Article (Scientific journals)
A Global Approach to Mutual Funds Market Timing Ability
Bodson, Laurent; Sougné, Danielle; Cavenaile, Laurent
2013In Journal of Empirical Finance
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Keywords :
Mutual Funds; Market Timing; Market Return; Volatility; Liquidity
Abstract :
[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.
Disciplines :
Finance
Author, co-author :
Bodson, Laurent ;  Université de Liège - ULiège > HEC-Ecole de gestion > HEC-Ecole de gestion
Sougné, Danielle ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Gestion financière et consolidation
Cavenaile, Laurent
Language :
English
Title :
A Global Approach to Mutual Funds Market Timing Ability
Publication date :
January 2013
Journal title :
Journal of Empirical Finance
ISSN :
0927-5398
Publisher :
Elsevier Science
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 06 November 2012

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