Emerging Market Bond Funds: A Comprehensive Analysis

Financial Review, Vol. 43, Issue 1, pp. 51-84, February 2008

34 Pages Posted: 29 Jan 2008

See all articles by Sirapat Polwitoon

Sirapat Polwitoon

Sigmund Weis School of Business, Susquehanna University

Oranee Tawatnuntachai

affiliation not provided to SSRN

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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.

Suggested Citation

Polwitoon, Sirapat and Tawatnuntachai, Oranee, Emerging Market Bond Funds: A Comprehensive Analysis. Financial Review, Vol. 43, Issue 1, pp. 51-84, February 2008, Available at SSRN: https://ssrn.com/abstract=1087643 or http://dx.doi.org/10.1111/j.1540-6288.2007.00186.x

Sirapat Polwitoon (Contact Author)

Sigmund Weis School of Business, Susquehanna University ( email )

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Oranee Tawatnuntachai

affiliation not provided to SSRN

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