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http://ssrn.com/abstract=245790
 
 

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On the Timing Ability of Mutual Fund Managers


Jeffrey A. Busse


Emory University - Department of Finance

Nicolas P. B. Bollen


Vanderbilt University - Finance


EFA 0687

Abstract:     
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

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Date posted: November 8, 2000  

Suggested Citation

Busse, Jeffrey A. and Bollen, Nicolas P. B., On the Timing Ability of Mutual Fund Managers. EFA 0687. Available at SSRN: http://ssrn.com/abstract=245790 or http://dx.doi.org/10.2139/ssrn.245790

Contact Information

Jeffrey A. Busse (Contact Author)
Emory University - Department of Finance ( email )
Atlanta, GA 30322-2710
United States
404-727-0160 (Phone)
404-727-5238 (Fax)
Nicolas P.B. Bollen
Vanderbilt University - Finance ( email )
401 21st Avenue South
Nashville, TN 37203
United States
HOME PAGE: http://mba.vanderbilt.edu/faculty/nbollen.cfm

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