Market timing ability and mutual funds: a heterogeneous agent approach
Loading...
Files
Size: 355.73 KB, File format: Adobe PDF
Date
Authors
Frijns, B
Gilbert, A
Zwinkels, RCJ
Supervisor
Item type
Degree name
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor & Francis
Abstract
This paper proposes a novel approach to determine whether mutual funds time the market. The proposed approach builds on a heterogeneous agent model, where investors switch between cash and stocks depending on a certain switching rule. This represents a more flexible, intuitive, and parsimonious approach. The traditional market timing models are essentially a special case of our model with contemporaneous switching rule. Applying this model to a sample of 400 US equity mutual funds, we find that 41.5% of the funds in our sample have negative market timing skills and only 3.25% positive skills. 20% of funds apply a forward:looking approach in deciding on market timing, and 13.75% a backward looking approach. We also note that market timing differs considerably over fund styles.
Description
Keywords
Mutual funds, Market timing, Heterogeneous agents models
Source
Quantitative Finance, Vol. 13 (10), pp. 1613-1620.
Publisher's version
Rights statement
Copyright © 2013 Taylor & Francis. Authors retain the right to place his/her pre-publication version of the work on a personal website or institutional repository as an electronic file for personal or professional use, but not for commercial sale or for any systematic external distribution by a third. This is an electronic version of an article published in (see Citation). Quantitative Finance is available online at: www.tandfonline.com with the open URL of your article (see Publisher’s Version)