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| Tekijä: | Jiang, G.J. Yao, T. Yu, T. |
| Otsikko: | Do mutual funds time the market? Evidence from portfolio holdings |
| Lehti: | Journal of Financial Economics
2007 : DEC, VOL. 86:3, p. 724-758 |
| Asiasana: | financial markets portfolio investment equity capital funds USA |
| Vapaa asiasana: | timing |
| Kieli: | eng |
| Tiivistelmä: | This paper proposes and implements new measures of market timing (here as: tmg.) based on mutual fund holdings. This study's holdings-based measures do not suffer from the artificial tmg. bias. It is found that, on average, actively managed U.S. domestic equity funds have positive tmg. ability. Market tmg. funds use non-public information to predict market returns, tend to have high industry concentration, large fund size, a tilt toward small-cap stocks, being active in industry rotation. |
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