haku: @indexterm ALLOCATION / yhteensä: 247
viite: 64 / 247
| Tekijä: | Chance, D.M. Hemler, M.L. |
| Otsikko: | The performance of professional market timers: daily evidence from executed strategies |
| Lehti: | Journal of Financial Economics
2001 : NOV, VOL. 62:2, p. 377-411 |
| Asiasana: | ALLOCATION PERFORMANCE APPRAISAL PORTFOLIO MANAGEMENT |
| Vapaa asiasana: | MARKET TIMING |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the performance of 30 professional market timers during 1986-1994. Prior studies have analyzed implicit recommendations from mutual fund returns or explicit recommendations from newsletters. The authors analyze explicit recommendations executed in customer accounts. Using four tests, three benchmark portfolios, and daily data, they find significant unconditional and conditional ability that is robust with respect to transaction costs and survivorship bias. |
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