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An examination of Australian equity trusts for selectivity and market timing performance

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  • Hallahan, Terrence A.
  • Faff, Robert W.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 9 (1999)
Issue (Month): 3-4 (November)
Pages: 387-402

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Handle: RePEc:eee:mulfin:v:9:y:1999:i:3-4:p:387-402

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Web page: http://www.elsevier.com/locate/mulfin

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References

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  1. 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.
  2. Prakash, Arun J & Bear, Robert M, 1986. "A Simplifying Performance Measure Recognizing Skewness," The Financial Review, Eastern Finance Association, vol. 21(1), pages 135-44, February.
  3. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," The Journal of Business, University of Chicago Press, vol. 59(2), pages 217-35, April.
  4. Henriksson, Roy D, 1984. "Market Timing and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 57(1), pages 73-96, January.
  5. 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.
  6. 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.
  7. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
  8. Coggin, T Daniel & Fabozzi, Frank J & Rahman, Shafiqur, 1993. " The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 48(3), pages 1039-55, July.
  9. 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.
  10. Kon, Stanley J, 1983. "The Market-Timing Performance of Mutual Fund Managers," The Journal of Business, University of Chicago Press, vol. 56(3), pages 323-47, July.
  11. Admati, Anat R, et al, 1986. " On Timing and Selectivity," Journal of Finance, American Finance Association, vol. 41(3), pages 715-30, July.
  12. Scott, Robert C & Horvath, Philip A, 1980. " On the Direction of Preference for Moments of Higher Order Than the Variance," Journal of Finance, American Finance Association, vol. 35(4), pages 915-19, September.
  13. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
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Citations

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Cited by:
  1. Karen Benson & Robert Faff, 2004. "Investigating performance benchmarks in the context of international trusts: Australian evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 631-644.
  2. Michael E. Drew & Madhu Veeraraghavan & Vanessa Wilson, 2002. "Market Timing and Selectivity: Evidence from Australian Equity Superannuation Funds," School of Economics and Finance Discussion Papers and Working Papers Series 105, School of Economics and Finance, Queensland University of Technology.
  3. Gallagher, David R. & Jarnecic, Elvis, 2004. "International equity funds, performance, and investor flows: Australian evidence," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 81-95, February.
  4. Chu, Patrick Kuok Kun, 2010. "The price linkages between the equity fund price levels and the stock markets: Evidences from cointegration approach and causality analysis of Hong Kong Mandatory Provident Fund (MPF)," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 281-288, September.
  5. Benson, Karen L. & Faff, Robert W., 2003. "A performance analysis of Australian international equity trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 69-84, February.
  6. David R. Gallagher & Adrian Looi & Matt Pinnuck, 2010. "Are active fund managers collectors of private information or fast interpreters of public information?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(3), pages 635-662.
  7. Simon Stevenson, 2004. "A performance evaluation of portfolio managers: tests of micro and macro forecasting," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 391-411.

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