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Correcting for Heteroscedasticity in Tests for Market Timing Ability

Author

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  • Breen, William
  • Jagannathan, Ravi
  • Ofer, Aharon R

Abstract

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Suggested Citation

  • Breen, William & Jagannathan, Ravi & Ofer, Aharon R, 1986. "Correcting for Heteroscedasticity in Tests for Market Timing Ability," The Journal of Business, University of Chicago Press, vol. 59(4), pages 585-598, October.
    • Handle: RePEc:ucp:jnlbus:v:59:y:1986:i:4:p:585-98
    DOI: 10.1086/296356
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    Citations

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    Cited by:

    1. 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).
    2. 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.
    3. David A. Volkman & Mark E. Wohar, 1995. "Determinants Of Persistence In Relative Performance Of Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 415-430, December.
    4. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    5. 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.
    6. Volkman, David A. & Wohar, Mark E., 1996. "Abnormal profits and relative strength in mutual fund returns," Review of Financial Economics, Elsevier, vol. 5(2), pages 101-116.
    7. 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.
    8. Zambrana, Rafael & Zapatero, Fernando, 2021. "A tale of two types: Generalists vs. specialists in asset management," Journal of Financial Economics, Elsevier, vol. 142(2), pages 844-861.
    9. Michael E. Drew & Madhu Veeraraghavan & Vanessa Wilson, 2002. "Market Timing and Selectivity: Evidence from Australian Equity Superannuation Funds," School of Economics and Finance Discussion Papers and Working Papers Series 105, School of Economics and Finance, Queensland University of Technology.
    10. Jiang, Wei, 2003. "A nonparametric test of market timing," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 399-425, September.
    11. Nick Taylor, 2023. "The Determinants of Volatility Timing Performance," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1228-1257.
    12. 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, January.

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