Do Mutual Funds Time the Market? Evidence from Portfolio Holdings
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 artificial timingbias. Applying the holdings-based tests, we find strong evidence of mutual fund timing ability. Our findings 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.
George J. Jiang Tong Yao Tong Yu
Department of Finance, Eller College of Management, University of Arizona, Tucson, Arizona 85721-010 College of Business Administration, University of Rhode Island
国际会议
西安
英文
1-48
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）