International Journal of Business and Economics Volume 16, No. 1 June, 2017

Return Predictability in Australian Managed Funds

Luo Wang

Griffith Business School, Griffith University, Australia

Bin Li

Griffith Business School, Griffith University, Australia

Rakesh Gupta

Griffith Business School, Griffith University, Australia

Jen-Je Su

Griffith Business School, Griffith University, Australia

Benjamin Liu

Griffith Business School, Griffith University, Australia

Abstract

We examine return predictability of Australian managed funds in twenty-four categories by using twenty-nine macroeconomic indicators. The time-series regression results suggest that coal price, GDP, and Treasury bill rate have predictive power over fund returns.

Keywords：managed fund, return predictability, Australian market.

JEL Classifications：G12, G14, G17.

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