Article ID Journal Published Year Pages File Type
7360624 Journal of Empirical Finance 2018 44 Pages PDF
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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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