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Asymmetric relation in omitted benchmarks and market timing in mutual funds

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Author Info
J. C. Matallin-Saez
Abstract

Within portfolio management evaluation the aim of this study is to show the effect of omitting benchmarks with asymmetric correlation when measuring market timing ability. The results show the extent of this effect.

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 10 (2003)
Issue (Month): 12 (October)
Pages: 775-778
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Handle: RePEc:taf:apeclt:v:10:y:2003:i:12:p:775-778

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  1. Pastor, Lubos & Stambaugh, Robert F., 2002. "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, Elsevier, vol. 63(3), pages 315-349, March. [Downloadable!] (restricted)
    Other versions:
  2. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July. [Downloadable!] (restricted)
    Other versions:
  3. William N. Goetzmann & Jonathan E. Ingersoll Jr. & Zoran Ivkovich, 1998. "Monthly Measurement of Daily Timers," Yale School of Management Working Papers ysm88, Yale School of Management. [Downloadable!]
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  4. Chance, Don M. & Hemler, Michael L., 2001. "The performance of professional market timers: daily evidence from executed strategies," Journal of Financial Economics, Elsevier, vol. 62(2), pages 377-411, November. [Downloadable!] (restricted)
  5. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October. [Downloadable!] (restricted)
  6. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," Journal of Business, University of Chicago Press, vol. 59(2), pages 217-35, April. [Downloadable!] (restricted)
  7. 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. [Downloadable!] (restricted)
  8. William F. Sharpe, 1965. "Mutual Fund Performance," Journal of Business, University of Chicago Press, vol. 39, pages 119. [Downloadable!]
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