Do Pension Funds Managers Display Stock-Picking and Market Timing Ability? Evidence from the United Kingdom and Spain (Muestran Los Gestores De Fondos De Pensiones Habilidades De Selección De Valores Y De Sincronización Con El Mercado? Evidencia Para Reino Unido Y España)

Spanish Journal of Finance and Accounting, Vol. XXXIX, No. 146, pp. 349-365, 2010

29 Pages Posted: 18 Feb 2012

See all articles by Mercedes Alda

Mercedes Alda

University of Zaragoza-Faculty of Economics and Business

Luis Ferruz

University of Zaragoza - Faculty of Business and Economics

Fernando Muñoz

Centro Universitario de la Defensa de Zaragoza

Date Written: April-June 2010

Abstract

This paper examines the stock-picking and market timing abilities of pension funds managers in the UK and Spanish markets, analysing their use of privileged information to implement management strategies and considering the possible effects of portfolio size. We take the analysis further by correcting benchmark omission bias. Our results reveal some degree of stock-picking ability, but perverse market timing ability, as well as incorrect use of privileged information in timing strategies. These findings are consistent with the portfolio size effect, although they are influenced by benchmark omission bias. The results obtained are very similar for both UK and Spanish pensions funds managers.

Keywords: market timing, stock-picking, size-effect, benchmark omission, pension funds

Suggested Citation

Alda, Mercedes and Ferruz, Luis and Muñoz, Fernando, Do Pension Funds Managers Display Stock-Picking and Market Timing Ability? Evidence from the United Kingdom and Spain (Muestran Los Gestores De Fondos De Pensiones Habilidades De Selección De Valores Y De Sincronización Con El Mercado? Evidencia Para Reino Unido Y España) (April-June 2010). Spanish Journal of Finance and Accounting, Vol. XXXIX, No. 146, pp. 349-365, 2010, Available at SSRN: https://ssrn.com/abstract=2007019

Mercedes Alda (Contact Author)

University of Zaragoza-Faculty of Economics and Business ( email )

C/Gran Via, 2
Zaragoza
Spain

Luis Ferruz

University of Zaragoza - Faculty of Business and Economics ( email )

Gran Via, 2
50005 Zaragoza, Zaragoza 50005
Spain

Fernando Muñoz

Centro Universitario de la Defensa de Zaragoza ( email )

Academia General Militar, Ctra. de Huesca, s/n
Zaragoza, Zaragoza 50009
Spain

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