Add to ORKGWe apply a recent nonparametric methodology to test the market timing skills of UK equity and balanced mutual funds. The methodology has a number of advantages over the widely used regression based tests of Treynor-Mazuy (1966) and Henriksson-Merton (1981). We find a relatively small number of funds (around 1%) demonstrate positive market timing ability at 5 % significance, while around 19 % of funds exhibit negative timing and on average funds mis-time the market. However, controlling for publicly available information we find very little evidence of market timing ability based on private timing signals. In terms of investment styles, there are a small number of successful positive market timers amongst Equity Income and ‘All Company ’ fun...
This paper examines whether self-described market timing hedge funds have the ability to time the U....
Abstract In this paper, the authors use monthly holdings to study timing ability. These data differ ...
The purpose of the study is to examine whether market timing ability explains the returns of hedge f...
We apply a recent nonparametric methodology to test the market timing skills of UK equity and balanc...
We apply a recent nonparametric methodology to test the market timing skills of UK equity mutual fun...
This study examines the market-timing performance of Chinese equity securities investment funds duri...
International audienceThis paper challenges existing studies of mutual fund market timing that find ...
This paper proposes a novel approach to determine whether mutual funds time the market. The proposed...
This paper proposes a novel approach to determine whether mutual funds time the market. The proposed...
This paper proposes a new method based on threshold regression to test mutual fund market-timing abi...
Existing studies of mutual fund market timing analyze monthly returns and find little evidence of ti...
This paper examines whether self-described market timing hedge funds have the ability to time the U....
We apply parametric and non-parametric estimates to test market and style timing ability of individu...
The objective and contribution of this study is to analyse market timing over non-simultaneous perio...
• We propose a generalized specification to study market timing. Instead of considering an average m...
This paper examines whether self-described market timing hedge funds have the ability to time the U....
Abstract In this paper, the authors use monthly holdings to study timing ability. These data differ ...
The purpose of the study is to examine whether market timing ability explains the returns of hedge f...
We apply a recent nonparametric methodology to test the market timing skills of UK equity and balanc...
We apply a recent nonparametric methodology to test the market timing skills of UK equity mutual fun...
This study examines the market-timing performance of Chinese equity securities investment funds duri...
International audienceThis paper challenges existing studies of mutual fund market timing that find ...
This paper proposes a novel approach to determine whether mutual funds time the market. The proposed...
This paper proposes a novel approach to determine whether mutual funds time the market. The proposed...
This paper proposes a new method based on threshold regression to test mutual fund market-timing abi...
Existing studies of mutual fund market timing analyze monthly returns and find little evidence of ti...
This paper examines whether self-described market timing hedge funds have the ability to time the U....
We apply parametric and non-parametric estimates to test market and style timing ability of individu...
The objective and contribution of this study is to analyse market timing over non-simultaneous perio...
• We propose a generalized specification to study market timing. Instead of considering an average m...
This paper examines whether self-described market timing hedge funds have the ability to time the U....
Abstract In this paper, the authors use monthly holdings to study timing ability. These data differ ...
The purpose of the study is to examine whether market timing ability explains the returns of hedge f...