نتایج جستجو برای: market timing ability
تعداد نتایج: 670557 فیلتر نتایج به سال:
We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through adjusting their portfolios'market exposure as aggregate liquidity conditions change. Using a large sample of hedge funds, we find strong evidence of liquidity timing. A bootstrap analysis suggests that top-ranked liquidity timers cannot be attributed to pure luck. In out-of-sa...
Reksadana adalah media yang digunakan untuk mengumpulkan uang dari investor dan kemudian diinvestasikan dalam bentuk portofolio oleh manajer investasi. Penelitian ini bertujuan mengukur kinerja investasi reksadana syariah dengan menganalisis securities selection skill market timing ability berdasarkan model TreynorMazuy Henriksson-Merton. Data penelitian Nilai Aktiva Bersih, Sertifikat Bank Ind...
This study has important implications for marketing theory and practice. In an era of turbulent market environments, the organisational ability to sense and seize market opportunities and to reconfigure the resource base accordingly, has significant effects on performance. This paper uses a dynamic capability framework to explain more explicitly the intricacies of the relationship between sensi...
In Merton (1981; hereafter referred to as Part I), one of us developed a basic model of markettiming forecasts where the forecaster predicts when stocks will outperform bonds and when bonds will outperform stocks but does not predict the magnitude of the superior performance. In that analysis, it was shown that the pattern of returns from successful market timing has an isomorphic correspondenc...
In this paper, we document that an application of a moving average timing strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that substantially outperform the buy-and-hold strategy. For high-volatility portfolios, the abnormal returns, relative to the capital asset pricing model (CAPM) and the Fama-French 3-factor models, are of great econom...
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