메뉴 건너뛰기




Volumn 37, Issue 1-2, 2010, Pages 270-289

The market timing ability of UK mutual funds

Author keywords

Market timing; Mutual funds performance

Indexed keywords


EID: 77349090212     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.1468-5957.2009.02157.x     Document Type: Article
Times cited : (42)

References (47)
  • 1
    • 12344257364 scopus 로고    scopus 로고
    • Pairwise Slope Statistics for Testing Curvature
    • Working Paper, University of Chicago Graduate School of Business
    • Abrevaya J, Jiang W. Pairwise Slope Statistics for Testing Curvature. 2003, Working Paper, University of Chicago Graduate School of Business
    • (2003)
    • Abrevaya, J.1    Jiang, W.2
  • 2
    • 12344324671 scopus 로고    scopus 로고
    • A Nonparametric Approach to Measuring and Testing Curvature
    • (JANUARY)
    • Abrevaya J, Jiang W. A Nonparametric Approach to Measuring and Testing Curvature. Journal of Business and Economic Statistics 2005, Vol. 23(No. 1 (January)):1-19.
    • (2005) Journal of Business and Economic Statistics , vol.23 , Issue.1 , pp. 1-19
    • Abrevaya, J.1    Jiang, W.2
  • 3
    • 0041111263 scopus 로고    scopus 로고
    • Does it All Add Up? Benchmarks and the Compensation of Active Portfolio Managers
    • Admati A, Pfleiderer P. Does it All Add Up? Benchmarks and the Compensation of Active Portfolio Managers. Journal of Business 1997, Vol. 70(No. 3):323-50.
    • (1997) Journal of Business , vol.70 , Issue.3 , pp. 323-350
    • Admati, A.1    Pfleiderer, P.2
  • 5
    • 70350114033 scopus 로고    scopus 로고
    • False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
    • forthcoming
    • Barras L, Scaillet O, Wermers R. False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas. Journal of Finance 2009, forthcoming
    • (2009) Journal of Finance
    • Barras, L.1    Scaillet, O.2    Wermers, R.3
  • 7
    • 12144279436 scopus 로고    scopus 로고
    • Mutual Fund Flows and Performance in Rational Markets
    • Berk J B, Green R C. Mutual Fund Flows and Performance in Rational Markets. Journal of Political Economy 2004, Vol. 112:1269-95
    • (2004) Journal of Political Economy , vol.112 , pp. 1269-1295
    • Berk, J.B.1    Green, R.C.2
  • 8
    • 0039252052 scopus 로고    scopus 로고
    • On the Timing Ability of Mutual Fund Managers
    • Bollen N, Busse J. On the Timing Ability of Mutual Fund Managers. Journal of Finance 2001, Vol. 56(No. 3):1075-94
    • (2001) Journal of Finance , vol.56 , Issue.3 , pp. 1075-1094
    • Bollen, N.1    Busse, J.2
  • 9
    • 25644453074 scopus 로고    scopus 로고
    • Short Term Persistence in Mutual Fund Performance
    • Bollen N, Busse J. Short Term Persistence in Mutual Fund Performance. Review of Financial Studies 2005, Vol. 18(No. 2):569-97
    • (2005) Review of Financial Studies , vol.18 , Issue.2 , pp. 569-597
    • Bollen, N.1    Busse, J.2
  • 10
    • 0037738969 scopus 로고
    • Correcting for Heteroscedasticity in Tests for Market Timing Ability
    • Breen W, Jagannathan R, Ofer A. Correcting for Heteroscedasticity in Tests for Market Timing Ability. Journal of Business 1986, Vol. 59(No. 4):585-98
    • (1986) Journal of Business , vol.59 , Issue.4 , pp. 585-598
    • Breen, W.1    Jagannathan, R.2    Ofer, A.3
  • 11
    • 0040747533 scopus 로고    scopus 로고
    • International Portfolio Investment Flows
    • Brennan M, Cao H. International Portfolio Investment Flows. Journal of Finance 1997, Vol. 52(No. 5):1851-80
    • (1997) Journal of Finance , vol.52 , Issue.5 , pp. 1851-1880
    • Brennan, M.1    Cao, H.2
  • 12
    • 0033408312 scopus 로고    scopus 로고
    • Volatility Timing in Mutual Funds: Evidence From Daily Returns
    • (WINTER)
    • Busse J. Volatility Timing in Mutual Funds: Evidence From Daily Returns. The Review of Financial Studies 1999, Vol. 12(No. 5 (Winter)):1009-41
    • (1999) The Review of Financial Studies , vol.12 , Issue.5 , pp. 1009-1041
    • Busse, J.1
  • 13
    • 33747188900 scopus 로고    scopus 로고
    • An Exploration of the Conditional Timing Performance of UK Unit Trusts
    • Byrne A, Fletcher J, Ntozi P. An Exploration of the Conditional Timing Performance of UK Unit Trusts. Journal of Business Finance & Accounting 2006, Vol. 33(Nos. 5 & 6):816-38
    • (2006) Journal of Business Finance & Accounting , vol.33 , Issue.5-6 , pp. 816-838
    • Byrne, A.1    Fletcher, J.2    Ntozi, P.3
  • 14
    • 0040141569 scopus 로고    scopus 로고
    • Does Option Compensation Increase Managerial Risk Appetite
    • Carpenter J. Does Option Compensation Increase Managerial Risk Appetite. Journal of Finance 2000, Vol. 55(No. 5):2311-31
    • (2000) Journal of Finance , vol.55 , Issue.5 , pp. 2311-2331
    • Carpenter, J.1
  • 15
    • 84986450193 scopus 로고
    • Selectivity, Market Timing and Random Behaviour of Mutual Funds: A Generalized Model
    • SPRING
    • Chen C, Stockum S. Selectivity, Market Timing and Random Behaviour of Mutual Funds: A Generalized Model. Journal of Financial Research 1986, (Spring):87-96
    • (1986) Journal of Financial Research , pp. 87-96
    • Chen, C.1    Stockum, S.2
  • 17
    • 0001551506 scopus 로고    scopus 로고
    • Risk Taking by Mutual Funds as a Response to Incentives
    • Chevalier J, Ellison G. Risk Taking by Mutual Funds as a Response to Incentives. Journal of Political Economy 1997, Vol. 105(No. 6):1167-200
    • (1997) Journal of Political Economy , vol.105 , Issue.6 , pp. 1167-1200
    • Chevalier, J.1    Ellison, G.2
  • 18
    • 0000027842 scopus 로고
    • Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns
    • Clare A, Thomas S, Wickens M. Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns. The Economic Journal 1994, Vol. 104(No. 423):303-15
    • (1994) The Economic Journal , vol.104 , Issue.423 , pp. 303-315
    • Clare, A.1    Thomas, S.2    Wickens, M.3
  • 19
    • 84993901783 scopus 로고
    • The Investment Performance of US Equity Pension Fund Managers: An Empirical Investigation
    • Coggin D, Fabozzi F, Rahman S. The Investment Performance of US Equity Pension Fund Managers: An Empirical Investigation. Journal of Finance 1993, Vol. 48(No. 3):1039-55
    • (1993) Journal of Finance , vol.48 , Issue.3 , pp. 1039-1055
    • Coggin, D.1    Fabozzi, F.2    Rahman, S.3
  • 20
    • 0007884883 scopus 로고    scopus 로고
    • Home Bias at Home: Local Equity Preference in Domestic Portfolios
    • Coval J D, Moskowitz T J. Home Bias at Home: Local Equity Preference in Domestic Portfolios. Journal of Finance 1999, Vol. 54:2045-74.
    • (1999) Journal of Finance , vol.54 , pp. 2045-2074
    • Coval, J.D.1    Moskowitz, T.J.2
  • 22
    • 0000446210 scopus 로고    scopus 로고
    • Investor Flows and the Assessed Performance of Open-End Mutual Funds
    • Edelen R M. Investor Flows and the Assessed Performance of Open-End Mutual Funds. Journal of Financial Economics 1999, Vol. 53(No. 3):439-66.
    • (1999) Journal of Financial Economics , vol.53 , Issue.3 , pp. 439-466
    • Edelen, R.M.1
  • 23
    • 0036698282 scopus 로고    scopus 로고
    • Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
    • Ferson W, Khang K. Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds. Journal of Financial Economics 2002, Vol. 65(No. 2):249-82.
    • (2002) Journal of Financial Economics , vol.65 , Issue.2 , pp. 249-282
    • Ferson, W.1    Khang, K.2
  • 24
    • 0039056070 scopus 로고    scopus 로고
    • Measuring Fund Strategy and Performance in Changing Economic Conditions
    • Ferson W, Schadt R. Measuring Fund Strategy and Performance in Changing Economic Conditions. Journal of Finance 1996, Vol. 51(No. 2):425-62.
    • (1996) Journal of Finance , vol.51 , Issue.2 , pp. 425-462
    • Ferson, W.1    Schadt, R.2
  • 25
    • 0003121535 scopus 로고    scopus 로고
    • Evaluating Fund Performance in a Dynamic Market
    • Ferson W, Warther V. Evaluating Fund Performance in a Dynamic Market. Financial Analysts Journal 1996, Vol. 52(No. 6):20-28.
    • (1996) Financial Analysts Journal , vol.52 , Issue.6 , pp. 20-28
    • Ferson, W.1    Warther, V.2
  • 26
    • 33645743007 scopus 로고    scopus 로고
    • Evaluating Government Bond Performance With Stochastic Discount Factors
    • Ferson W, Kisgen D, Henry T. Evaluating Government Bond Performance With Stochastic Discount Factors. Review of Financial Studies 2006, Vol. 19(No. 2):423-55
    • (2006) Review of Financial Studies , vol.19 , Issue.2 , pp. 423-455
    • Ferson, W.1    Kisgen, D.2    Henry, T.3
  • 27
    • 84984976251 scopus 로고
    • An Examination of the Selectivity and Market Timing Performance of UK Unit Trusts
    • Fletcher J. An Examination of the Selectivity and Market Timing Performance of UK Unit Trusts. Journal of Business & Finance Accounting 1995, Vol. 22(No. 1):143-56.
    • (1995) Journal of Business & Finance Accounting , vol.22 , Issue.1 , pp. 143-156
    • Fletcher, J.1
  • 28
    • 0036888007 scopus 로고    scopus 로고
    • An Exploration of the Persistence of UK Unit Trust Performance
    • Fletcher J, Forbes D. An Exploration of the Persistence of UK Unit Trust Performance. Journal of Empirical Finance 2002, Vol. 9(No. 5):475-93.
    • (2002) Journal of Empirical Finance , vol.9 , Issue.5 , pp. 475-493
    • Fletcher, J.1    Forbes, D.2
  • 30
    • 21144484811 scopus 로고
    • Portfolio Performance Evaluation: Old Issues and New Insights
    • Grinblatt M, Titman S. Portfolio Performance Evaluation: Old Issues and New Insights. Review of Financial Studies 1989, Vol. 2(No. 3):393-421.
    • (1989) Review of Financial Studies , vol.2 , Issue.3 , pp. 393-421
    • Grinblatt, M.1    Titman, S.2
  • 31
    • 0001309573 scopus 로고
    • On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills
    • Henriksson R, Merton R. On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. Journal of Business 1981, Vol. 54(No. 4):513-33.
    • (1981) Journal of Business , vol.54 , Issue.4 , pp. 513-533
    • Henriksson, R.1    Merton, R.2
  • 32
    • 0000849010 scopus 로고
    • Assessing the Market Timing Performance of Managed Portfolios
    • Jagannathan R, Korajczyk R. Assessing the Market Timing Performance of Managed Portfolios. Journal of Business 1986, Vol. 59(No. 2):217-35.
    • (1986) Journal of Business , vol.59 , Issue.2 , pp. 217-235
    • Jagannathan, R.1    Korajczyk, R.2
  • 33
    • 0038182643 scopus 로고    scopus 로고
    • A Nonparametric Test of Market Timing
    • Jiang W. A Nonparametric Test of Market Timing. Journal of Empirical Finance 2003, Vol. 10(No. 4):399-425.
    • (2003) Journal of Empirical Finance , vol.10 , Issue.4 , pp. 399-425
    • Jiang, W.1
  • 34
    • 33746341149 scopus 로고    scopus 로고
    • Mutual Fund Performance Persistence and Competition: A Cross-Sector Analysis
    • (SEPTEMBER)
    • Keswani A, Stolin D. Mutual Fund Performance Persistence and Competition: A Cross-Sector Analysis. Journal of Financial Research 2005, Vol. 29(No. 3 (September)):349-66.
    • (2005) Journal of Financial Research , vol.29 , Issue.3 , pp. 349-366
    • Keswani, A.1    Stolin, D.2
  • 35
    • 0041028786 scopus 로고    scopus 로고
    • Evaluating Mutual Fund Performance
    • Kothari S, Warner J. Evaluating Mutual Fund Performance. Journal of Finance 2001, Vol. 56(No. 5):1985-2010.
    • (2001) Journal of Finance , vol.56 , Issue.5 , pp. 1985-2010
    • Kothari, S.1    Warner, J.2
  • 36
    • 0141766930 scopus 로고    scopus 로고
    • UK Investment Trusts: Performance, Timing and Selectivity
    • Leger L. UK Investment Trusts: Performance, Timing and Selectivity. Applied Economics Letters 1997, Vol. 4(No. 2):207-10.
    • (1997) Applied Economics Letters , vol.4 , Issue.2 , pp. 207-210
    • Leger, L.1
  • 37
    • 84892718477 scopus 로고    scopus 로고
    • Estimating the Dynamics of Mutual Fund Alphas and Betas
    • (JANUARY)
    • Mamaysky H, Spiegel M, Zhang H. Estimating the Dynamics of Mutual Fund Alphas and Betas. Review of Financial Studies 2008, Vol. 21(No. 1 (January)):233-64.
    • (2008) Review of Financial Studies , vol.21 , Issue.1 , pp. 233-264
    • Mamaysky, H.1    Spiegel, M.2    Zhang, H.3
  • 38
    • 33845404196 scopus 로고    scopus 로고
    • Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation
    • Matallin-Saez J. Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation. Journal of Business Finance & Accounting 2006, Vol. 33(Nos. 9 &10):1484-507.
    • (2006) Journal of Business Finance & Accounting , vol.33 , Issue.9-10 , pp. 1484-1507
    • Matallin-Saez, J.1
  • 39
    • 0000706085 scopus 로고
    • A Simple Positive Semi-Definite Heteroscedasticity and Autocorrelation Consistent Covariance Matrix
    • Newey W, West K. A Simple Positive Semi-Definite Heteroscedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 1987, Vol. 55:703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 40
    • 77349108883 scopus 로고    scopus 로고
    • Monitoring the Future Social Implication of Today's Pension Policies
    • OECD, Unpublished, OECD, Paris
    • Monitoring the Future Social Implication of Today's Pension Policies. 2003, OECD, Unpublished, OECD, Paris
    • (2003)
  • 41
    • 34547880382 scopus 로고    scopus 로고
    • The Performance of Local Versus Foreign Mutual Fund Managers
    • Otten R, Bams D. The Performance of Local Versus Foreign Mutual Fund Managers. European Financial Management 2007, Vol. 13(No. 4):702-20.
    • (2007) European Financial Management , vol.13 , Issue.4 , pp. 702-720
    • Otten, R.1    Bams, D.2
  • 44
    • 0001739404 scopus 로고
    • Can Mutual Funds Outguess the Market
    • Treynor J, Mazuy K. Can Mutual Funds Outguess the Market. Harvard Business Review 1966, Vol. 44(No. 4):131-36.
    • (1966) Harvard Business Review , vol.44 , Issue.4 , pp. 131-136
    • Treynor, J.1    Mazuy, K.2
  • 45
    • 15844408591 scopus 로고    scopus 로고
    • Pensions: Challenges and Choices: The First Report of the Pensions Commission
    • The Pensions Commission, The Stationary Office, London
    • Turner A. Pensions: Challenges and Choices: The First Report of the Pensions Commission. 2004, The Pensions Commission, The Stationary Office, London
    • (2004)
    • Turner, A.1
  • 46
    • 0038185576 scopus 로고    scopus 로고
    • Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs and Expenses
    • Wermers R. Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs and Expenses. Journal of Finance 2000, Vol. 55(No. 4):1655-95.
    • (2000) Journal of Finance , vol.55 , Issue.4 , pp. 1655-1695
    • Wermers, R.1
  • 47
    • 0000095552 scopus 로고
    • A Heteroscedasticity-Consistent Covariance Estimator and a Direct Test for Heteroscedasticity
    • White H. A Heteroscedasticity-Consistent Covariance Estimator and a Direct Test for Heteroscedasticity. Econometrica 1980, Vol. 48:817-38.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.