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Abstract: In this paper, we seek to determine whether the market timing ability of mutual fund managers persists. We estimate parameters of standard timing models over non-overlapping periods and find statistically significant serial correlation in timing coefficients. In addition, the top decile of timers generates an average annual return that exceeds the return of a control group by three percent out of sample. This result suggests that the timing ability of mutual fund managers persists in an... (Update)
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BibTeX entry: (Update)
@misc{ bollen-does,
author = "Nicolas P.B. Bollen and et al.",
title = "Does the Market Timing Ability of Mutual Fund Managers Persist?",
url = "citeseer.ist.psu.edu/bollen01does.html" }
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Documents on the same site (http://www.business.utah.edu/~finnb/research.htm): More
On the Timing Ability of Mutual Fund Managers - Bollen, Busse (2000) (Correct)
Valuing Options in Regime-Switching Models - Nicolas Boll En (Correct)
Are "teenies" Better? - Bollen, Whaley (1998) (Correct)
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