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Market Volatility And Perverse Timing Performance Of Mutual Fund Managers

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  • David A. Volkman

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  • David A. Volkman, 1999. "Market Volatility And Perverse Timing Performance Of Mutual Fund Managers," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 449-470, December.
    • Handle: RePEc:bla:jfnres:v:22:y:1999:i:4:p:449-470
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1999.tb00705.x
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    References listed on IDEAS

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    1. David A. Volkman & Mark E. Wohar, 1995. "Determinants Of Persistence In Relative Performance Of Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 415-430, December.
    2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    3. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
    4. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    5. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    6. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 07-89, Wharton School Rodney L. White Center for Financial Research.
    7. David A. Volkman & Mark E. Wohar, 1995. "Determinants Of Persistence In Relative Performance Of Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 415-430, December.
    8. Franco Modigliani & Gerald A. Pogue, 1975. "Alternative Investment Performance Fee Arrangements and Implications for SEC Regulatory Policy," Bell Journal of Economics, The RAND Corporation, vol. 6(1), pages 127-160, Spring.
    9. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    10. Starks, Laura T., 1987. "Performance Incentive Fees: An Agency Theoretic Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 17-32, March.
    11. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 7-89, Wharton School Rodney L. White Center for Financial Research.
    12. Lee, Cheng Few & Rahman, Shafiqur, 1990. "Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 63(2), pages 261-278, April.
    13. Hendricks, Darryll & Patel, Jayendu & Zeckhauser, Richard, 1993. "Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988," Journal of Finance, American Finance Association, vol. 48(1), pages 93-130, March.
    14. Breeden, Douglas T & Gibbons, Michael R & Litzenberger, Robert H, 1989. " Empirical Tests of the Consumption-Oriented CAPM," Journal of Finance, American Finance Association, vol. 44(2), pages 231-262, June.
    15. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-1069, September.
    16. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    17. Peter Fortune, 1993. "Stock market crashes: what have we learned from October 1987?," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 3-24.
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    Cited by:

    1. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 539-578, April.
    2. Yu, Hsin-Yi, 2012. "Where are the smart investors? New evidence of the smart money effect," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 51-64.
    3. Matallin-Saez Juan Carlos, 2008. "The Dynamics of Mutual Funds and Market Timing Measurement," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-37, December.
    4. Juan C. Matallín‐Sáez, 2006. "Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1484-1507, November.
    5. William J. Hippler & M. Kabir Hassan & Luca Pezzo, 2021. "Partial adjustment towards performance‐based mutual fund returns: Evidence from U.S.‐based equity funds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5864-5883, October.
    6. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 539-578, April.
    7. M. Kabir Hassan & William J. Hippler III, 2014. "Partial Adjustment Toward Equilibrium Mutual Fund Allocations: Evidence from U.S.-based Equity Mutual Funds," NFI Working Papers 2014-WP-01, Indiana State University, Scott College of Business, Networks Financial Institute.
    8. Friesen, Geoffrey C. & Sapp, Travis R.A., 2007. "Mutual fund flows and investor returns: An empirical examination of fund investor timing ability," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2796-2816, September.
    9. Stanley Block & Dan French, 2002. "The effect of portfolio weighting on investment performance evaluation: The case of actively managed mutual funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 16-30, March.
    10. Wolfgang Bessler & Thomas Conlon & Diego Víctor de Mingo‐López & Juan Carlos Matallín‐Sáez, 2022. "Mutual fund performance and changes in factor exposure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(1), pages 17-52, March.
    11. Jenkinson, Tim & Morkoetter, Stefan & Schori, Tobias & Wetzer, Thomas, 2022. "Buy low, sell high? Do private equity fund managers have market timing abilities?," Journal of Banking & Finance, Elsevier, vol. 138(C).
    12. Rodri­guez, Javier, 2008. "Market timing: A global endeavor," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 545-556, December.
    13. Giambona, Erasmo & Golec, Joseph, 2009. "Mutual fund volatility timing and management fees," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 589-599, April.
    14. Ana C. Díaz†Mendoza & Germán López†Espinosa & Miguel A. Martínez, 2014. "The Efficiency of Performance†Based Fee Funds," European Financial Management, European Financial Management Association, vol. 20(4), pages 825-855, September.
    15. Holmes, Kathryn A. & Faff, Robert, 2008. "Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 998-1011, December.
    16. Anjum, Sohail & Qayyum, Unbreen & Qureshi, Madeeha Gohar, 2019. "Aggregate performance evaluation of US Equity Mutual Funds - Explaining the performance of Growth Funds vs. Value Funds," MPRA Paper 100043, University Library of Munich, Germany.

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