On the Timing Ability of Mutual Fund Managers

32 Pages Posted: 8 Nov 2000

See all articles by Jeffrey A. Busse

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.

Suggested Citation

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

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

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