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EVIDENCE OF SHIFTS IN PORTFOLIO ASSET COMPOSITION AS A MARKET TIMING TOOL
Author(s) -
Cheney John M.,
Veit E. Theodore
Publication year - 1983
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1983.tb00135.x
Subject(s) - portfolio , asset (computer security) , market timing , econometrics , composition (language) , market portfolio , beta (programming language) , economics , computer science , financial economics , linguistics , philosophy , computer security , programming language
A bstract Previous research has investigated portfolio timing success by analyzing possible shifts in the beta of professionally managed portfolios. The methodology used by these studies usually involves calculating the betas of portfolios under varing market conditions using ex post holding period yields. Since a portfolio's beta can shift for reasons other than timing efforts, the results and interpretation of this type of analysis are limited. This paper takes a more direct approach to the analysis of timing by analyzing shifts in the asset composition of professionally managed portfolios. The asset composition is first analyzed to determine if portfolio managers are attempting to adjust risk exposure. Any shifts that are identified are compared to the market conditions that existed subsequent to the shift to determine if the shift was appropriate in terms of correct timing.