Hybrid Mutual Funds and Market Timing Performance
I examine the stock market timing ability of two samples of hybrid mutual funds. I find that the inclusion of bond indices and a bond timing variable in a multifactor Treynor-Mazuy model framework leads to substantially different conclusions concerning the stock market timing performance of these funds relative to the traditional Treynor-Mazuy model. Results from the multifactor Treynor-Mazuy model find less stock timing ability over the 1981–91 time period and provide evidence of significant stock timing ability across the second fund sample during the 1992–2000 time period.
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