The performance of professional market timers: Daily evidence from executed strategies

Journal of Financial Economics

Volumn 62, Issue 2, 2001, Pages 377-411

  Chance, Don M ^a   Hemler, Michael L ^b  

^a VIRGINIA POLYTECHNIC INSTITUTE AND STATE UNIVERSITY   (United States)

^b UNIVERSITY OF NOTRE DAME   (United States)

Author keywords

Asset allocation; G11; G14; G23; Market timing; Performance evaluation; Portfolio management

Indexed keywords

EID: 0035511288     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(01)00081-2     Document Type: Article

References (37)

1. Admati A., Bhattacharya S., Pfleiderer P., Ross S. On timing and selectivity. The Journal of Finance. 41:1986;715-730.
2. Alexander G., Benson P., Eger C. Timing decisions and the behavior of mutual fund systematic risk. Journal of Financial and Quantitative Analysis. 17:1982;579-602.
3. Bollen N., Busse J.A. On the timing ability of mutual fund managers. The Journal of Finance. 56:2001;1075-1094.
4. Boudoukh J., Richardson M., Whitelaw R. A tale of three schools. insights on autocorrelation of short-horizon stock returns The Review of Financial Studies. 7:1994;539-573.
5. Brocato J., Chandy P. Does market timing really work in the real world? The Journal of Portfolio Management. 20(Winter):1994;39-44.
6. Busse J. Another look at mutual fund tournaments. Journal of Financial and Quantitative Analysis. 36:2001;53-73.
7. Chang E., Lewellen W. Market timing and mutual fund investment performance. The Journal of Business. 57:1984;57-72.
8. Cumby R., Modest D. Testing for market timing ability. a framework for forecast valuation Journal of Financial Economics. 19:1987;169-189.
9. Dybvig P., Ross S. Differential information and performance measurement using a security market line. The Journal of Finance. 40:1985;383-399.
10. Elton E., Gruber M. Differential information and timing ability. Journal of Banking and Finance. 15:1991;117-131.
11. Ferson W., Schadt R. Measuring fund strategy and performance in changing economic conditions. The Journal of Finance. 51:1996;425-462.
12. Ferson W., Warther V. Evaluating fund performance in a dynamic market. Financial Analysts Journal. 52(November/December):1996;20-28.
13. Goetzmann W., Jorion P. Re-emerging markets. Journal of Financial and Quantitative Analysis. 34:1999;1-32.
14. Goetzmann W., Ingersoll J., Ivkovich Z. Monthly measurement of daily timers. Journal of Financial and Quantitative Analysis. 3:2000;257-290.
15. Graham J. Herding among investment newsletters. theory and evidence The Journal of Finance. 54:1999;237-268.
16. Graham, J., Harvey, C., 1994. Market timing ability and volatility implied in investment newsletters' asset allocation recommendations. Unpublished working paper. National Bureau of Economic Research, Cambridge, MA.
17. Graham J., Harvey C. Market timing ability and volatility implied in investment newsletters' asset allocation recommendations. Journal of Financial Economics. 42:1996;397-422.
18. Graham J., Harvey C. Grading the performance of market-timing newsletters. Financial Analysts Journal. 53(November/December):1997;54-66.
19. Grinblatt M., Titman S. Portfolio performance evaluation. old issues and new insights The Review of Financial Studies. 2:1989;393-421.
20. Grinblatt M., Titman S. A study of monthly mutual fund returns and performance evaluation techniques. Journal of Financial and Quantitative Analysis. 29:1994;419-444.
21. Henriksson, R., Lessard, D., 1982. The efficiency of the forward exchange market: a conditional nonparametric test of forecasting ability. Unpublished working paper. University of California, Berkeley.
22. Henriksson R., Merton R. On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. The Journal of Business. 54:1981;513-533.
23. Jaffe J., Mahoney J. The performance of investment newsletters. Journal of Financial Economics. 53:1999;289-307.
24. Kendall, M., Stuart, A., 1979. The Advanced Theory of Statistics. Vol. 2: Inference and Relationship, 4th Edition, Macmillan, New York.
25. Kester G. Market timing with small versus large-firm stocks. potential gains and required predictive ability Financial Analysts Journal. 46(September/October):1990;63-69.
26. Kon S. The market-timing performance of mutual fund managers. The Journal of Business. 56:1983;323-347.
27. Kon S., Jen F. Estimation of time-varying systematic risk and performance for mutual fund portfolios. The Journal of Finance. 33:1978;457-475.
28. Kon S., Jen F. The investment performance of mutual funds. an empirical investigation of timing, selectivity, and market efficiency The Journal of Business. 52:1979;263-290.
29. Lee C., Rahman S. Market timing and mutual fund performance. an empirical investigation The Journal of Business. 63:1990;261-278.
30. Lehmann B., Modest D. Mutual fund performance evaluation. a comparison of benchmarks and benchmark comparison The Journal of Finance. 42:1987;233-265.
31. Merton R. On market timing and investment performance. I. An equilibrium theory of value for market forecasts. The Journal of Business. 54:1981;363-406.
32. Metrick A. Performance evaluation with transactions data. the stock selection of investment newsletters The Journal of Finance. 54:1999;1743-1775.
33. Morrison D. Multivariate Statistical Methods. 1976;McGraw-Hill, New York.
34. Newey W., West K. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica. 55:1987;703-708.
35. Pesaran M., Timmermann A. A generalization of the non-parametric Henriksson-Merton test of market timing. Economics Letters. 44:1994;1-7.
36. Treynor J., Mazuy K. Can mutual funds outguess the market? Harvard Business Review. 44:1966;131-136.
37. Wagner J., Shellans S., Paul R. Market timing works where it matters most...in the real world. The Journal of Portfolio Management. 18(Summer):1992;86-90.