Market timing and selectivity: an empirical investigation of European mutual fund performance

Detalhes bibliográficos
Autor(a) principal: Oliveira, L.
Data de Publicação: 2019
Outros Autores: Salen, T., Curto, J. D., Ferreira, N.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/17411
Resumo: Using the models proposed by (Treynor & Mazuy, 1966; Henriksson & Merton, 1981), the present study examines the selection and timing abilities of mutual fund managers to denote the practice of these strategies as a means to achieve superior performance. For the 163 European equity mutual funds that followed active management strategies between January 2000 and December 2016, there was no evidence that fund managers used market timing abilities to anticipate the market movements. However, the selectivity component of returns presents slightly positive results, despite the poor overall performance.
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spelling Market timing and selectivity: an empirical investigation of European mutual fund performanceMutual fundsPerformance evaluationSelectivityMarket timingEuropean fundsUsing the models proposed by (Treynor & Mazuy, 1966; Henriksson & Merton, 1981), the present study examines the selection and timing abilities of mutual fund managers to denote the practice of these strategies as a means to achieve superior performance. For the 163 European equity mutual funds that followed active management strategies between January 2000 and December 2016, there was no evidence that fund managers used market timing abilities to anticipate the market movements. However, the selectivity component of returns presents slightly positive results, despite the poor overall performance.Canadian Center of Science and Education2019-02-23T16:05:32Z2019-01-01T00:00:00Z20192019-02-23T16:05:02Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/17411eng1916-971X10.5539/ijef.v11n2p1Oliveira, L.Salen, T.Curto, J. D.Ferreira, N.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:37:30Zoai:repositorio.iscte-iul.pt:10071/17411Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:17:06.982416Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Market timing and selectivity: an empirical investigation of European mutual fund performance
title Market timing and selectivity: an empirical investigation of European mutual fund performance
spellingShingle Market timing and selectivity: an empirical investigation of European mutual fund performance
Oliveira, L.
Mutual funds
Performance evaluation
Selectivity
Market timing
European funds
title_short Market timing and selectivity: an empirical investigation of European mutual fund performance
title_full Market timing and selectivity: an empirical investigation of European mutual fund performance
title_fullStr Market timing and selectivity: an empirical investigation of European mutual fund performance
title_full_unstemmed Market timing and selectivity: an empirical investigation of European mutual fund performance
title_sort Market timing and selectivity: an empirical investigation of European mutual fund performance
author Oliveira, L.
author_facet Oliveira, L.
Salen, T.
Curto, J. D.
Ferreira, N.
author_role author
author2 Salen, T.
Curto, J. D.
Ferreira, N.
author2_role author
author
author
dc.contributor.author.fl_str_mv Oliveira, L.
Salen, T.
Curto, J. D.
Ferreira, N.
dc.subject.por.fl_str_mv Mutual funds
Performance evaluation
Selectivity
Market timing
European funds
topic Mutual funds
Performance evaluation
Selectivity
Market timing
European funds
description Using the models proposed by (Treynor & Mazuy, 1966; Henriksson & Merton, 1981), the present study examines the selection and timing abilities of mutual fund managers to denote the practice of these strategies as a means to achieve superior performance. For the 163 European equity mutual funds that followed active management strategies between January 2000 and December 2016, there was no evidence that fund managers used market timing abilities to anticipate the market movements. However, the selectivity component of returns presents slightly positive results, despite the poor overall performance.
publishDate 2019
dc.date.none.fl_str_mv 2019-02-23T16:05:32Z
2019-01-01T00:00:00Z
2019
2019-02-23T16:05:02Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/17411
url http://hdl.handle.net/10071/17411
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1916-971X
10.5539/ijef.v11n2p1
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Canadian Center of Science and Education
publisher.none.fl_str_mv Canadian Center of Science and Education
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
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instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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