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Do mutual funds time the market? Evidence from portfolio holdings

Citations

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Cited by:

  1. Frank, Murray Z. & Nezafat, Mahdi, 2019. "Testing the credit-market-timing hypothesis using counterfactual issuing dates," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 187-207.
  2. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
  3. Francis In & Sangbae Kim & Philip I Ji, 2014. "On timing ability in Australian managed funds," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 93-106, February.
  4. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2011. "Window dressing in mutual funds," CFR Working Papers 11-07, University of Cologne, Centre for Financial Research (CFR).
  5. Jung‐Soon Shin & Minki Kim & Dongjun Oh & Tong Suk Kim, 2019. "Do hedge funds time market tail risk? Evidence from option‐implied tail risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 205-237, February.
  6. Savov, Alexi, 2014. "The price of skill: Performance evaluation by households," Journal of Financial Economics, Elsevier, vol. 112(2), pages 213-231.
  7. Kee‐Hong Bae & Junesuh Yi, 2008. "The Impact of the Short‐Short Rule Repeal on the Timing Ability of Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 969-997, September.
  8. Mahfooz Alam & Valeed Ahmad Ansari, 2020. "Mutual fund managers’ market timing abilities: Indian evidence," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 342-354, July.
  9. Tchamyou, Vanessa S. & Asongu, Simplice A., 2017. "Conditional market timing in the mutual fund industry," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1355-1366.
  10. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
  11. Matallin-Saez Juan Carlos, 2008. "The Dynamics of Mutual Funds and Market Timing Measurement," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-37, December.
  12. David A. Mascio & Marat Molyboga & Frank J. Fabozzi, 2023. "The battle of the factors: Macroeconomic variables or investor sentiment?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2280-2291, December.
  13. Matallín-Sáez, Juan Carlos, 2015. "A note on market timing: Interim trading and the performance of holdings-based and return-based measures," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 90-99.
  14. 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).
  15. Cai, Biqing & Cheng, Tingting & Yan, Cheng, 2018. "Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 81-106.
  16. Venessa S. Tchamyou & Simplice A. Asongu & Jacinta C. Nwachukwu, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(5), pages 542-557, May.
  17. Gianni Amisano & Roberto Savona, 2007. "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers 0706, University of Brescia, Department of Economics.
  18. Laura Andreu & Laurens Swinkels, 2012. "Performance evaluation of balanced pension plans," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 819-830, March.
  19. Zheng, Yao & Osmer, Eric & Zhang, Ruiyi, 2018. "Sentiment hedging: How hedge funds adjust their exposure to market sentiment," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 147-160.
  20. Hasan F. Baklaci & William I-Wei Cheng & Jianing Zhang, 2024. "Performance Attributes of Environmental, Social, and Governance Exchange-Traded Funds," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(2), pages 307-334, June.
  21. Ruixue Jing & Ryota Kobayashi & Luis Enrique Correa Rocha, 2025. "Optimising cryptocurrency portfolios through stable clustering of price correlation networks," Papers 2505.24831, arXiv.org.
  22. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
  23. Chen, Huaizhi, 2025. "Diversification driven demand for large stock," Journal of Financial Economics, Elsevier, vol. 172(C).
  24. Kee-Hong Bae & Junesuh Yi, 2008. "The Impact of the Short-Short Rule Repeal on the Timing Ability of Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7-8), pages 969-997.
  25. Zheng, Yao & Osmer, Eric & Bai, Yidan, 2021. "Timing market confidence in the Chinese domestic security market," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 298-311.
  26. Cai, Yu & Lau, Sie Ting, 2015. "Informed trading around earnings and mutual fund alphas," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 168-180.
  27. Clare, Andrew & Sherman, Meadhbh Brid & Thomas, Steve, 2016. "Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada," Research in International Business and Finance, Elsevier, vol. 36(C), pages 212-221.
  28. Keith Cuthbertson & Simon Hayley & Dirk Nitzsche, 2016. "Market and Style Timing: German Equity and Bond Funds," European Financial Management, European Financial Management Association, vol. 22(4), pages 667-696, September.
  29. Zheng, Yao & Osmer, Eric & Zu, Dingding, 2024. "Timing sentiment with style: Evidence from mutual funds," Journal of Banking & Finance, Elsevier, vol. 164(C).
  30. Xiangang Xin & P. Eric Yeung & Zilong Zhang, 2024. "Wrong Kind of Transparency? Mutual Funds’ Higher Reporting Frequency, Window Dressing, and Performance," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 62(2), pages 737-781, May.
  31. Li, Chenlu & Li, Baibing & Tee, Kai-Hong, 2020. "Are hedge funds active market liquidity timers?," International Review of Financial Analysis, Elsevier, vol. 67(C).
  32. Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem, 2022. "American hedge funds industry, market timing and COVID-19 crisis," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 390-399, September.
  33. Lean, Hooi Hooi & Ang, Wei Rong & Smyth, Russell, 2015. "Performance and performance persistence of socially responsible investment funds in Europe and North America," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 254-266.
  34. Agarwal, Vikas & Mullally, Kevin & Tang, Yuehua & Yang, Baozhong, 2013. "Mandatory portfolio disclosure, stock liquidity, and mutual fund performance," CFR Working Papers 13-04, University of Cologne, Centre for Financial Research (CFR).
  35. Russ Wermers & Tong Yao & Jane Zhao, 2012. "Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings," The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3490-3529.
  36. 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.
  37. Yao Zheng & Eric Osmer & Liancun Zheng, 2020. "Can mutual funds time investor sentiment?," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1449-1486, May.
  38. Liu, Yuekun & Riley, Timothy B., 2025. "How should we measure the performance of corporate bond mutual funds? Evaluating model quality and impact on inferences," Journal of Banking & Finance, Elsevier, vol. 173(C).
  39. Wang, Yaping & Paek, Miyoun & Ko, Kwangsoo, 2019. "The performance of Chinese equity funds: An extension of DGTW model," Japan and the World Economy, Elsevier, vol. 51(C), pages 1-1.
  40. Cao, Charles & Chen, Yong & Liang, Bing & Lo, Andrew W., 2013. "Can hedge funds time market liquidity?," Journal of Financial Economics, Elsevier, vol. 109(2), pages 493-516.
  41. Ole‐Kristian Hope & Pingui Rao & Yanping Xu & Heng Yue, 2023. "Information sharing between mutual funds and auditors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 50(1-2), pages 152-197, January.
  42. Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
  43. Guy Metcalfe, 2018. "The mathematics of market timing," PLOS ONE, Public Library of Science, vol. 13(7), pages 1-12, July.
  44. Ferson, Wayne & Mo, Haitao, 2016. "Performance measurement with selectivity, market and volatility timing," Journal of Financial Economics, Elsevier, vol. 121(1), pages 93-110.
  45. Yin, Zhengnan & O’Sullivan, Niall & Sherman, Meadhbh, 2024. "The liquidity timing ability of mutual funds," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  46. DeLisle, R. Jared & Morscheck, Justin D. & Nofsinger, John R., 2020. "Share repurchases and wealth transfer among shareholders," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 368-378.
  47. Broman, Markus & Fulkerson, Jon, 2025. "Variation in the value of active share across regions of investments: Evidence from global equity funds," Journal of Banking & Finance, Elsevier, vol. 180(C).
  48. Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1011-1061, Elsevier.
  49. Białkowski, Jędrzej & Bohl, Martin T. & Kaufmann, Philipp & Wisniewski, Tomasz P., 2013. "Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey," Emerging Markets Review, Elsevier, vol. 15(C), pages 211-232.
  50. Massa, Massimo, 2015. "Short-Sale Constraints and the Pricing of Managerial Skills," CEPR Discussion Papers 10447, C.E.P.R. Discussion Papers.
  51. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2014. "Window dressing in mutual funds," CFR Working Papers 11-07 [rev.3], University of Cologne, Centre for Financial Research (CFR).
  52. Burak Pirgaip & Aslıhan Taşdemir, 2017. "Derivative Use of Turkish Investment Funds During the 2008-09 Financial Crisis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(1), pages 1-14, January.
  53. Antonio Gargano & Alberto G. Rossi & Russ Wermers, 2017. "The Freedom of Information Act and the Race Toward Information Acquisition," The Review of Financial Studies, Society for Financial Studies, vol. 30(6), pages 2179-2228.
  54. Dass, Nishant & Nanda, Vikram & Wang, Qinghai, 2013. "Allocation of decision rights and the investment strategy of mutual funds," Journal of Financial Economics, Elsevier, vol. 110(1), pages 254-277.
  55. Jiang, Hao & Ma, Yong & Wang, Tianyang, 2025. "Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency," Journal of Financial Markets, Elsevier, vol. 73(C).
  56. Antypas, Antonios & Caporale, Guglielmo Maria & Kourogenis, Nikolaos & Pittis, Nikitas, 2020. "Estimation of conditional asset pricing models with integrated variables in the beta specification," Research in International Business and Finance, Elsevier, vol. 52(C).
  57. Yi, Li & Liu, Zilan & He, Lei & Qin, Zilong & Gan, Shunli, 2018. "Do Chinese mutual funds time the market?," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 1-19.
  58. Spencer J. Couts, 2024. "How do Non-Core Allocations Affect the Risk and Returns of Private Real Estate Funds?," The Journal of Real Estate Finance and Economics, Springer, vol. 68(4), pages 715-748, May.
  59. Stephan Schwill, 2018. "Entropy Analysis of Financial Time Series," Papers 1807.09423, arXiv.org.
  60. Xu, Fan, 2024. "Gambling preferences and fund company ownership: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 95(C).
  61. Wagner, Moritz & Margaritis, Dimitris, 2017. "All about fun(ds) in emerging markets? The case of equity mutual funds," Emerging Markets Review, Elsevier, vol. 33(C), pages 62-78.
  62. Bai, John Jianqiu & Tang, Yuehua & Wan, Chi & Yüksel, H. Zafer, 2022. "Fund manager skill in an era of globalization: Offshore concentration and fund performance," Journal of Financial Economics, Elsevier, vol. 145(2), pages 18-40.
  63. Onur Kemal Tosun & Liang Jin & Richard Taffler & Arman Eshraghi, 2022. "Fund manager skill: selling matters more!," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 969-994, October.
  64. Fernando Muñoz & Maria Vargas & Isabel Marco, 2014. "Environmental Mutual Funds: Financial Performance and Managerial Abilities," Journal of Business Ethics, Springer, vol. 124(4), pages 551-569, November.
  65. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
  66. Andriy Bodnaruk & Bekhan Chokaev & Andrei Simonov, 2019. "Downside Risk Timing by Mutual Funds," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(1), pages 171-196.
  67. Jiang, George J. & Zaynutdinova, Gulnara R. & Zhang, Huacheng, 2021. "Stock-selection timing," Journal of Banking & Finance, Elsevier, vol. 125(C).
  68. Gert Elaut & Michael Frömmel & Alexander Mende, 2017. "Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 427-450, September.
  69. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc.
  70. Mahfooz Alam & Valeed Ahmad Ansari, 0. "Mutual fund managers’ market timing abilities: Indian evidence," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-13.
  71. Campbell R. Harvey & Yan Liu, 2022. "Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence," Journal of Finance, American Finance Association, vol. 77(3), pages 1921-1966, June.
  72. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013. "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1759-1776.
  73. Wang, Xiaoxiao & Zhang, Xueyong, 2024. "Bank affiliation and timing ability of mutual funds: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 163(C).
  74. Cao, Charles & Simin, Timothy T. & Wang, Ying, 2013. "Do mutual fund managers time market liquidity?," Journal of Financial Markets, Elsevier, vol. 16(2), pages 279-307.
  75. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2012. "Performance inconsistency in mutual funds: An investigation of window-dressing behavior," CFR Working Papers 11-07 [rev.], University of Cologne, Centre for Financial Research (CFR).
  76. Hunter, David & Kandel, Eugene & Kandel, Shmuel & Wermers, Russ, 2014. "Mutual fund performance evaluation with active peer benchmarks," Journal of Financial Economics, Elsevier, vol. 112(1), pages 1-29.
  77. Sebastian Bunnenberg & Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2019. "Jensen's alpha and the market‐timing puzzle," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 234-255, April.
  78. Giovanni Walter Puopolo, 2026. "Mutual Fund Performance: A Review of the Literature," International Journal of Finance, CARI Journals Limited, vol. 11(1), pages 1-13.
  79. David A. Mascio & Frank J. Fabozzi & J. Kenton Zumwalt, 2021. "Market timing using combined forecasts and machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 1-16, January.
  80. Gimeno, Ruth & Andreu, Laura & Sarto, José Luis, 2022. "Fund trading divergence and performance contribution," International Review of Financial Analysis, Elsevier, vol. 83(C).
  81. Alexander Franck & Andreas Walter & Johannes Witt, 2013. "Momentum strategies of German mutual funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 307-332, September.
  82. Dayani, Arash, 2022. "CEO inside debt and mutual fund investment decisions," Journal of Banking & Finance, Elsevier, vol. 145(C).
  83. Wang, Luqi & Urga, Giovanni, 2025. "Optimal N-state endogenous Markov-switching model for currency liquidity timing," Journal of Economic Dynamics and Control, Elsevier, vol. 177(C).
  84. Zhengnan Yin & Niall O’Sullivan & Meadhbh Sherman, 2024. "The market timing ability of bond mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 508-527, September.
  85. Ashiq Ali & Xuanjuan Chen & Tong Yao & Tong Yu, 2008. "Do Mutual Funds Profit from the Accruals Anomaly?," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 46(1), pages 1-26, March.
  86. Chen, Li-Wen & Adams, Andrew & Taffler, Richard, 2013. "What style-timing skills do mutual fund “stars” possess?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 156-173.
  87. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011. "Risk Shifting and Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2575-2616.
  88. Jon A. Fulkerson, 2013. "Is Timing Everything? The Value of Mutual Fund Manager Trades," Financial Management, Financial Management Association International, vol. 42(2), pages 243-261, June.
  89. Mikhail Simutin, 2014. "Cash Holdings and Mutual Fund Performance," Review of Finance, European Finance Association, vol. 18(4), pages 1425-1464.
  90. Manuel Ammann & Sebastian Fischer & Florian Weigert, 2018. "Risk Factor Exposure Variation and Mutual Fund Performance," Working Papers on Finance 1817, University of St. Gallen, School of Finance, revised Nov 2018.
  91. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2013. "Window dressing in mutual funds," CFR Working Papers 11-07 [rev.2], University of Cologne, Centre for Financial Research (CFR).
  92. Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2010. "Mutual Fund Performance: Measurement and Evidence," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 19(2), pages 95-187, May.
  93. Zhengnan Yin & Niall O’Sullivan & Meadhbh Sherman, 2024. "The performance of asset allocation mutual funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 38(4), pages 465-514, December.
  94. Xiaoyi Shen & Albert K. Tsui & Zhaoyong Zhang, 2019. "Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?," Risks, MDPI, vol. 7(4), pages 1-16, October.
  95. Jing-Zhi Huang & Ying Wang, 2014. "Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings," Management Science, INFORMS, vol. 60(8), pages 2091-2109, August.
  96. Zhong Chu & Zhengwei Wang & Jing Jian Xiao & Weiqiang Zhang, 2017. "Financial Literacy, Portfolio Choice and Financial Well-Being," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 132(2), pages 799-820, June.
  97. Wattanatorn, Woraphon & Padungsaksawasdi, Chaiyuth & Chunhachinda, Pornchai & Nathaphan, Sarayut, 2020. "Mutual fund liquidity timing ability in the higher moment framework," Research in International Business and Finance, Elsevier, vol. 51(C).
  98. Lan, Chunhua & Moneta, Fabio & Wermers, Russ, 2018. "Holding Horizon: A New Measure of Active Investment Management," CFR Working Papers 15-06, University of Cologne, Centre for Financial Research (CFR), revised 2018.
  99. Wayne Ferson & Junbo L Wang, 2021. "A Panel Regression Approach to Holdings-Based Fund Performance Measures [Multiperiod performance persistence analysis of hedge funds]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(4), pages 695-734.
  100. Tung-Yueh Pai & Yen-Hsien Lee, 2018. "Industry Herding, Spillover Index and Investment Strategy," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-6.
  101. 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.
  102. Massimiliano Affinito & Raffaele Santioni, 2021. "When the panic broke out: COVID-19 and investment funds' portfolio rebalancing around the world," Temi di discussione (Economic working papers) 1342, Bank of Italy, Economic Research and International Relations Area.
  103. Alexis Direr & Eric Yayi, 2014. "Les choix de portefeuille des épargnants sur le cycle boursier et le cycle de vie," Économie et Statistique, Programme National Persée, vol. 472(1), pages 125-152.
  104. Nicolas P.B. Bollen & Robert E. Whaley, 2009. "Hedge Fund Risk Dynamics: Implications for Performance Appraisal," Journal of Finance, American Finance Association, vol. 64(2), pages 985-1035, April.
  105. Chen, Jie & Lasfer, Meziane & Song, Wei & Zhou, Si, 2021. "Recession managers and mutual fund performance," Journal of Corporate Finance, Elsevier, vol. 69(C).
  106. Jenkinson, Tim & Morkoetter, Stefan & Schori, Tobias & Wetzer, Thomas, 2022. "Buy low, sell high? Do private equity fund managers have market timing abilities?," Journal of Banking & Finance, Elsevier, vol. 138(C).
  107. Stéphane Chrétien & Frank Coggins & Félix d’Amours, 2016. "The Performance of Market Timing Measures in a Simulated Environment," Review of Finance, European Finance Association, vol. 20(3), pages 1153-1187.
  108. Teodor Dyakov & Marno Verbeek, 2019. "Can Mutual Fund Investors Distinguish Good from Bad Managers?," International Review of Finance, International Review of Finance Ltd., vol. 19(3), pages 505-540, September.
  109. Bai, Ting & Hilscher, Jens & Scherbina, Anna, 2025. "Unencumbered by style: Why do funds change factor loadings, and does it help?," Journal of Banking & Finance, Elsevier, vol. 181(C).
  110. Guy Metcalfe, 2017. "The Mathematics of Market Timing," Papers 1712.05031, arXiv.org.
  111. Wattanatorn, Woraphon & Padungsaksawasdi, Chaiyuth, 2021. "Cokurtosis and the Ability of Mutual Fund Managers," Finance Research Letters, Elsevier, vol. 40(C).
  112. Zheng, Yao & Osmer, Eric & Zheng, Liancun, 2021. "Can mutual fund managers time commonality in stock market misvaluation?," Journal of Economics and Business, Elsevier, vol. 117(C).
  113. Liao, Li & Zhang, Xueyong & Zhang, Yeqing, 2017. "Mutual fund managers' timing abilities," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 80-96.
  114. Fernando Mu�oz & Ruth Vicente & Luis Ferruz, 2015. "Stock-picking and style-timing abilities: a comparative analysis of conventional and socially responsible mutual funds in the US market," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 345-358, February.
  115. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224, December.
  116. Yi, Li & Xiao, Li & Liao, Yinkai, 2024. "Network centrality, style drift, and mutual fund performance," Research in International Business and Finance, Elsevier, vol. 70(PA).
  117. Ammann, Manuel & Fischer, Sebastian & Weigert, Florian, 2020. "Factor exposure variation and mutual fund performance," CFR Working Papers 20-06, University of Cologne, Centre for Financial Research (CFR).
  118. repec:ipg:wpaper:2014-599 is not listed on IDEAS
  119. Vikas Agarwal & Kevin A. Mullally & Yuehua Tang & Baozhong Yang, 2015. "Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 70(6), pages 2733-2776, December.
  120. Moneta, Fabio, 2015. "Measuring bond mutual fund performance with portfolio characteristics," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 223-242.
  121. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.
  122. Aiken, Adam L. & Kang, Minjeong, 2023. "Hedge fund manager timing and selectivity skill over time. A holdings-based estimate," Finance Research Letters, Elsevier, vol. 58(PB).
  123. Huang, Jing-Zhi & Wang, Ying, 2013. "Should investors invest in hedge fund-like mutual funds? Evidence from the 2007 financial crisis," Journal of Financial Intermediation, Elsevier, vol. 22(3), pages 482-512.
  124. Andreu, Laura & Matallín-Sáez, Juan Carlos & Sarto, José Luis, 2018. "Mutual fund performance attribution and market timing using portfolio holdings," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 353-370.
  125. Akshatha Suvarna, 2022. "Timing and Selectivity Performance of Mutual Fund Managers: Application of Conditional Models to Indian Equity Diversified Mutual funds," Jindal Journal of Business Research, , vol. 11(1), pages 81-98, June.
  126. Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle, 2013. "A global approach to mutual funds market timing ability," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 96-101.
  127. Elyasiani, Elyas & Rytchkov, Oleg & Stetsyuk, Ivan, 2022. "Do real estate mutual fund managers create value?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 396-406.
  128. Laura Andreu & Lydia Mateos & José Luis Sarto, 2017. "The Value Added by Trading Based on Valuation Criteria," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 327-352, September.
  129. Pankaj K. Agarwal & H. K. Pradhan, 2018. "Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 157-184, August.
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