Reference : A Global Approach to Mutual Funds Market Timing Ability
E-prints/Working papers : First made available on ORBi
Business & economic sciences : Finance
http://hdl.handle.net/2268/122397
A Global Approach to Mutual Funds Market Timing Ability
English
Sougné, Danielle mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière et consolidation >]
Bodson, Laurent mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > UER Finance et Droit >]
Cavenaile, Laurent mailto [> >]
May-2012
20
No
[en] market timing ; market-wide volatility ; aggregate liquidity ; kalman Filter ; mutual fund ; market return
[en] 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.
Researchers
http://hdl.handle.net/2268/122397

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