Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7360624 | Journal of Empirical Finance | 2018 | 44 Pages |
Abstract
This paper analyzes the cash flow timing skills of mutual fund investors, controlling for the hindsight effect (HE). We analyze a sample of US domestic equity mutual funds in the period 1990-2016. Before controlling for the HE, we find that mutual fund investors worsen the return that they achieve with their timing decisions by 1.80% annually. However, after controlling for the HE, the actual prejudice is 0.71% annually. We establish several additional controls obtaining these next results: (i) more sophisticated and informed investors show better timing skills; (ii) the HE is more relevant to less sophisticated investors; (iii) investors wrongly time their exposure to the stock market; and (iv) incubation bias does not significantly affect previous results.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Fernando Muñoz, Ruth Vicente,