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Do mutual funds time the market? Evidence from portfolio holdings

  • Jiang, George J.
  • Yao, Tong
  • Yu, Tong
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-4P4NPMG-1/2/da9bd316faec28f01f33b11b092f51e5
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 86 (2007)
    Issue (Month): 3 (December)
    Pages: 724-758

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    Handle: RePEc:eee:jfinec:v:86:y:2007:i:3:p:724-758
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    23. Andrew W. Lo & A. Craig MacKinlay, 1989. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," NBER Working Papers 3001, National Bureau of Economic Research, Inc.
    24. John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
    25. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
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    29. Kosowski, Robert & Timmermann, Allan & Wermers, Russ & White, Hal, 2005. "Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis," CFR Working Papers 05-14, University of Cologne, Centre for Financial Research (CFR).
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