Abstract

http://ssrn.com/abstract=649401
 
 

References (62)



 
 

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Do Mutual Funds Time the Market? Evidence from Portfolio Holdings


George J. Jiang


Washington State University

Tong Yao


University of Iowa - Henry B. Tippie College of Business

Tong Yu


University of Rhode Island - College of Business Administration

October 1, 2006

AFA 2005 Philadelphia Meetings Paper
Journal of Financial Economics (JFE), Vol. 86, 2007

Abstract:     
Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the ‘‘artificial timing’’ bias. In this paper, we propose and implement new measures of market timing based on mutual fund holdings. Our holdings-based measures do not suffer from the artificial timing bias. We find that, on average, actively managed U.S. domestic equity funds have positive timing ability. Market timing funds use non-public information to predict market returns, tend to have high industry concentration, large fund size, a tilt toward small-cap stocks, and are active in industry rotation.

Number of Pages in PDF File: 36

Keywords: market timing, mutual fund

JEL Classification: G10

Accepted Paper Series


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Date posted: January 16, 2005 ; Last revised: February 20, 2013

Suggested Citation

Jiang, George J. and Yao, Tong and Yu, Tong, Do Mutual Funds Time the Market? Evidence from Portfolio Holdings (October 1, 2006). AFA 2005 Philadelphia Meetings Paper; Journal of Financial Economics (JFE), Vol. 86, 2007. Available at SSRN: http://ssrn.com/abstract=649401 or http://dx.doi.org/10.2139/ssrn.649401

Contact Information

George Jiang
Washington State University ( email )
Department of Finance and Management Science
College of Business
Pullman, WA 99-4746164
United States
509-3354474 (Phone)
HOME PAGE: http://www.cb.wsu.edu/directory/profile.cfm?emp=jiang_george
Tong Yao (Contact Author)
University of Iowa - Henry B. Tippie College of Business ( email )
108 Pappajohn Business Building
Iowa City, IA 52242-1000
United States
Tong Yu
University of Rhode Island - College of Business Administration ( email )
Kingston, RI 02881
United States
(401) 874-7415 (Phone)
(401) 874-4312 (Fax)
HOME PAGE: http://www.cba.uri.edu/tong
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