On the Timing Ability of Mutual Fund Managers

Bollen, Nicolas P. B.; Busse, Jeffrey A.

doi:10.1111/0022-1082.00356

Cited by 515 publications

(294 citation statements)

References 31 publications

Supporting

Mentioning

273

Contrasting

Unclassified

Order By: Relevance

“…In addition, spurious timing effects can arise from option-like characteristics (Jagannathan and Korajczyk 1986), and interim trading (Goetzmann et al 2000, Ferson andKhang 2002), while "artificial timing bias" can arise even in "synthetic passive portfolios" (Bollen and Busse 2001). Hence we cannot rule out the possibility that some of our timing coefficients may be spurious.…”

Section: Winner Fundsmentioning

confidence: 99%

Winners and losers: German equity mutual funds

Cuthbertson

Nitzsche

2013

The European Journal of Finance

View full text Add to dashboard Cite

This is the accepted version of the paper.This version of the publication may differ from the final published version. We investigate the performance of winners and losers for German equity mutual funds (1990)(1991)(1992)(1993)(1994)(1995)(1996)(1997)(1998)(1999)(2000)(2001)(2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009) using empirical order statistics. When using gross returns and the Fama-French three factor (3F) model, the number of statistically significant positive-alpha funds is zero but increases markedly when market timing variables are added. However, when using a "total performance" measure (which incorporates both alpha and the contribution of market timing), the number of statistically significant winner funds falls to zero. The latter is consistent with bias in estimated alphas in the presence of market timing. We also find that many poorly performing funds are unskilled rather than unlucky. Permanent

show abstract

Section: Winner Fundsmentioning

confidence: 99%

Winners and losers: German equity mutual funds

Cuthbertson

Nitzsche

2013

The European Journal of Finance

View full text Add to dashboard Cite

show abstract

“…3 More recent studies incorporate enhancements in the methodology. Bollen and Busse (2001) find some evidence of market timing ability using daily, rather than monthly, data. Ferson and Schadt (1996) use conditioning information in their models that result in an improvement in performance but no significant ability is detected.…”

Section: Introductionmentioning

confidence: 91%

On the timing of managed funds’ industry exposure

Sawicki

2017

JEFS

View full text Add to dashboard Cite

An important source of performance for active managers is industry weighting, yet this is neglected by the performance evaluation literature. Most market timing studies are conducted at a broad level, assessing exposure to equities as an asset class. This paper investigates the ability of US equity fund managers to time industry performance. The results indicate that, as a group, the funds exhibit no timing skills, with positive timing as frequent as negative timing. There is a subset of funds however, that appear to have strong forecasting abilities, correctly timing industries that are otherwise poorly timed by most fund managers. General timing ability is weakest in the Finance, Cyclical Services and Information Technology industries, while Consumer Goods industries show the best timing results.

show abstract

“…Although the above literature shows little timing ability of fund managers, Bollen and Busse (2001) and Elton et al (2012) find the timing ability of fund managers when adopting the higher frequency data. Kacperczyk et al (2014) demonstrate that the management skills of fund mangers differ between bull and bear markets.…”

Section: Literature Reviewmentioning

confidence: 97%

The Performance Persistence of Winner Fund Managers - Evidence from the Timing and Stock Picking Ability

Liu

2017

Asian Economic and Financial Review

View full text Add to dashboard Cite

Article History JEL Classification G10, G11.This study aims to investigate the persistence of timing and stock picking ability of "winner fund managers" instead of winner funds. The sample of this study is the previous and next equity funds which the same fund managers manage in Taiwan. we measure the ranking of timing and stock picking ability of fund managers for the period they manage the specific fund. The result shows that for the whole fund managers, the successive two funds they manage are performance persistent. Moreover, the stock picking ability of the two funds they manage is persistent no matter the two funds belonging to the same fund company or not. Regarding the winner fund manager, we find no persistence of return, timing ability and stock picking ability. No matter the winner fund managers change the jobs to the other fund companies or not, the next funds the winner fund managers manage are not timing and stock picking ability persistent. The result of logistic regression demonstrates that the probability of becoming timing or stock picking winners of the next funds which the timing or stock picking winner managers manage is not significantly higher than other funds. The result indicates that investors do not necessarily follow the timing and stock picking winner fund managers. The performance of the next funds which the winner fund managers manage may reverse especially for the successive two funds belonging to the same fund company. Little literature investigates the issue regarding the fund timing and stock picking performance from the viewpoint of "fund managers". The results of this study provide investing implications for fund investors when they are choosing funds.

show abstract

On the Timing Ability of Mutual Fund Managers

Cited by 515 publications

References 31 publications

Winners and losers: German equity mutual funds

Winners and losers: German equity mutual funds

On the timing of managed funds’ industry exposure

The Performance Persistence of Winner Fund Managers - Evidence from the Timing and Stock Picking Ability

Contact Info

Product

Resources

About