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What style-timing skills do mutual fund “stars” possess?

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Listed:
  • Chen, Li-Wen
  • Adams, Andrew
  • Taffler, Richard

Abstract

Recent studies suggest that certain growth-oriented fund managers have substantial skill but do not stipulate the particular skills that they possess. We examine in detail the style-timing abilities of growth-oriented equity mutual funds over the period from 1993 to 2006. We find that an important contributor to the persistent abnormal returns is growth timing, i.e., switching stocks along the value/growth continuum, and that this explains at least 45% of the abnormal returns reported. No other style-timing skills are observed. Our results also demonstrate that it is easy to misidentify growth timing as market timing.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:empfin:v:21:y:2013:i:c:p:156-173
    DOI: 10.1016/j.jempfin.2013.01.004
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    References listed on IDEAS

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    Cited by:

    1. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2015. "Gender, style diversity, and their effect on fund performance," Research in International Business and Finance, Elsevier, vol. 35(C), pages 57-74.
    2. 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.
    3. repec:eee:pacfin:v:47:y:2018:i:c:p:1-19 is not listed on IDEAS

    More about this item

    Keywords

    Mutual fund performance; Growth funds; Timing skill;

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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