Short term persistence in mutual fund market timing and stock selection abilities

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dc.contributor.authorBenos, Evangelos
dc.contributor.authorJochec, Marek
dc.date.accessioned2016-04-20T09:46:05Z
dc.date.available2016-04-20T09:46:05Z
dc.date.issued2009-05-01
dc.description.abstractUsing daily return data from 448 actively managed mutual funds over a recent 9- year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns resulting from stock selection and timing abilities and we separately test for persistence in each ability. We ¯nd persistence in the ability to time the market only among well performing funds and in the ability to select stocks only among the very best and worst performers. The existing literature patterns appear only when funds are ranked by their overall performance, which includes stock selection, market timing and fees. With respect to overall performance, there is persistence among most poorly performing and only the top well performing funds. Furthermore, the pro¯tability of a winner-picking strategy depends on the rebalancing frequency and potentially the size of the investment. Small investors cannot pro¯t, whereas large investors can take advantage of the class A share fee structure and realize positive abnormal returns by annually rebalancing their portfolios.ru_RU
dc.identifier.urihttp://nur.nu.edu.kz/handle/123456789/1421
dc.language.isoenru_RU
dc.publisherSocial Science Research Network (SSRN) http://www.ssrn.com/en/ru_RU
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/us/*
dc.subjectmutual fund performanceru_RU
dc.subjectmarket timingru_RU
dc.subjectstock selectionru_RU
dc.titleShort term persistence in mutual fund market timing and stock selection abilitiesru_RU
dc.typeArticleru_RU

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