Market Timing and Time Frequency

Posted: 10 Oct 2019

See all articles by Javier Vidal-García

Javier Vidal-García

Harvard University; Complutense University Madrid

Marta Vidal

Universidad Europea de Madrid; Universidad Complutense de Madrid (UCM)

Date Written: September 16, 2019

Abstract

This paper shows the usefulness of selecting the appropriate time frequency to examine mutual fund market timing. Using a sample of daily returns for the UK, we find evidence of the benefit to increase the temporal frequency of the observations to estimate market timing as results present a greater significance when we use daily data in the analysis. We show that using daily instead of monthly observations increases the number of significant estimates of market timing ability. This suggests that the return frequency is important when examining mutual funds market timing performance. Another conclusion we can draw from this study is the small proportion of mutual funds that manage to beat the market by performing correct timing strategies, thus the UK mutual fund market confirms the conclusion from previous studies in another markets.

Keywords: Mutual Funds; Market Timing; Portfolio Management; Short-term performance

JEL Classification: G11, G12

Suggested Citation

Vidal-García, Javier and Vidal, Marta, Market Timing and Time Frequency (September 16, 2019). Available at SSRN: https://ssrn.com/abstract=3454302

Javier Vidal-García (Contact Author)

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Complutense University Madrid ( email )

School of Business Administration
Somosaguas Campus
Madrid, Madrid 28223
Spain

Marta Vidal

Universidad Europea de Madrid ( email )

Villaviciosa de Odón
Madrid, 28670
Spain

Universidad Complutense de Madrid (UCM) ( email )

Somosaguas Campus
Madrid, 28223
Spain

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