Busse, J., 1999, Volatility timing in mutual funds: Evidence from daily returns, Review of Financial Studies 12, 1009-1041.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....as shown for example by Andersen, Bollerslev, Diebold and Ebens (2001) for U.S. equities. Fifth, and perhaps most importantly, volatility forecasts figure prominently in many practical financial decisions, such as asset al..location (e.g. Fleming, Kirby and Ostdiek, 2001) market timing (e.g. Busse, 1999), and derivative pricing (e.g. Bollerslev and Mikkelsen, 1999) It will be of interest to explore the gains afforded by the simple volatility modeling and forecasting procedures developed here, particularly in high dimensional environments. In this regard, a couple of issues merit particular ....

Busse, J.A. (1999), "Volatility Timing in Mutual Funds: Evidence from Daily Returns," Review of Financial Studies, 12, 1009-1041.

....that volatility in nancial markets is predictable. 1 This is reected in products such as Barra s Short Term Risk Model and J.P. Morgan s RiskMetrics that promise to use volatility modeling to enhance the performance of standard portfolio optimization and risk management techniques. In addition, Busse (1998) nds that many portfolio managers behave like volatility timers, reducing their market exposure during periods of high expected volatility. Despite this anecdotal evidence that volatility timing matters, researchers have yet to establish whether these strategies yield any real economic benets. We ....

Busse, J. 1998. Volatility timing in mutual funds: Evidence from daily returns. Unpublished (Stern School of Business, New York University).

....a distribution for both. In our empirical analysis we will use the DR ratio as an alternative measure of timing performance, and will look for persistence in DR ratios to determine whether timing ability persists. 11 III. Data We study daily returns of 229 mutual funds. The sample, taken from Busse (1999), is constructed as follows. A list of all domestic equity funds with a common stock investment policy and a maximum capital gains, growth, or growth and income investment objective and more than 15 million in total net assets is created from the December 1984 version of Wiesenberger s ....

....activity of the fund manager. The synthetic funds are similar in spirit to those in Daniel, et al. 1997) and Kothari and Warner (2001) who use fund portfolio holdings to match size, book tomarket, and momentum characteristics. Since we do not have portfolio holdings, we use the approach in Busse (1999). For each fund in the sample, we determine the fund s exposure to eight asset classes: the six intersections of the two equally weighted size indices and the three equally weighted book to market indices, the equally weighted momentum index, and the equally weighted contrarian index. A synthetic ....

Busse, J., 1999, Volatility timing in mutual funds: Evidence from daily returns, Review of Financial Studies 12, 1009-1041.

....a distribution for both. In our empirical analysis we will use the DR ratio as an alternative measure of timing performance, and will look for persistence in DR ratios to determine whether timing ability persists. III. Data We study daily returns of 229 mutual funds. The sample, taken from Busse (1999), is constructed as follows. A list of all domestic equity funds with a common stock investment policy and a maximum capital gains, growth, or growth and income investment objective and more than 15 million in total net assets is created from the December 1984 version of Wiesenberger s ....

....that matches fund characteristics but has no timing ability by construction. The difference between an actual fund s timing coefficient and a corresponding synthetic fund s timing coefficient will reflect the true timing activity of the fund manager. The synthetic funds are similar to those in Busse (1999). For each fund in the sample, we determine the fund s exposure to eight asset classes: the six intersections of the two equally weighted size indices and the three equally weighted book to market indices, the equally weighted momentum index, and the equally weighted contrarian index. A synthetic ....

Busse, J., 1999, Volatility timing in mutual funds: Evidence from daily returns, Review of Financial Studies 12, 1009-1041.

....assets in the portfolio. When using daily data, we use Dimson s (1979) correction and include lagged values of the factors as additional independent variables in the regressions to accommodate infrequent trading. II. Data We study daily returns of 230 mutual funds. The sample, taken from Busse (1999), is constructed as follows. A list of all domestic equity funds with a common stock investment policy and a maximum capital gains, growth, or growth and income investment objective and more than 15 million in total net assets is created from the December 1984 version of Wiesenberger s ....

....that the sample is rich enough to capture market timing activity. 8 In an effort to control for possible spurious results, we construct for each fund in the sample a synthetic fund that matches fund characteristics but has no timing ability by construction. The synthetic funds are created as in Busse (1999). For each fund in the sample, we determine the fund s exposure to eight asset classes: the six intersections of the two equally weighted size and the three equally weighted book to market indices, the equally weighted momentum index, and the equally weighted contrarian index. If we express fund ....

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Busse, J., 1999, Volatility timing in mutual funds: Evidence from daily returns, Review of Financial Studies 12, 1009-1041.

....statistical significance in persistence. In addition, we gauge the impact of predictable managerial activity on fund returns to determine whether investors can benefit from a strategy of chasing successful market timers. II. Data We study daily returns of 229 mutual funds. The sample, taken from Busse (1999), is constructed as follows. A list of all domestic equity funds with a common stock investment policy and a maximum capital gains, growth, or growth and income investment objective and more than 15 million in total net assets is created from the December 1984 version of Wiesenberger s ....

....fund that matches fund characteristics but has no timing ability by construction. The difference between an actual fund s timing coefficient and a corresponding synthetic fund s timing coefficient will reflect the true timing activity of the fund manager. The synthetic funds are created as in Busse (1999). For each fund in the sample, we determine the fund s exposure to eight asset classes: the six intersections of the two equally weighted size and the three equally weighted book tomarket indices, the equally weighted momentum index, and the equally weighted contrarian index. A synthetic fund is ....

Busse, J., 1999, Volatility timing in mutual funds: Evidence from daily returns, Review of Financial Studies 12, 1009-1041.

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Busse, J. 1998, " Volatility Timing in mutual funds: evidence from daily returns", N.Y.U. Stern Business School, Mimeo.

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