Market timing ability and mutual funds: a heterogeneous agent approach
نویسندگان
چکیده
منابع مشابه
A Review of Mutual Investment Funds Performance with a View of Market Timing
Appropriate function of active management in common investment funds function depend on factors such as diversification, identification papers unrealistic pricing, market timing, and so on. Market timing are include changing the portfolio investment funds and market indices such as short-term bonds and make an asset depends on whether the market is expected in the whole of the assets to make be...
متن کاملMeasuring the Timing Ability of Fixed Income Mutual Funds
Measuring the Timing Ability of Fixed Income Mutual Funds This paper evaluates the ability of bond funds to "market time" factors related to bond markets. Timing ability generates nonlinearity in fund returns, but there are several non-timing-related sources of nonlinearity. We find that controlling for non-timing-related nonlinearity is important. Funds' returns are more concave than benchmark...
متن کاملstudy of security selection and market timing abilities in mutual funds in iranian capital market
this study is an attempt to apply the market timing andsecurity selection models to evaluate the performance of iranianmutual funds. the research shed light on the questions of ‘howsuccessful are mutual funds in earning excess returns over those of themarket?’ ‘do the excess returns during research period have anymeaningful trend for these financial intermediaries or is it the result ofthe abil...
متن کاملa review of mutual investment funds performance with a view of market timing
appropriate function of active management in common investment funds function depend on factors such as diversification, identification papers unrealistic pricing, market timing, and so on. market timing are include changing the portfolio investment funds and market indices such as short-term bonds and make an asset depends on whether the market is expected in the whole of the assets to make be...
متن کاملActive Timing Decisions of Equity Mutual Funds
In this paper we examine an aspect ofprofessional investment management which has not been adequately documented and studied; the extent to which equity mutualfund managers actively adjust their portfolio’s equity risk evosure over time. Estimates of a portfolio’s quarter-end beta are developed using the actual stock ho~~gs oft~~~ol~ at the quarter-end. Changes in these beta estimates fivm one ...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2013
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2013.791749