On the Timing Ability of Mutual Fund Managers
Jeffrey A. Busse
Emory University - Department of Finance
Nicolas P. B. Bollen
Vanderbilt University - Finance
Existing studies of mutual fund market timing analyze monthly returns and find little evidence of timing ability. We show that daily tests are more powerful and that mutual funds exhibit significant timing ability more often in daily tests than in monthly tests. We construct a set of synthetic fund returns in order to control for spurious results. The daily timing coefficients of the majority of funds are significantly different from their synthetic counterparts. These results suggest that mutual funds may possess more timing ability than previously documented.
Number of Pages in PDF File: 32
Date posted: November 8, 2000
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.296 seconds