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Market timing by global fund managers

  • Glassman, Debra A.
  • Riddick, Leigh A.
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-4M7CD63-1/2/addb5ef62dc7f86a7a5a60002f728169
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 25 (2006)
    Issue (Month): 7 (November)
    Pages: 1029-1050

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    Handle: RePEc:eee:jimfin:v:25:y:2006:i:7:p:1029-1050
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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    1. Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
    2. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-26, May.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    4. French, K.R. & Poterba, J.M., 1990. "Are Japanese Stock Prices Too High?," Working papers 547, Massachusetts Institute of Technology (MIT), Department of Economics.
    5. Admati, Anat R, et al, 1986. " On Timing and Selectivity," Journal of Finance, American Finance Association, vol. 41(3), pages 715-30, July.
    6. Lehmann, Bruce N & Modest, David M, 1987. " Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance, American Finance Association, vol. 42(2), pages 233-65, June.
    7. Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
    8. 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.
    9. Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January.
    10. Bange, Mary M. & Miller, Thomas Jr., 2004. "Return momentum and global portfolio allocations," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 429-459, September.
    11. Glassman, Debra A. & Riddick, Leigh A., 1996. "Why empirical international portfolio models fail: evidence that model misspecification creates home asset bias," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 275-312, April.
    12. Becker, Connie & Ferson, Wayne & Myers, David H. & Schill, Michael J., 1999. "Conditional market timing with benchmark investors," Journal of Financial Economics, Elsevier, vol. 52(1), pages 119-148, April.
    13. Ueda, Kazuo, 1990. "Are Japanese stock prices too high?," Journal of the Japanese and International Economies, Elsevier, vol. 4(4), pages 351-370, December.
    14. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999. "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, vol. 72(4), pages 429-61, October.
    15. Warnock, Francis E & Cleaver, Chad, 2003. "Financial Centres and the Geography of Capital Flows," International Finance, Wiley Blackwell, vol. 6(1), pages 27-59, Spring.
    16. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
    17. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
    18. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," The Journal of Business, University of Chicago Press, vol. 59(2), pages 217-35, April.
    19. Robert J. Shiller & Fumiko Kon-Ya & Yoshiro Tsutsui, 1991. "Speculative Behavior in the Stock Markets: Evidence from the United States and Japan," NBER Working Papers 3613, National Bureau of Economic Research, Inc.
    20. Takagi, Shinji, 1989. "The Japanese equity market:Past and present," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 537-570, September.
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