The market timing ability of UK mutual funds
| 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.date.updated | 2013-05-28T15:09:43Z | |
| 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.description.status | Peer reviewed | en |
| dc.description.version | Submitted Version | en |
| dc.format.mimetype | application/pdf | en |
| 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.doi | 10.1111/j.1468-5957.2009.02157.x | |
| dc.identifier.endpage | 289 | en |
| dc.identifier.issn | 1468-5957 | |
| dc.identifier.issued | 1-2 | en |
| dc.identifier.journaltitle | Journal of Business Finance and Accounting | en |
| dc.identifier.startpage | 270 | en |
| dc.identifier.uri | https://hdl.handle.net/10468/1270 | |
| dc.identifier.volume | 37 | 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 |
