| This dissertation consists of two essays on diversification benefits, return characteristics, and the performance of U.S.-based global government bond mutual funds. The first essay examines: (i) the performance of U.S.-based global government bond funds, (ii) the benefits of inclusion of U.S.-based global government bond funds in existing portfolios, (iii) the persistence of risk-adjusted performance of global bond funds, (iv) the influence of fund characteristics on performance, and (v) the return seasonality of global bond funds. The second essay studies: (i) the usefulness of style analysis on global bond funds, (ii) the style-adjusted performance of U.S.-based global bond funds, and (iii) the investment behavior of global bond fund managers. This study is important because it is the first to provide a complete study of diversification benefits, return characteristics, and style-adjusted performance measurement and performance evaluation of a large sample of U.S.-based global government bond funds. It is also first in casting U.S.-based global government bond funds investment as an alternative investment to U.S. domestic bond funds. The empirical results of this study will greatly benefit individual investors who consider investing in U.S. bond fund markets or consider U.S.-based global government bond funds as an addition or an alternative to U.S. domestic bond funds. This study also contributes significantly to the scarce literature of style-adjusted performance measurement and evaluations of the global government bond fund industry. |
