Reference : A Global Approach to Mutual Funds Market Timing Ability
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/2268/133493
A Global Approach to Mutual Funds Market Timing Ability
English
Bodson, Laurent mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg > HEC-Ecole de gestion de l'ULg >]
Sougné, Danielle mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière et consolidation >]
Cavenaile, Laurent mailto []
Jan-2013
Journal of Empirical Finance
Elsevier Science
Yes (verified by ORBi)
International
0927-5398
[en] Mutual Funds ; Market Timing ; Market Return ; Volatility ; Liquidity
[en] • 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.
Researchers ; Professionals
http://hdl.handle.net/2268/133493

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