Exploitable patterns in retirement annuity returns: evidence from TIAA/CREF

Authors

  • Edward M. Miller Department of Economics and Finance, University of New Orleans, New Orleans, LA 70148, USA
  • Larry J. Prather Department of Economics and Finance, East Tennessee State University, Box 70686, Johnson City, TN 37614, USA

DOI:

https://doi.org/10.1016/S1057-0810(01)00068-3

Keywords:

Technical trading rules, Retirement annuities, Return predictability, Lead and lag relationships among asset classes

Abstract

Evidence suggests that predictabilities in asset class returns exist but transactions costs prevent exploiting them using individual securities. Extant research also shows that these relationships may by exploitable through the trading of mutual funds but fails to examine whether this relationship exists within an individual fund family. This paper finds that TIAA/CREF retirement annuities exhibit predictable elements that could be exploited by informed traders. The proposed trading strategy dominates a buy-and-hold strategy by producing higher raw and risk-adjusted returns. Additionally, the risk is greatly reduced. © 2001 Elsevier Science Inc. All rights reserved.

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Published

2000-09-30

How to Cite

Miller, E. M., & Prather, L. J. (2000). Exploitable patterns in retirement annuity returns: evidence from TIAA/CREF. Financial Services Review, 9(3), 219–230. https://doi.org/10.1016/S1057-0810(01)00068-3

Issue

Vol. 9 No. 3 (2000): Financial Services Review

Section

New Original Submission

License

Copyright (c) 2000 Elsevier Science Inc.

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