Market timing ability and mutual funds: a heterogeneous agent approach
| aut.researcher | Frijns, Bart Pieter Marie | |
| dc.contributor.author | Frijns, B | |
| dc.contributor.author | Gilbert, A | |
| dc.contributor.author | Zwinkels, RCJ | |
| dc.date.accessioned | 2013-10-25T04:09:06Z | |
| dc.date.available | 2013-10-25T04:09:06Z | |
| dc.date.copyright | 2013 | |
| dc.date.issued | 2013 | |
| dc.description.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. | |
| dc.identifier.citation | Quantitative Finance, Vol. 13 (10), pp. 1613-1620. | |
| dc.identifier.doi | 10.1080/14697688.2013.791749 | |
| dc.identifier.issn | 1469-7688 | |
| dc.identifier.issn | 1469-7696 | |
| dc.identifier.uri | https://hdl.handle.net/10292/5777 | |
| dc.publisher | Taylor & Francis | |
| dc.rights | 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) | |
| dc.rights.accessrights | OpenAccess | |
| dc.subject | Mutual funds | |
| dc.subject | Market timing | |
| dc.subject | Heterogeneous agents models | |
| dc.title | Market timing ability and mutual funds: a heterogeneous agent approach | |
| dc.type | Journal Article | |
| pubs.elements-id | 151499 | |
| pubs.organisational-data | /AUT | |
| pubs.organisational-data | /AUT/Business & Law | |
| pubs.organisational-data | /AUT/Business & Law/Finance | |
| pubs.organisational-data | /AUT/Business & Law/Finance/Finance PBRF 2012 |