Do Mutual Funds Time the Market? Evidence from Portfolio Holdings

摘要：

Existing literature has found no evidence of market-timing ability by mutual funds using tests based on fund returns. This paper proposes alternative market-timing tests based on observed fund holdings. The holdings-based measures are shown to be more powerful than the return-based measures, and are not subject to ìarti cial timing. bias. Applying the holdings-based tests, we nd strong evidence of mutual fund timing ability. Our ndings also suggest that market-timing funds tend to have higher returns and trade more actively. Furthermore, they seem to have market-timing information beyond those common return-predictive economic variables documented in the academic studies. Finally, we quantify the potential economic value of market-timing as a contingent claim. The magnitude of the estimated values indicates that market-timing is potentially an important investment strategy deserving more academic attention.

作者: George J. Jiang Tong Yao Tong Yu

作者单位: The Department of Finance, Eller College of Management, University of Arizona, Tucson,Arizona 85721- Is from College of Business Administration, University of Rhode Island

会议类型: 国际会议

会议名称: 2005年中国国际金融年会

会议地点: 昆明

会议语种:英文

在线出版日期: 2005-07-05（万方平台首次上网日期，不代表论文的发表时间）