Market Timing and Mutual Fund Investment Performance

The Market-Timing Ability of Chinese Equity Securities Investment Funds

“…However, the timing assessment is different when the TM and HM models are applied, where the author demonstrates that statistically significant timing exists but is more likely to be negative among the closed-end funds on average. In addition, the study reports a negative cross-sectional correlation between the selectivity and market-timing measures of performance, which coincides with the empirical findings of many studies on the US mutual fund industry (Kon 1983;Chang and Lewellen 1984;Henriksson 1984;Lockwood and Kadiyala 1985). Jiang and Zhao (2005) carry out a battery of tests, including both the TM and HM regression-based approaches as well as their conditional versions and the Jiang (2003) non-parametric methodology, to evaluate market-timing performance among 54 closed-end securities investment funds from 2002 to 2004.…”

“…Du and Liao (2006) restrict their analysis to 5 open-end equity securities investment funds which survive for 3 years or more. By replicating the TM and HM tests, the authors draw a similar conclusion to that of Zhou and Shi (2004) Treynor and Mazuy (1966), Henriksson and Merton (1981) and Chang and Lewellen (1984) models, augmented by multiple risk factors. The authors produce different results to Zhou and Shi (2004), where they find evidence of negative and statistically significant market-timing performance during the period 2005-2008.…”

“…Many studies find little evidence of statistically significant timing ability (particularly positive timing performance) but most of these studies also suggest that the abnormal market-timing performance is negatively correlated with abnormal stock-picking skills (Kon 1983;Chang and Lewellen 1984;Henriksson 1984;Lockwood and Kadiyala 1985). A rational explanation in the Henriksson (1984) study is that implementing a single rather than multi-factor performance model, mis-specifying the market portfolio, or error-in-variables bias may result in such empirical findings.…”

Contrastive Analysis on Investment Ability of Sunshine Private Funds and Publicly Offered Funds Based on TM - FF4 Model

“…Through the analtsis of 116 open-ended mutual funds in the United States between 1968 and 1980,they found only a few fund stock picking ability is significantly positive , while the timing ability of most funds was significantly negative. Chang and Lewellen (1984) [3] used linear transformation for the HM model .that was the establishment of a new CL equivalent model, which can specifically distinguish the value between bulls and bears. Empirical findings was that mutual funds do not have a good stock selection ability nor timing ability.…”

A Comparative Analysis for forecasting the NAV’s of Indian Mutual Fund using Multiple Regression Analysis and Artificial Neural Networks

“…By using the concept of co-integration, first introduced by Eangle et.al (1987),the empirical long run relationships between stock market indices and financial variables can be investigated. Chan and Chen (1992), Chang and Lewellen (1984), Kon andJen (1979), Lee and Rahman (1991), Treynor and Mazuy (1966) have used multiple regression techniques as a tool for analysis.Recently several researchers like Baestaens et. al.…”