On The Timing Ability of Mutual Fund Managers  

Oleh:

Bollen, Nicolas P. B. ; Busse, Jeffrey A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 3 (2001), page 1075-1094.
Topik: mutual funds; studies; mutual funds; investment advisors; investment policy; rates of return; statistical analysis
Fulltext: p 1075.pdf (254.53KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Existing studies of mutual fund market timing analyze monthly returns and find little evidence of timing ability. It is shown that daily tests are more powerful and that mutual funds exhibit significant timing ability more often in daily tests than in monthly tests. A set of synthetic fund returns is constructed in order to control for spurious results. The daily timing coefficients of the majority of funds are significantly different from their synthetic counterparts. These results suggest that mutual funds may possess more timing ability than previously documented.

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