search query: @author Volkman, D. / total: 2
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| Author: | Volkman, D. |
| Title: | Market volatility and perverse timing performance of mutual fund managers |
| Journal: | Journal of Financial Research
1999 : WINTER, VOL. 22:4, p. 449-470 |
| Index terms: | FINANCE VOLATILITY UNIT TRUSTS |
| Language: | eng |
| Abstract: | Prompted by the recent volatility in equity markets, the author investigates performance evaluation methods and the mutual fund managers' ability to select undervalued investments and time major market movements during the high-market-volatility period in the 1980s. Specifically, the author examines mutual fund managers' stock-selection and market-timing abilities by employing a five-factor risk-adjusted model based on Carhart's four-factor loading model and Bhattacharya and Pfleiderer's quadratic timing model adjusted for perverse timing behavior. |
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