Subscribe Now Subscribe Today
Science Alert Home Journals at Science Alert For Authors For Subscribers Contact Us
   
Journal of Applied Sciences
  Year: 2009 | Volume: 9 | Issue: 9 | Page No.: 1776-1780
DOI: 10.3923/jas.2009.1776.1780
Non-Simultaneous Market Timing in Mutual Funds
Juan C. Matallin-Saez

Abstract:
The objective and contribution of this study is to analyse market timing over non-simultaneous periods. This approach considers that decisions on portfolio risk could affect the fund return in subsequent periods and not only the simultaneous period. Robust estimates of changes in beta are computed by Kalman filtering. Initial results for a sample of Spanish mutual funds do not evidence market timing ability in general, although a higher number of funds, particularly larger funds, present negative timing. The study shows how the evidence of negative timing is more robust and persistent for a longer term window. For shorter terms the evidence is driven by an omitted benchmark bias from negative timing of small cap stocks. A comparison of these results with those achieved by a set of passive benchmarks following a buy and hold strategy demonstrates that the long term evidence of negative timing in mutual funds is the result of management contrary to a buy-and-hold strategy.
 [Fulltext PDF]   [Fulltext HTML]   [XML: Abstract + References]   [References]   [View Citation]  [Report Citation]
 RELATED ARTICLES:
  •    Strategic Asset Allocation and Portfolio Rebalancing with Anomalies: Evidence from Emerging Markets
  •    Analyzing Long and Short-run Relationships Between Comex Gold and Silver Futures
How to cite this article:

Juan C. Matallin-Saez , 2009. Non-Simultaneous Market Timing in Mutual Funds. Journal of Applied Sciences, 9: 1776-1780.

DOI: 10.3923/jas.2009.1776.1780

URL: http://scialert.net/abstract/?doi=jas.2009.1776.1780

 
COMMENT ON THIS PAPER
.
 
 
 
 

 

 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
 
 
 
 
 
 
 

                 home       |       journals        |       for authors       |       for subscribers       |       asci
          © Science Alert. All Rights Reserved