Dynamic Market Timing in Mutual Funds

Published Online:https://doi.org/10.1287/mnsc.2023.4857

References

  • Agarwal V, Mullally K, Tang Y, Yang B (2015) Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. J. Finance 70(6):2733–2776.CrossrefGoogle Scholar
  • Amihud Y, Goyenko R (2013) Mutual fund’s R2 as predictor of performance. Rev. Financial Stud. 26(3):667–694.CrossrefGoogle Scholar
  • Bali T, Engle R (2010) The intertemporal capital asset pricing model with dynamic conditional correlations. J. Monetary Econom. 57(4):377–390.CrossrefGoogle Scholar
  • Bali T, Engle R, Tang Y (2017) Dynamic conditional beta is alive and well in the cross section of daily stock returns. Management Sci. 63(11):3760–3779.LinkGoogle Scholar
  • Bauwens L, Laurent S, Rombouts J (2006) Multivariate GARCH models: A survey. J. Appl. Econometrics 21(1):79–109.CrossrefGoogle Scholar
  • Becker C, Ferson W, Myers D, Schill M (1999) Conditional market timing with benchmark investors. J. Financial Econom. 52(1):119–148.CrossrefGoogle Scholar
  • Berk J, Green R (2004) Mutual fund flows and performance in rational markets. J. Political Econom. 112(6):1269–1295.CrossrefGoogle Scholar
  • Boguth O, Simutin M (2018) Leverage constraints and asset prices: Insights from mutual fund risk taking. J. Financial Econom. 127(2):325–341.CrossrefGoogle Scholar
  • Bollen N, Busse J (2001) On the timing ability of mutual fund managers. J. Finance 56(3):1075–1094.CrossrefGoogle Scholar
  • Bollerslev T (1990) Modelling the coherence in short-run nominal exchange rates: A multivariate generalized arch model. Rev. Econom. Statist. 72(3):498–505.CrossrefGoogle Scholar
  • Breen W, Jagannathan R, Ofer A (1986) Correcting for heteroscedasticity in tests for market timing ability. J. Bus. 59(4):585–598.CrossrefGoogle Scholar
  • Brown S, Goetzmann W (1995) Performance persistence. J. Finance 50(2):679–698.CrossrefGoogle Scholar
  • Busse J, Tong Q (2012) Mutual fund industry selection and persistence. Rev. Asset Pricing Stud. 2(2):245–274.CrossrefGoogle Scholar
  • Busse J, Tong L, Tong Q, Zhang Z (2019) Trading regularity and fund performance. Rev. Financial Stud. 32(1):374–422.CrossrefGoogle Scholar
  • Cappiello L, Engle R, Sheppard K (2006) Asymmetric dynamics in the correlations of global equity and bond returns. J. Financial Econom. 4(4):537–572.CrossrefGoogle Scholar
  • Carhart M (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.CrossrefGoogle Scholar
  • Chang E, Lewellen W (1984) Market timing and mutual fund investment performance. J. Bus. 57(1):57–72.CrossrefGoogle Scholar
  • Chen H, Desai H, Krishnamurthy S (2013) A first look at mutual funds that use short sales. J. Financ. Quant. Anal. 48(3):761–787.CrossrefGoogle Scholar
  • Chen J, Hong H, Huang M, Kubik J (2004) Does fund size erode mutual fund performance? The role of liquidity and organization. Amer. Econom. Rev. 94(5):1276–1302.CrossrefGoogle Scholar
  • Chevalier J, Ellison G (1997) Risk taking by mutual funds as a response to incentives. J. Political Econom. 105(6):1167–1200.CrossrefGoogle Scholar
  • Dass N, Nanda V, Wang Q (2013) Allocation of decision rights and the investment strategy of mutual funds. J. Financial Econom. 110(1):254–277.CrossrefGoogle Scholar
  • Del Guercio D, Reuter J (2014) Mutual fund performance and the incentive to generate alpha. J. Finance 69(4):1673–1704.CrossrefGoogle Scholar
  • Diether KB, Lee K-H, Werner IM (2009) It’s SHO time! Short-sale price tests and market quality. J. Finance 64(1):37–73.CrossrefGoogle Scholar
  • Elton E, Gruber M, Blake C (2003) Incentive fees and mutual funds. J. Finance 58(2):779–804.CrossrefGoogle Scholar
  • Engle R (2002) Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J. Bus. Econom. Statist. 20(3):339–350.CrossrefGoogle Scholar
  • Engle R (2016) Dynamic conditional beta. J. Financial Econom. 14(4):643–667.CrossrefGoogle Scholar
  • Engle R, Kelly B (2012) Dynamic equicorrelation. J. Bus. Econom. Statist. 30(2):212–228.CrossrefGoogle Scholar
  • Engle R, Kroner K (1995) Multivariate simultaneous generalized ARCH. Econometric Theory 11(1):122–150.CrossrefGoogle Scholar
  • Engle R, Sheppard K (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
  • Evans R (2010) Mutual fund incubation. J. Finance 65(4):1581–1611.CrossrefGoogle Scholar
  • Fama E, French K (2010) Luck versus skill in the cross-section of mutual fund returns. J. Finance 65(5):1915–1947.CrossrefGoogle Scholar
  • Fama E, French K (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.CrossrefGoogle Scholar
  • Fama E, French K (2018) Choosing factors. J. Financial Econom. 128(2):234–252.CrossrefGoogle Scholar
  • Fama E, MacBeth J (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.CrossrefGoogle Scholar
  • Ferson W, Lin J (2014) Alpha and performance measurement: The effects of investor disagreement and heterogeneity. J. Finance 69(4):1565–1596.CrossrefGoogle Scholar
  • Ferson W, Mo H (2016) Performance measurement with selectivity, market, and volatility timing. J. Financial Econom. 121(1):93–110.CrossrefGoogle Scholar
  • Ferson W, Schadt R (1996) Measuring fund strategy and performance in changing economic conditions. J. Finance 51(2):425–461.CrossrefGoogle Scholar
  • Frisch R, Waugh F (1933) Partial time regressions as compared with individual trends. Econometrica 1(4):387–401.CrossrefGoogle Scholar
  • Goetzmann W, Ingersoll J, Ivkovich Z (2000) Monthly measurement of daily timers. J. Financial Quant. Anal. 35(3):257–290.CrossrefGoogle Scholar
  • Henriksson R (1984) Market timing and mutual fund performance: An empirical investigation. J. Bus. 57(1):73–96.CrossrefGoogle Scholar
  • Henriksson R, Merton R (1981) On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. J. Bus. 54(4):513–533.CrossrefGoogle Scholar
  • Huang J, Sialm C, Zhang H (2011) Risk shifting and mutual fund performance. Rev. Financial Stud. 24(8):2575–2616.CrossrefGoogle Scholar
  • Jagannathan R, Korajczyk R (1986) Assessing the market timing performance of managed portfolios. J. Bus. 59(2):217–236.CrossrefGoogle Scholar
  • Jiang G, Yao T, Yu T (2007) Do mutual funds time the market? Evidence from portfolio holdings. J. Financial Econom. 86(3):724–758.CrossrefGoogle Scholar
  • Jiang W (2003) A nonparametric test of market timing. J. Empirical Finance 10(4):399–425.CrossrefGoogle Scholar
  • Johnson T (2019) A fresh look at return predictability using a more efficient estimator. Rev. Asset Pricing Stud. 9(1):1–46.CrossrefGoogle Scholar
  • Kacperczyk M, Sialm C, Zheng L (2008) Unobserved actions of mutual funds. Rev. Financial Stud. 21(6):2379–2416.CrossrefGoogle Scholar
  • Kacperczyk M, Van Nieuwerburgh S, Veldkamp L (2014) Time-varying fund manager skill. J. Finance 69(4):1455–1484.CrossrefGoogle Scholar
  • Kahn R, Rudd A (1995) Does historical performance predict future performance? Financial Anal. J. 51(6):43–52.CrossrefGoogle Scholar
  • Kon S (1983) The market-timing performance of mutual fund managers. J. Bus. 56(3):323–347.CrossrefGoogle Scholar
  • Kosowski R, Timmermann A, Wermers R, White H (2006) Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. J. Finance 61(6):2551–2595.CrossrefGoogle Scholar
  • Lovell M (1963) Seasonal adjustment of economic time series and multiple regression analysis. J. Amer. Statist. Assoc. 58(304):993–1010.CrossrefGoogle Scholar
  • Malkiel B (1995) Returns from investing in equity mutual funds 1971 to 1991. J. Finance 50(2):549–572.CrossrefGoogle Scholar
  • Massa M, Reuter J, Zitzewitz E (2010) When should firms share credit with employees? Evidence from anonymously managed mutual funds. J. Financial Econom. 95(3):400–424.CrossrefGoogle Scholar
  • Nain A, Yao T (2013) Mutual fund skill and the performance of corporate acquirers. J. Financial Econom. 110(2):437–456.CrossrefGoogle Scholar
  • Newey W, West K (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.CrossrefGoogle Scholar
  • Pfleiderer P, Bhattacharya S (1983) A note on performance evaluation. Working paper, Stanford University, Stanford, CA.Google Scholar
  • Puckett A, Yan X (2011) The interim trading skills of institutional investors. J. Finance 66(2):601–633.CrossrefGoogle Scholar
  • Scholes M, Williams J (1977) Estimating betas from nonsynchronous data. J. Financial Econom. 5(3):309–327.CrossrefGoogle Scholar
  • Simutin M (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
  • Sirri E, Tufano P (1998) Costly search and mutual fund flows. J. Finance 53(5):1589–1622.CrossrefGoogle Scholar
  • Treynor J, Mazuy K (1966) Can mutual funds outguess the market? Harvard Bus. Rev. 44(4):131–136.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.