

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Author(s) retain copyright and grant the Journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial 4.0 International License that allows to share the work with an acknowledgment of the work's authorship and initial publication in this Journal.

This license allows the author to remix, tweak, and build upon the original work non-commercially. The new work(s) must be non-commercial and acknowledge the original work.