Dynamic Market Timing in Mutual Funds
References
- (2015) Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. J. Finance 70(6):2733–2776.Crossref, Google Scholar
- (2013) Mutual fund’s R2 as predictor of performance. Rev. Financial Stud. 26(3):667–694.Crossref, Google Scholar
- (2010) The intertemporal capital asset pricing model with dynamic conditional correlations. J. Monetary Econom. 57(4):377–390.Crossref, Google Scholar
- (2017) Dynamic conditional beta is alive and well in the cross section of daily stock returns. Management Sci. 63(11):3760–3779.Link, Google Scholar
- (2006) Multivariate GARCH models: A survey. J. Appl. Econometrics 21(1):79–109.Crossref, Google Scholar
- (1999) Conditional market timing with benchmark investors. J. Financial Econom. 52(1):119–148.Crossref, Google Scholar
- (2004) Mutual fund flows and performance in rational markets. J. Political Econom. 112(6):1269–1295.Crossref, Google Scholar
- (2018) Leverage constraints and asset prices: Insights from mutual fund risk taking. J. Financial Econom. 127(2):325–341.Crossref, Google Scholar
- (2001) On the timing ability of mutual fund managers. J. Finance 56(3):1075–1094.Crossref, Google Scholar
- (1990) Modelling the coherence in short-run nominal exchange rates: A multivariate generalized arch model. Rev. Econom. Statist. 72(3):498–505.Crossref, Google Scholar
- (1986) Correcting for heteroscedasticity in tests for market timing ability. J. Bus. 59(4):585–598.Crossref, Google Scholar
- (1995) Performance persistence. J. Finance 50(2):679–698.Crossref, Google Scholar
- (2012) Mutual fund industry selection and persistence. Rev. Asset Pricing Stud. 2(2):245–274.Crossref, Google Scholar
- (2019) Trading regularity and fund performance. Rev. Financial Stud. 32(1):374–422.Crossref, Google Scholar
- (2006) Asymmetric dynamics in the correlations of global equity and bond returns. J. Financial Econom. 4(4):537–572.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
- (1984) Market timing and mutual fund investment performance. J. Bus. 57(1):57–72.Crossref, Google Scholar
- (2013) A first look at mutual funds that use short sales. J. Financ. Quant. Anal. 48(3):761–787.Crossref, Google Scholar
- (2004) Does fund size erode mutual fund performance? The role of liquidity and organization. Amer. Econom. Rev. 94(5):1276–1302.Crossref, Google Scholar
- (1997) Risk taking by mutual funds as a response to incentives. J. Political Econom. 105(6):1167–1200.Crossref, Google Scholar
- (2013) Allocation of decision rights and the investment strategy of mutual funds. J. Financial Econom. 110(1):254–277.Crossref, Google Scholar
- (2014) Mutual fund performance and the incentive to generate alpha. J. Finance 69(4):1673–1704.Crossref, Google Scholar
- (2009) It’s SHO time! Short-sale price tests and market quality. J. Finance 64(1):37–73.Crossref, Google Scholar
- (2003) Incentive fees and mutual funds. J. Finance 58(2):779–804.Crossref, Google Scholar
- (2002) Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J. Bus. Econom. Statist. 20(3):339–350.Crossref, Google Scholar
- (2016) Dynamic conditional beta. J. Financial Econom. 14(4):643–667.Crossref, Google Scholar
- (2012) Dynamic equicorrelation. J. Bus. Econom. Statist. 30(2):212–228.Crossref, Google Scholar
- (1995) Multivariate simultaneous generalized ARCH. Econometric Theory 11(1):122–150.Crossref, Google Scholar
- (2001) Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. NBER Working Paper No. 8554, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- (2010) Mutual fund incubation. J. Finance 65(4):1581–1611.Crossref, Google Scholar
- (2010) Luck versus skill in the cross-section of mutual fund returns. J. Finance 65(5):1915–1947.Crossref, Google Scholar
- (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
- (2018) Choosing factors. J. Financial Econom. 128(2):234–252.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
- (2014) Alpha and performance measurement: The effects of investor disagreement and heterogeneity. J. Finance 69(4):1565–1596.Crossref, Google Scholar
- (2016) Performance measurement with selectivity, market, and volatility timing. J. Financial Econom. 121(1):93–110.Crossref, Google Scholar
- (1996) Measuring fund strategy and performance in changing economic conditions. J. Finance 51(2):425–461.Crossref, Google Scholar
- (1933) Partial time regressions as compared with individual trends. Econometrica 1(4):387–401.Crossref, Google Scholar
- (2000) Monthly measurement of daily timers. J. Financial Quant. Anal. 35(3):257–290.Crossref, Google Scholar
- (1984) Market timing and mutual fund performance: An empirical investigation. J. Bus. 57(1):73–96.Crossref, Google Scholar
- (1981) On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. J. Bus. 54(4):513–533.Crossref, Google Scholar
- (2011) Risk shifting and mutual fund performance. Rev. Financial Stud. 24(8):2575–2616.Crossref, Google Scholar
- (1986) Assessing the market timing performance of managed portfolios. J. Bus. 59(2):217–236.Crossref, Google Scholar
- (2007) Do mutual funds time the market? Evidence from portfolio holdings. J. Financial Econom. 86(3):724–758.Crossref, Google Scholar
- (2003) A nonparametric test of market timing. J. Empirical Finance 10(4):399–425.Crossref, Google Scholar
- (2019) A fresh look at return predictability using a more efficient estimator. Rev. Asset Pricing Stud. 9(1):1–46.Crossref, Google Scholar
- (2008) Unobserved actions of mutual funds. Rev. Financial Stud. 21(6):2379–2416.Crossref, Google Scholar
- (2014) Time-varying fund manager skill. J. Finance 69(4):1455–1484.Crossref, Google Scholar
- (1995) Does historical performance predict future performance? Financial Anal. J. 51(6):43–52.Crossref, Google Scholar
- (1983) The market-timing performance of mutual fund managers. J. Bus. 56(3):323–347.Crossref, Google Scholar
- (2006) Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. J. Finance 61(6):2551–2595.Crossref, Google Scholar
- (1963) Seasonal adjustment of economic time series and multiple regression analysis. J. Amer. Statist. Assoc. 58(304):993–1010.Crossref, Google Scholar
- (1995) Returns from investing in equity mutual funds 1971 to 1991. J. Finance 50(2):549–572.Crossref, Google Scholar
- (2010) When should firms share credit with employees? Evidence from anonymously managed mutual funds. J. Financial Econom. 95(3):400–424.Crossref, Google Scholar
- (2013) Mutual fund skill and the performance of corporate acquirers. J. Financial Econom. 110(2):437–456.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (1983) A note on performance evaluation. Working paper, Stanford University, Stanford, CA.Google Scholar
- (2011) The interim trading skills of institutional investors. J. Finance 66(2):601–633.Crossref, Google Scholar
- (1977) Estimating betas from nonsynchronous data. J. Financial Econom. 5(3):309–327.Crossref, Google Scholar
- (2013) Standing out in the fund family: Deviation from a family portfolio predicts mutual fund performance. Working paper, University of Toronto, Toronto, Canada.Google Scholar
- (1998) Costly search and mutual fund flows. J. Finance 53(5):1589–1622.Crossref, Google Scholar
- (1966) Can mutual funds outguess the market? Harvard Bus. Rev. 44(4):131–136.Google Scholar

