کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963286 | 930289 | 2008 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Market timing: A global endeavor
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Market timing: A global endeavor Market timing: A global endeavor](/preview/png/963286.png)
چکیده انگلیسی
This paper employs daily fund and index data, the classical Treynor and Mazuy timing model, and two multi-factor extensions to measure the market timing ability of global asset allocation funds. These funds differ from traditional global or international funds in that they face fewer investment constraints and are known to actively shift funds across a wide variety of asset classes. When using the classical Treynor and Mazuy timing models, I find evidence of poor market timing ability. However, this evidence disappears when timing ability is examined using two multi-factor models. The results from Treynor and Mazuy are spurious since both multi-factor extensions do a much better job in explaining the variation in average fund returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 18, Issue 5, December 2008, Pages 545-556
Journal: Journal of International Financial Markets, Institutions and Money - Volume 18, Issue 5, December 2008, Pages 545-556
نویسندگان
Javier RodrÃguez,