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Monthly Measurement of Daily Timers

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  • William Goetzmann
  • Jonathan Ingersoll
  • Zoran Ivkovich

Abstract

This paper addresses the bias associated with parametric measurement of timing skill based on monthly timer returns when timers can make daily timing decisions. Simulations suggest that the classic Henriksson-Merton parametric measure of timing skill is weak and biased downward when applied to the monthly returns of a daily timer. The paper proposes an adjustment that mitigates this problem without the need to collect daily timer returns. Four tests of timing skill, carried out on a sample of 558 mutual funds, show that very few funds exhibit statisticall

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File URL: http://icfpub.som.yale.edu/publications/2442
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Bibliographic Info

Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm88.

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Date of creation: 01 Apr 1998
Date of revision: 01 Oct 2000
Handle: RePEc:ysm:somwrk:ysm88

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Web page: http://icf.som.yale.edu/
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  1. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
  2. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
  3. Admati, Anat R, et al, 1986. " On Timing and Selectivity," Journal of Finance, American Finance Association, vol. 41(3), pages 715-30, July.
  4. Admati, Anat R & Ross, Stephen A, 1985. "Measuring Investment Performance in a Rational Expectations Equilibrium Model," The Journal of Business, University of Chicago Press, vol. 58(1), pages 1-26, January.
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