haku: @indexterm Unit trusts / yhteensä: 185
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| Tekijä: | Busse, J. |
| Otsikko: | Volatility timing in mutual funds: evidence from daily returns |
| Lehti: | Review of Financial Studies
1999 : WINTER, VOL. 12:5, p. 1009-1041 |
| Asiasana: | FINANCE UNIT TRUSTS VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | The author uses daily mutual fund returns to shed new light on the question of whether or not mutual fund managers are successful market timers. Previous studies find that funds are unable to time the market return. The author studies the funds' ability to time market volatility. The author shows that volatility timing is an important factor in the returns of mutual funds and has led to higher risk-adjusted returns. The returns of surviving funds are especially sensitive to market volatility; those of nonsurvivors are not. |
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