Journal article
Do mutual funds time the market? Evidence from portfolio holdings
Journal of financial economics, Vol.86(3), pp.724-758
12/01/2007
DOI: 10.1016/j.jfineco.2006.09.006
Abstract
Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the "artificial timing" bias. In this paper, we propose and implement new measures of market timing based on mutual fund holdings. Our holdings-based measures do not suffer from the artificial timing bias. We find that, on average, actively managed U.S. domestic equity funds have positive timing ability. Market timing funds use non-public information to predict market returns, tend to have high industry concentration, large fund size, a tilt toward small-cap stocks, and are active in industry rotation. (c) 2007 Elsevier B.V. All rights reserved.
Details
- Title: Subtitle
- Do mutual funds time the market? Evidence from portfolio holdings
- Creators
- George J. Jiang - University of ArizonaTong Yao - University of ArizonaTong Yu - University of Rhode Island
- Resource Type
- Journal article
- Publication Details
- Journal of financial economics, Vol.86(3), pp.724-758
- Publisher
- Elsevier
- DOI
- 10.1016/j.jfineco.2006.09.006
- ISSN
- 0304-405X
- eISSN
- 1879-2774
- Number of pages
- 35
- Language
- English
- Date published
- 12/01/2007
- Academic Unit
- Finance
- Record Identifier
- 9984380510202771
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