The market timing ability of UK mutual funds

Show simple item record Cuthbertson, Keith Nitzsche, Dirk O'Sullivan, Niall 2013-11-29T11:54:02Z 2013-11-29T11:54:02Z 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.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.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 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: en
dc.internal.availability Full text available en 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 en

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