کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960506 | 929481 | 2007 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Do mutual funds time the market? Evidence from portfolio holdings
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 86, Issue 3, December 2007, Pages 724–758
Journal: Journal of Financial Economics - Volume 86, Issue 3, December 2007, Pages 724–758
نویسندگان
George J. Jiang, Tong Yao, Tong Yu,