Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089860 | Journal of Banking & Finance | 2012 | 12 Pages |
Abstract
⺠We examine the volatility timing of US mutual funds by adopting FDR (false discoveries rate). ⺠The percentages of countercyclical and procyclical volatility timing funds are about equal. ⺠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
Sangbae Kim, Francis In,