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Do mutual funds time the market? Evidence from portfolio holdings

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  • Jiang, George J.
  • Yao, Tong
  • Yu, Tong
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 86 (2007)
    Issue (Month): 3 (December)
    Pages: 724-758

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    Handle: RePEc:eee:jfinec:v:86:y:2007:i:3:p:724-758

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    Web page: http://www.elsevier.com/locate/inca/505576

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    References

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    6. Becker, Connie & Ferson, Wayne & Myers, David H. & Schill, Michael J., 1999. "Conditional market timing with benchmark investors," Journal of Financial Economics, Elsevier, Elsevier, vol. 52(1), pages 119-148, April.
    7. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(2), pages 373-399, June.
    8. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June.
    9. Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003. "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles 3163263, Harvard University Department of Economics.
    10. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-61, October.
    11. John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
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    13. Cohen, Randolph & Coval, Joshua & Pástor, Luboš, 2003. "Judging Fund Managers by the Company They Keep," CEPR Discussion Papers 3717, C.E.P.R. Discussion Papers.
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    17. Kosowski, Robert & Timmermann, Allan & Wermers, Russ & White, Hal, 2005. "Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis," CFR Working Papers 05-14, University of Cologne, Centre for Financial Research (CFR).
    18. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2004. "On the Industry Concentration of Actively Managed Equity Mutual Funds," NBER Working Papers 10770, National Bureau of Economic Research, Inc.
    19. Goetzmann, William N. & Ingersoll, Jonathan & Ivković, Zoran, 2000. "Monthly Measurement of Daily Timers," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 257-290, September.
    20. Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
    21. Avramov, Doron & Wermers, Russ, 2006. "Investing in mutual funds when returns are predictable," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(2), pages 339-377, August.
    22. Chang, Eric C & Lewellen, Wilbur G, 1984. "Market Timing and Mutual Fund Investment Performance," The Journal of Business, University of Chicago Press, vol. 57(1), pages 57-72, January.
    23. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 25(1), pages 23-49, November.
    24. Edelen, Roger M., 1999. "Investor flows and the assessed performance of open-end mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 53(3), pages 439-466, September.
    25. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 115-146, November.
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    29. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1989. "Data-snooping biases in tests of financial asset pricing models," Working papers 3020-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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    35. 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.
    36. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 39(2-3), pages 209-235.
    37. Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, vol. 54(2), pages 581-622, 04.
    38. Cumby, Robert E & Glen, Jack D, 1990. " Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
    39. Donald B. Keim & Robert F. Stambaugh, . "Predicting Returns in the Stock and Bond Markets," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 15-85, Wharton School Rodney L. White Center for Financial Research.
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