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MARKET TIMING AND MUTUAL FUND PORTFOLIO COMPOSITION
Author(s) -
Ferri Michael G.,
Oberhelman H. Dennis,
Roenfeldt Rodney L.
Publication year - 1984
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1984.tb00363.x
Subject(s) - mutual fund , portfolio , market timing , stock market , business , financial economics , economics , stock (firearms) , index fund , monetary economics , open end fund , finance , institutional investor , corporate governance , horse , engineering , biology , mechanical engineering , paleontology
This study uses a methodology that is independent of beta estimates to provide empirical evidence on the success of market timing by mutual fund managers. A fund's success at market timing is evaluated by determining if the percentage of the portfolio invested in stocks increases prior to an upturn in the general level of stock market prices and declines prior to a downturn in the level of stock prices. No evidence is found that managers possess, as a group, any market timing ability.