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Short term persistence in mutual fund market timing and stock selection abilities

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  • Evangelos Benos
  • Marek Jochec

Abstract

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  • Evangelos Benos & Marek Jochec, 2011. "Short term persistence in mutual fund market timing and stock selection abilities," Annals of Finance, Springer, vol. 7(2), pages 221-246, May.
    • Handle: RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246
    DOI: 10.1007/s10436-010-0173-3
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    References listed on IDEAS

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    1. Grinblatt, Mark & Titman, Sheridan, 1994. "A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(3), pages 419-444, September.
    2. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
    3. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    4. Jonathan B. Berk & Richard C. Green, 2004. "Mutual Fund Flows and Performance in Rational Markets," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1269-1295, December.
    5. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    6. Nicolas P. B. Bollen & Jeffrey A. Busse, 2001. "On the Timing Ability of Mutual Fund Managers," Journal of Finance, American Finance Association, vol. 56(3), pages 1075-1094, June.
    7. Henriksson, Roy D, 1984. "Market Timing and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 57(1), pages 73-96, January.
    8. Hendricks, Darryll & Patel, Jayendu & Zeckhauser, Richard, 1993. "Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988," Journal of Finance, American Finance Association, vol. 48(1), pages 93-130, March.
    9. 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 217-235, April.
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    Citations

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    Cited by:

    1. Zia-ur-Rehman Rao & Tanveer Ahsan & Muhammad Zubair Tauni & Muhammad Umar, 2018. "Performance and Persistence in Performance of Actively Managed Chinese Equity Funds," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 727-747, September.
    2. Shafiqur Rahman & Cheng-Few Lee & Yaqing Xiao, 2017. "The investment performance, attributes, and investment behavior of ethical equity mutual funds in the US: an empirical investigation," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 91-116, July.
    3. Giovanna Menardi & Francesco Lisi, 2012. "Are performance measures equally stable?," Annals of Finance, Springer, vol. 8(4), pages 553-570, November.
    4. Jitmaneeroj, Boonlert, 2023. "Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    5. Wei Rong Ang & Greg N Gregoriou & Hooi Hooi Lean, 2014. "Market-timing skills of socially responsible investment fund managers: The case of North America versus Europe," Journal of Asset Management, Palgrave Macmillan, vol. 15(6), pages 366-377, December.
    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. Matallín-Sáez, Juan Carlos & Soler-Domínguez, Amparo & Tortosa-Ausina, Emili, 2016. "On the robustness of persistence in mutual fund performance," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 192-231.
    8. repec:ipg:wpaper:2014-599 is not listed on IDEAS
    9. Fadillah Mansor & M. Ishaq Bhatti & Shafiqur Rahman & Hung Quang Do, 2020. "The Investment Performance of Ethical Equity Funds in Malaysia," JRFM, MDPI, vol. 13(9), pages 1-14, September.
    10. Zhou, Zhongbao & Xiao, Helu & Jin, Qianying & Liu, Wenbin, 2018. "DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure," European Journal of Operational Research, Elsevier, vol. 269(1), pages 111-131.
    11. Božović, Miloš, 2022. "Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    12. Herrmann, Ulf & Rohleder, Martin & Scholz, Hendrik, 2016. "Does style-shifting activity predict performance? Evidence from equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 112-130.
    13. Benos, Evangelos & Jochec, Marek & Nyekel, Victor, 2010. "Can mutual funds time risk factors?," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 509-514, November.

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    More about this item

    Keywords

    Mutual fund performance; Market timing; Stock selection; G2;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services

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