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Tekijä: | Bello, Z. Janjigian, V. |
Otsikko: | A reexamination of the market-timing and security-selection performance of mutual funds |
Lehti: | Financial Analysts' Journal
1997 : SEP/OCT, VOL. 53:5, p. 24-31 |
Asiasana: | SECURITY UNIT TRUSTS MARKETS |
Kieli: | eng |
Tiivistelmä: | An extended and correctly specified version of the Treynor-Mazuy (TM) model is used to examine the market-timing and stock-selection abilities of domestic equity mutual funds. This extended model controled for the inclusion of non-S&P 500 assets in mutual fund portfolios. The authors document positive and significant market-timing abilities for 633 mutual funds during the 1984-94 period. This finding is in sharp contrast to the negative market-timing abilities found when using the original TM model, which does not control for non-S&P 500 assets. |
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