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Market and Style Timing: German Equity and Bond Funds
Author(s) -
Cuthbertson Keith,
Hayley Simon,
Nitzsche Dirk
Publication year - 2016
Publication title -
european financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.311
H-Index - 64
eISSN - 1468-036X
pISSN - 1354-7798
DOI - 10.1111/eufm.12080
Subject(s) - german , equity (law) , bond market , bond , market timing , economics , monetary economics , parametric statistics , financial economics , style (visual arts) , business , econometrics , finance , political science , mathematics , initial public offering , statistics , archaeology , law , history
We apply parametric and non‐parametric estimates to test market and style timing ability of individual German equity and bond mutual funds using a sample of over 500 equity and 350 bond funds, over the period 1990–2009. For equity funds, both approaches indicate no successful market timers in the 1990–1999 or 2000–2009 periods, but in 2000–2009 the non‐parametric approach gives fewer unsuccessful market timers than the parametric approach. There is evidence of successful style timing using the parametric approach, and unsuccessful style timing, particularly in the 2000–2009 period. There is evidence of positive and negative bond timing in the 2000–2009 period.