scholarly journals A Global Approach to Mutual Funds Market Timing Ability

2012 ◽  
Author(s):  
Danielle Marie Sougné ◽  
Laurent Bodson ◽  
Laurent Cavenaile
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Global Approach ◽  
Timing Ability

scholarly journals A global approach to mutual funds market timing ability

2013 ◽  
Vol 20 ◽  
pp. 96-101 ◽  
Author(s):  
Laurent Bodson ◽  
Laurent Cavenaile ◽  
Danielle Sougné
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Global Approach ◽  
Timing Ability

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

scholarly journals Market timing ability and mutual funds: a heterogeneous agent approach

2013 ◽  
Vol 13 (10) ◽  
pp. 1613-1620 ◽  
Author(s):  
Bart Frijns ◽  
Aaron Gilbert ◽  
Remco C.J. Zwinkels
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Heterogeneous Agent ◽  
Timing Ability

Mutual fund alpha and daily market-timing ability

2019 ◽  
Vol 36 (4) ◽  
pp. 662-681
Author(s):  
Qiang Bu
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Design Methodology ◽  
Market Timing ◽  
Content Type ◽  
Market Return ◽  
Timing Ability

Purpose This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds. Findings The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal. Originality/value Using bootstrapped funds as the benchmark, this study shows that daily fund market is overall efficient.

The Market Timing Ability of UK Mutual Funds

2010 ◽  
Vol 37 (1-2) ◽  
pp. 270-289 ◽  
Author(s):  
Keith Cuthbertson ◽  
Dirk Nitzsche ◽  
Niall O'Sullivan
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Timing Ability

scholarly journals The Market Timing Ability of UK Equity Mutual Funds

2006 ◽  
Author(s):  
Keith Cuthbertson ◽  
Dirk Nitzsche ◽  
Niall O'Sullivan
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Equity Mutual Funds ◽  
Timing Ability

scholarly journals Measuring the selectivity and market timing performance of Islamic mutual funds in the KSA

Accounting ◽  
2021 ◽  
pp. 1067-1072
Author(s):  
Habib Hasnaoui ◽  
Ibrahim Fatnassi
Keyword(s):  
Risk Factors ◽  
Saudi Arabia ◽  
Mutual Funds ◽  
Market Timing ◽  
Investment Risk ◽  
Large Set ◽  
Kingdom Of Saudi Arabia ◽  
Fund Managers ◽  
Timing Ability ◽  
Investment Patterns

This paper examines the selectivity and market timing abilities of Islamic fund managers in the Kingdom of Saudi Arabia (KSA), since the empirical research has yet to explore the profitability and investment risk factors involved. We use a uniquely large set of data for 134 Islamic funds for a period from June 2002 to December 2019, and this was free from any survival bias. We found that Islamic fund managers in the KSA demonstrated good selectivity skills but no market timing ability. We also found that Islamic fund managers in the KSA tend to select companies with aggressive investment patterns despite their low profitability.

ANALISIS DATA PANEL PADA KINERJA REKSADANA SAHAM

Jurnal Varian ◽  
2018 ◽  
Vol 1 (2) ◽  
pp. 59-69
Author(s):  
I Gede Agus Astapa ◽  
Gede Suwardika ◽  
I Ketut Putu Suniantara
Keyword(s):  
Mutual Funds ◽  
Random Effects ◽  
Mutual Fund ◽  
Fixed Effects ◽  
Risk Model ◽  
Panel Data Analysis ◽  
Market Timing ◽  
Stock Selection ◽  
Timing Ability ◽  
Level Of Risk

Mutual funds is another investment opportunity with a more measurable risk as well as return high enough with enough capital is affordable for the community. Mutual fund performance can be measured by several indicators.. Modeling the performance of mutual funds modeled by regression of the data panel. The regression model estimation data panel will do with the three approaches, namely the approach of common effect, fixed effects and random effects. This research purpose to know the performance of mutual funds from stock selection skill variable influences, market timing ability and level of risk with the use of panel data analysis. The results shows that the Fund's performance is affected by the stock selection skill, market timing ability, and the level of risk. Model the right approach to model the performance of mutual funds by using a random effects model.

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