Article ID Journal Published Year Pages File Type
5089860 Journal of Banking & Finance 2012 12 Pages PDF
Abstract
► We examine the volatility timing of US mutual funds by adopting FDR (false discoveries rate). ► The percentages of countercyclical and procyclical volatility timing funds are about equal. ► The countercyclical timing portfolio outperforms the procyclical timing portfolio in the out-of-sample test.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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