The market timing ability of UK mutual funds

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dc.contributor.author Cuthbertson, Keith
dc.contributor.author Nitzsche, Dirk
dc.contributor.author O'Sullivan, Niall
dc.date.accessioned 2013-11-29T11:54:02Z
dc.date.available 2013-11-29T11:54:02Z
dc.date.issued 2010-01
dc.identifier.citation CUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2010. The Market Timing Ability of UK Mutual Funds. Journal of Business Finance & Accounting, 37, 270-289. doi: 10.1111/j.1468-5957.2009.02157.x en
dc.identifier.volume 37 en
dc.identifier.issued 1-2 en
dc.identifier.startpage 270 en
dc.identifier.endpage 289 en
dc.identifier.issn 1468-5957
dc.identifier.uri http://hdl.handle.net/10468/1270
dc.identifier.doi 10.1111/j.1468-5957.2009.02157.x
dc.description.abstract We apply a recent nonparametric methodology to test the market timing skills of UK equity and balanced mutual funds. The methodology has a number of advantages over the widely used regression based tests of Treynor-Mazuy (1966) and Henriksson-Merton (1981). We find a relatively small number of funds (around 1%) demonstrate positive market timing ability at a 5% significance level while around 19% of funds exhibit negative timing and on average funds miss-time the market. However, controlling for publicly available information we find very little evidence of market timing ability based on private timing signals. In terms of investment styles, there are a small number of successful positive market timers amongst Equity Income and ‘All Company’ funds but not among either Small Stock funds or Balanced funds, although a few small stock funds are found to time a small stock index rather than a broad market index. en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Blackwell Publishing Ltd. en
dc.relation.uri http://onlinelibrary.wiley.com/doi/10.1111/j.1468-5957.2009.02157.x/abstract
dc.rights © 2009 The Authors Journal compilation © 2009 Blackwell Publishing Ltd. This is the pre-peer reviewed version of the following article:CUTHBERTSON, K., NITZSCHE, D. & O'SULLIVAN, N. 2010. The Market Timing Ability of UK Mutual Funds. Journal of Business Finance & Accounting, 37, 270-289, which has been published in final form at http://dx.doi.org/10.1111/j.1468-5957.2009.02157.x en
dc.subject Mutual funds performance en
dc.subject Market timing en
dc.title The market timing ability of UK mutual funds en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: niall.osullivan@ucc.ie en
dc.internal.availability Full text available en
dc.date.updated 2013-05-28T15:09:43Z
dc.description.version Submitted Version en
dc.internal.rssid 19164040
dc.description.status Peer reviewed en
dc.identifier.journaltitle Journal of Business Finance and Accounting en
dc.internal.copyrightchecked Yes The version I am uploading is the pre-refereeing version. According to RoMEO this can be uploaded. A subsequent version was accepted by the above journal. en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress niall.osullivan@ucc.ie en


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