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On the Timing Ability of Mutual Fund Managers
Author(s) -
Bollen Nicolas P. B.,
Busse Jeffrey A.
Publication year - 2001
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/0022-1082.00356
Subject(s) - spurious relationship , mutual fund , market timing , econometrics , set (abstract data type) , order (exchange) , control (management) , business , actuarial science , economics , finance , statistics , computer science , mathematics , initial public offering , programming language , management
Existing studies of mutual fund market timing analyze monthly returns and find little evidence of timing ability. We show that daily tests are more powerful and that mutual funds exhibit significant timing ability more often in daily tests than in monthly tests. We construct a set of synthetic fund returns in order to control for spurious results. The daily timing coefficients of the majority of funds are significantly different from their synthetic counterparts. These results suggest that mutual funds may possess more timing ability than previously documented.