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Monthly Measurement of Daily Timers

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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. J. C. Matallin-Saez, 2003. "Asymmetric relation in omitted benchmarks and market timing in mutual funds," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 775-778.
  3. Patton, Andrew, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
  4. Jing-Zhi Huang & Ying Wang, 2014. "Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings," Management Science, INFORMS, vol. 60(8), pages 2091-2109, August.
  5. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
  6. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.
  7. Guy Metcalfe, 2017. "The Mathematics of Market Timing," Papers 1712.05031, arXiv.org.
  8. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013. "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1759-1776.
  9. 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.
  10. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
  11. Wayne E. Ferson, 2013. "Ruminations on Investment Performance Measurement," European Financial Management, European Financial Management Association, vol. 19(1), pages 4-13, January.
  12. 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.
  13. Andrew Clare & Mariana Clare, 2019. "An examination of ex ante fund performance: identifying indicators of future performance," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 175-195, May.
  14. Ayala, Alfonso, 2011. "Algunos conceptos sobre la evaluación de portafolios de inversión [Some concepts on the assessment of investment portfolios]," MPRA Paper 42404, University Library of Munich, Germany.
  15. Francis In & Sangbae Kim & Philip I Ji, 2014. "On timing ability in Australian managed funds," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 93-106, February.
  16. Tezel, Ahmet & McManus, Ginette, 2001. "Evaluating a stock market timing strategy: the case of RTE Asset Management," Financial Services Review, Elsevier, vol. 10(1-4), pages 173-186.
  17. Kee-Hong Bae & Junesuh Yi, 2008. "The Impact of the Short-Short Rule Repeal on the Timing Ability of Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7-8), pages 969-997.
  18. José Alvarez & Laura Andreu & Cristina Ortiz & José Sarto, 2014. "A nonparametric approach to market timing: evidence from Spanish mutual funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 119-132, January.
  19. Kim, Sangbae & In, Francis & Ji, Philip Inyeob & Park, Raphael Jonghyeon, 2014. "False discoveries in the performance of Australian managed funds," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 244-256.
  20. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
  21. Jung‐Soon Shin & Minki Kim & Dongjun Oh & Tong Suk Kim, 2019. "Do hedge funds time market tail risk? Evidence from option‐implied tail risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 205-237, February.
  22. Peláez, Rolando F., 2015. "Market-timing the business cycle," Review of Financial Economics, Elsevier, vol. 26(C), pages 55-64.
  23. Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003. "Market Timing : A Decomposition of Mutual Fund Returns," Discussion Paper 2003-95, Tilburg University, Center for Economic Research.
  24. Yi, Li & Liu, Zilan & He, Lei & Qin, Zilong & Gan, Shunli, 2018. "Do Chinese mutual funds time the market?," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 1-19.
  25. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2010. "The Market Timing Ability of UK Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1-2), pages 270-289.
  26. Keith Pilbeam & Hamish Preston, 2019. "An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?," IJFS, MDPI, vol. 7(1), pages 1-16, January.
  27. Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
  28. Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W., 2008. "Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 363-386, June.
  29. Kee‐Hong Bae & Junesuh Yi, 2008. "The Impact of the Short‐Short Rule Repeal on the Timing Ability of Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 969-997, September.
  30. Sebastian Bunnenberg & Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2019. "Jensen's alpha and the market‐timing puzzle," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 234-255, April.
  31. Guy Metcalfe, 2018. "The mathematics of market timing," PLOS ONE, Public Library of Science, vol. 13(7), pages 1-12, July.
  32. Brahmadev Panda & Rudra Prasanna Mahapatra & Samson Moharana, 2015. "Myth of Equity Mutual Fund Performance," Vision, , vol. 19(3), pages 200-209, September.
  33. Andreu, Laura & Matallín-Sáez, Juan Carlos & Sarto, José Luis, 2018. "Mutual fund performance attribution and market timing using portfolio holdings," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 353-370.
  34. Wagner, Moritz & Margaritis, Dimitris, 2017. "All about fun(ds) in emerging markets? The case of equity mutual funds," Emerging Markets Review, Elsevier, vol. 33(C), pages 62-78.
  35. Rodri­guez, Javier, 2008. "Market timing: A global endeavor," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 545-556, December.
  36. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 86(3), pages 724-758, December.
  37. 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.
  38. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
  39. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  40. Clare, Andrew & Sherman, Meadhbh Brid & Thomas, Steve, 2016. "Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada," Research in International Business and Finance, Elsevier, vol. 36(C), pages 212-221.
  41. Akshatha Suvarna, 2022. "Timing and Selectivity Performance of Mutual Fund Managers: Application of Conditional Models to Indian Equity Diversified Mutual funds," Jindal Journal of Business Research, , vol. 11(1), pages 81-98, June.
  42. 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.
  43. Romacho, Joao Carlos & Cortez, Maria Ceu, 2006. "Timing and selectivity in Portuguese mutual fund performance," Research in International Business and Finance, Elsevier, vol. 20(3), pages 348-368, September.
  44. J. C. Matallin & A. Fernandez-Izquierdo, 2003. "Passive timing effect in portfolio management," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1829-1837.
  45. Boney, Vaneesha & Comer, George & Kelly, Lynne, 2009. "Timing the investment grade securities market: Evidence from high quality bond funds," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 55-69, January.
  46. Matallín-Sáez, Juan Carlos, 2015. "A note on market timing: Interim trading and the performance of holdings-based and return-based measures," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 90-99.
  47. El Ammari, Anis & Vidal, Marta & Vidal-García, Javier, 2023. "European market timing," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  48. Keith Cuthbertson & Simon Hayley & Dirk Nitzsche, 2016. "Market and Style Timing: German Equity and Bond Funds," European Financial Management, European Financial Management Association, vol. 22(4), pages 667-696, September.
  49. Kim, Sangbae & In, Francis, 2012. "False discoveries in volatility timing of mutual funds," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2083-2094.
  50. Ding, Jing & Jiang, Lei & Liu, Xiaohui & Peng, Liang, 2023. "Nonparametric tests for market timing ability using daily mutual fund returns," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
  51. Peter Klein & Daryl Purdy & Isaac Schweigert & Alexander Vedrashko, 2015. "The Canadian Hedge Fund Industry: Performance and Market Timing," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 283-320, September.
  52. Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P., 2016. "Do hedge funds dynamically manage systematic risk?," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 1-15.
  53. Wayne Ferson & Kenneth Khang, 2002. "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers 8790, National Bureau of Economic Research, Inc.
  54. Semushin, Anton & Parshakov, Petr, 2012. "Data frequency and mutual fund performance measures," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 25(1), pages 95-114.
  55. Sonal Babbar & Sanjay Sehgal, 2018. "Mutual Fund Characteristics and Investment Performance in India," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 43(1-2), pages 1-30, February.
  56. Sergey Iskoz & Jiang Wang, 2003. "How to Tell if a Money Manager Knows More?," NBER Working Papers 9791, National Bureau of Economic Research, Inc.
  57. Su-Jane Chen & Ming-Hsiang Chen, 2009. "Discount Rate Changes and Market Timing: A Multinational Study," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 329-349, November.
  58. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
  59. Rolando F. Peláez, 2015. "Market‐timing the business cycle," Review of Financial Economics, John Wiley & Sons, vol. 26(1), pages 55-64, September.
  60. Christian Diller & Christoph Kaserer, 2009. "What Drives Private Equity Returns?– Fund Inflows, Skilled GPs, and/or Risk?," European Financial Management, European Financial Management Association, vol. 15(3), pages 643-675, June.
  61. Jiang, Wei, 2003. "A nonparametric test of market timing," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 399-425, September.
  62. Frank Coggins & Marie‐Claude Beaulieu & Michel Gendron, 2009. "Mutual Fund Daily Conditional Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(2), pages 95-122, June.
  63. Chen, Li-Wen & Adams, Andrew & Taffler, Richard, 2013. "What style-timing skills do mutual fund “stars” possess?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 156-173.
  64. Adam Stivers, 2015. "Forecasting Returns with Fundamentals-Removed Investor Sentiment," IJFS, MDPI, vol. 3(3), pages 1-23, July.
  65. Kaserer, Christoph & Diller, Christian, 2004. "What drives cash flow based European private equity returns? Fund inflows, skilled GPs and/or risk?," CEFS Working Paper Series 2004-02, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
  66. Chih-Chiang Wu, 2011. "Measuring mutual fund asymmetric performance in changing market conditions: evidence from a Bayesian threshold model," Applied Financial Economics, Taylor & Francis Journals, vol. 21(16), pages 1185-1204.
  67. Ferson, Wayne & Khang, Kenneth, 2002. "Conditional performance measurement using portfolio weights: evidence for pension funds," Journal of Financial Economics, Elsevier, vol. 65(2), pages 249-282, August.
  68. Wayne E. Ferson & Jerchern Lin, 2013. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," NBER Working Papers 19349, National Bureau of Economic Research, Inc.
  69. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.
  70. Pankaj K. Agarwal & H. K. Pradhan, 2018. "Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 157-184, August.
  71. Hayat, Raphie & Kraeussl, Roman, 2011. "Risk and return characteristics of Islamic equity funds," Emerging Markets Review, Elsevier, vol. 12(2), pages 189-203, June.
  72. Gert Elaut & Michael Frömmel & Alexander Mende, 2017. "Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 427-450, September.
  73. 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.
  74. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc.
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