No full text
Unpublished conference/Abstract (Scientific congresses and symposiums)
The alpha of a market timer
Hübner, Georges
2011European Financial Management Association 2011 Annual Meeting
 

Files


Full Text
No document available.

Send to



Details



Keywords :
Performance measurement; market timing; mutual fund performance
Abstract :
[en] The Treynor and Mazuy framework is a widely used return-based model of market timing, but existing corrections of the regression intercept can be manipulated through derivatives trading. We propose an adjustment based on Merton's option replication approach. The linear and quadratic coefficients of the regression are exploited to assess the cost of the replicating option that yields similar convexity for a passive portfolio. A similar reasoning applies for various timing patterns and in multi-factor models. Our empirical application shows that, unlike existing performance adjustment methods, the portfolio replication approach uncovers a positive link between the convexity and the performance of market timing funds.
Disciplines :
Finance
Author, co-author :
Hübner, Georges  ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Gestion financière
Language :
English
Title :
The alpha of a market timer
Publication date :
23 June 2011
Event name :
European Financial Management Association 2011 Annual Meeting
Event organizer :
European Financial Management Association
Event place :
Braga, Portugal
Event date :
du 21 au 23 juin 2011
Audience :
International
Available on ORBi :
since 29 April 2012

Statistics


Number of views
70 (8 by ULiège)
Number of downloads
0 (0 by ULiège)

Bibliography


Similar publications



Contact ORBi