  A Global Approach to Mutual Funds Market Timing AbilityBodson, Laurent  ; Sougné, Danielle ; in Journal of Empirical Finance (2013) • We propose a generalized specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the ... [more ▼] • We propose a generalized specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the absence of market timing ability. As a consequence, we capture market exposure dynamics which is effectively due to manager market timing skills while allowing exposure dynamics to come from other sources than market timing. • We find that on average 6% of mutual funds display return market timing abilities while this percentage amounts to respectively 13% and 14% for volatility and liquidity market timing. We also analyse market timing by investment strategies and for surviving and dead funds. Dead fund exhibit lower volatility and liquidity timing skills than live funds. [less ▲] Detailed reference viewed: 40 (13 ULg)Normalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the CrisisBodson, Laurent ; ; in Gregoriou, Greg (Ed.) RECONSIDERING FUNDS OF HEDGE FUNDS: THE FINANCIAL CRISIS AND BEST PRACTICES IN UCITS, TAIL RISK, PERFORMANCE, AND DUE DILIGENCE (2013) This paper revisits the performance of funds of hedge funds after the crisis using normalized risk-adjusted performance measures based on multi-factor models. First, we develop performance measures able ... [more ▼] This paper revisits the performance of funds of hedge funds after the crisis using normalized risk-adjusted performance measures based on multi-factor models. First, we develop performance measures able to capture the variety of systematic risk sources. Second, we deal with the impact of smoothing on the risk return properties of FoHF using an adjustment technic for illiquidity. Third, we implement unbiased estimators to correct for the econometric bias induced by errors-in-variables (EIV) in asset pricing models. With these different adjustments, we analyze the persistence and stability of performance measures before and after the crisis for a data base of funds of hedge funds. Our results clearly show that the normalized risk-adjusted performance measures corrected for smoothing effect and EIV outperform the alternatives measures before and after the crisis. [less ▲] Detailed reference viewed: 18 (1 ULg) A Global Approach to Mutual Funds Market Timing AbilitySougné, Danielle ; Bodson, Laurent ; E-print/Working paper (2012) In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new ... [more ▼] In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the absence of market timing ability. As a consequence, we capture market exposure dynamics which is really due to manager market timing skills while allowing dynamics to come from other sources than market timing. We find that on average 6% of mutual funds display return market timing abilities while this percentage amounts to respectively 13% and 14% for volatility and liquidity market timing. We also analyze market timing by investment strategies and for surviving and dead funds. Dead fund exhibit lower volatility and liquidity timing skills than live funds. [less ▲] Detailed reference viewed: 63 (4 ULg) Financial Development and Economic Growth: an Empirical Investigation of the Role of Banks and Institutional InvestorsSougné, Danielle ; in Applied Financial Economics (2012), 22(20), 1719-1725 This paper gives a new light on the finance-growth nexus through the investigation of the role of institutional investors as providers of risk diversification in the process of economic growth. We make ... [more ▼] This paper gives a new light on the finance-growth nexus through the investigation of the role of institutional investors as providers of risk diversification in the process of economic growth. We make use of panel cointegration techniques to study the potential long run relationship between economic growth, banking development and institutional investors in 6 OECD countries. Our results highlight some heterogeneity in the long run relationship between financial development and growth. Institutional investors are shown to support long run economic growth in only 2 countries. We also report a negative long run relationship between both indicators of financial development. [less ▲] Detailed reference viewed: 47 (18 ULg)Global imbalances, Exchange Rates and Economic GrowthArtige, Lionel ; Conference (2012, March 29) Detailed reference viewed: 16 (1 ULg)Does Size Affect Mutual Fund Performance? A General ApproachSougné, Danielle ; Bodson, Laurent ; in Journal of Asset Management (2011), 12(3n), 163-171 Detailed reference viewed: 41 (18 ULg) |
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