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Do Mutual Funds Time the Market? Evidence from Portfolio Holdings
| Content Provider | Semantic Scholar |
|---|---|
| Author | Jiang, George J. Yao, Tong Yu, Tong |
| Copyright Year | 2007 |
| Abstract | Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the ‘‘artificial timing’’ bias. In this paper, we propose and implement new measures of market timing based on mutual fund holdings. Our holdings-based measures do not suffer from the artificial timing bias. We find that, on average, actively managed U.S. domestic equity funds have positive timing ability. Market timing funds use non-public information to predict market returns, tend to have high industry concentration, large fund size, a tilt toward small-cap stocks, and are active in industry rotation. |
| Starting Page | 724 |
| Ending Page | 758 |
| Page Count | 35 |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.649401 |
| Volume Number | 86 |
| Alternate Webpage(s) | http://www.cicfconf.org/past/cicf2005/paper/20050104065956.PDF |
| Alternate Webpage(s) | http://www.afajof.org/pdfs/2005program/UPDF/P930_Financial_Econometrics.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.649401 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
