Do mutual fund managers' possess style liquidity timing abilities?

Alam, Mahfooz; Ansari, Valeed Ahmad

doi:10.1108/ijoem-02-2020-0195

Cited by 5 publications

(5 citation statements)

References 47 publications

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“…While Wang (2008) and Foran and O'Sullivan (2017) suggest weak or no evidence of liquidity timing, Pukki (2012), Cao et al (2013a, b), Bazgour et al (2017) and Wattanatorn et al (2020) show strong evidence for liquidity-timing ability, with Wattanatorn et al (2020) particularly emphasizing the need for such studies for emerging markets. In this regard, Alam and Ansari (2020) provide evidence for liquidity timing, but not volatility style timing ability, for Indian mutual funds. Li and You (2020) suggest that active funds in China have better market and liquidity timing ability, while passive funds show better volatility timing and timing ability increases in decreasing markets.…”

Section: Introductionmentioning

confidence: 84%

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

Yalcin

Dube

2021

IJOEM

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PurposeThe authors examine whether Turkish fund managers employ liquidity timing along with market return timing, and if additional economic and market factors could affect their timing abilities, to help explain the contradictory results in literature vis-a-vis market timing ability.Design/methodology/approachThe authors apply panel data analyses, with interaction terms and incorporating structural breaks, to monthly data for 96 out of 131 Turkish variable mutual funds which have available data for the sample period of 2011–2018. The authors employ the Amihud (2002) illiquidity measure to study market liquidity timing ability along with how additional economic and market factors affect this ability.FindingsThe authors find liquidity timing to be the performance enhancing method employed by Turkish variable fund managers in conjunction with market timing and that evidence for market timing may depend on whether structural breaks, that may be present in returns, are incorporated in the analysis. The authors also find that economic, technology and market-related factors affect timing abilities of fund managers.Research limitations/implicationsConclusions are for Turkey, for the sample period studied, and for the control factors selected based on literature.Practical implicationsIt is important to understand the role of market liquidity in making investment decisions and the paper contributes toward an understanding of how managers design their timing strategies in order to enhance portfolio performance, as well as the impact of additional factors on their ability to time market returns and liquidity. This is also important for evaluating fund managers' performance in terms of contribution to portfolio value.Originality/valueTo the authors knowledge this is the first study on Turkish markets to employ liquidity timing in the context of panel data analyses using interaction terms, as well as structural breaks, to distinguish the extent of liquidity timing from return timing, while incorporating the effect of additional factors on timing ability.

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Section: Introductionmentioning

confidence: 84%

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

Yalcin

Dube

2021

IJOEM

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“…Their research also suggests that managers who are more conventional and choose to take fewer risks tend to undertake more than one degree of risk. Alam and Ansari (2022) argue that a fund's style and liquidity timing are essential for understanding the scheme's management.…”

Section: Mutual Funds Marketingmentioning

confidence: 99%

Mutual funds marketing: a hybrid review and framework development

Thakker,

Kalro,

Joshipura

et al. 2023

IJBM

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PurposeThis study examines current dynamics, consolidates current knowledge, elicits trends, identifies and analyzes primary research clusters, and offers future research directions for mutual fund marketing.Design/methodology/approachUsing bibliographic information from the SCOPUS database, this study used sequential bibliometric (143 documents) and content analyses (37 documents). Bibliometric analysis aids descriptive analysis and science mapping, while content analysis facilitates identifying and analyzing research clusters and provides future research directions.FindingsThe study identifies publication trends, the most relevant authors, and journal articles and unveils the knowledge structures of the field. Analysis of bibliographic coupling reveals the following significant clusters: (1) socially responsible investing and investor preferences, (2) investor factors and traits and investment decisions; (3) external factors, mutual funds' performance and proxy information; (4) the role of disclosures and ratings in shaping investment choices, and (5) cognitive biases, information processing errors and investor behavior. Finally, it offers future research directions.Research limitations/implicationsUsing different databases, bibliometric analysis tools, study periods or article screening criteria for the study might yield different results. However, this study's significant findings are robust to such alternatives.Practical implicationsThis study summarizes primary clusters and identifies gaps in the current literature, which helps scholars, practitioners, regulators and policymakers understand the nuances of mutual funds marketing. Future studies may focus on the role of online and offline integration, using neuroscience for data m and contemporary investment behavior models.Originality/valueThis is the first study to apply a two-stage sequential hybrid review of articles published over the last decade in high-quality journals, enabling an analysis of the depth and breadth of mutual funds marketing research.

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“…Carhart four factor-model ( 1997) is based on Fama and French three-factor model with additional factor developed by Jegadeesh and Titman's (1993) one-year momentum variable. This model has been recently applied in studies by Alam and Ansari (2020) in order to detect size timing abilities in India fund market. In the study of Azizi et al (2020) this model has achieved higher predictive ability in prediction of portfolio performance than other models such as Fama and French three factor model (1993), Fama and French five factor model ( 2015), Brousseau five factor model ( 2015) or Roy and Shijin six-factor model (2018).…”

Section: Enhanced Model With Regulatory and Bond Market Factorsmentioning

confidence: 99%

Comprehensive Analysis of Regulatory Impacts on Performance of Slovak Pension Funds

Papík

Papíková

2021

Journal of Business Economics and Management

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Standard pay-as-you-go pension system is facing long-term and short-term sustainability challenges in several countries. Possible replacement of standard pension system might be in a form of private pension savings. Private pension savings are meaningful only if they provide sufficiently high returns. The aim of this manuscript is to analyse performance of Slovak pension funds and factors impacting this performance, especially government interventions. This manuscript is focused on enhanced Carhart four-factor model, Bollen and Busse four-factor model, and Fama and French five-factor model based on 23 pension funds from Slovakia from period starting September 2012 and ending September 2019. These models have been extended by other variables describing bond market factors and impact of regulatory interventions on performance of pension funds. Results of analysis have proved that legislative interventions have impact on performance of analysed pension funds. Each legislative intervention has caused average daily yield to decrease by about 0.01% to 0.03%. Findings described in this manuscript can contribute to better knowledge of pension funds for both contributors who need to decide whether to participate in the second pillar or not, as well as for regulators who develop legislation measurements in this area.

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Do mutual fund managers' possess style liquidity timing abilities?

Cited by 5 publications

References 47 publications

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

Mutual funds marketing: a hybrid review and framework development

Comprehensive Analysis of Regulatory Impacts on Performance of Slovak Pension Funds

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