Improving mutual fund market timing measures: a markov switching approach
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/55 |
Resumo: | Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. Managers, however, use their predictions of the state of nature to deÞne whether to carry low or high beta portfolios instead of the observed ones. Our approach here is to take this into account and model market timing as a switching regime in a way similar to Hamilton s Markov-switching GNP model. We then build a measure of market timing success and apply it to simulated and real world data. |
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Mazali, RogérioEscolas::EPGEFGVBonomo, Marco Antônio Cesar2008-05-13T13:16:08Z2008-05-13T13:16:08Z2001-07-312001-07-31MAZALI, Rogério. Improving mutual fund market timing measures: a markov switching approach. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2001.https://hdl.handle.net/10438/55Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. Managers, however, use their predictions of the state of nature to deÞne whether to carry low or high beta portfolios instead of the observed ones. Our approach here is to take this into account and model market timing as a switching regime in a way similar to Hamilton s Markov-switching GNP model. We then build a measure of market timing success and apply it to simulated and real world data.engImproving mutual fund market timing measures: a markov switching approachinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisEconomiaModelo de precificação de ativosInvestimentos - Modelos matemáticosinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPDFapplication/pdf435505https://repositorio.fgv.br/bitstreams/04745001-2029-44fc-aae2-0074f95b3c99/download014d927923de455f14c28a151a16c5e1MD51TEXT1429.pdf.txt1429.pdf.txtExtracted Texttext/plain189206https://repositorio.fgv.br/bitstreams/93cc426b-f830-4182-89d7-8914cb108bee/download48b4296cd5e1791ce799ff4c829f85edMD52THUMBNAIL1429.pdf.jpg1429.pdf.jpgGenerated Thumbnailimage/jpeg1984https://repositorio.fgv.br/bitstreams/fe6b2eff-586b-4fe4-87a4-19b04a618758/download4c9bc245805b577b97b0b1437bde1c5dMD5310438/552024-05-23 11:20:57.71open.accessoai:repositorio.fgv.br:10438/55https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742024-05-23T11:20:57Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Improving mutual fund market timing measures: a markov switching approach |
title |
Improving mutual fund market timing measures: a markov switching approach |
spellingShingle |
Improving mutual fund market timing measures: a markov switching approach Mazali, Rogério Economia Modelo de precificação de ativos Investimentos - Modelos matemáticos |
title_short |
Improving mutual fund market timing measures: a markov switching approach |
title_full |
Improving mutual fund market timing measures: a markov switching approach |
title_fullStr |
Improving mutual fund market timing measures: a markov switching approach |
title_full_unstemmed |
Improving mutual fund market timing measures: a markov switching approach |
title_sort |
Improving mutual fund market timing measures: a markov switching approach |
author |
Mazali, Rogério |
author_facet |
Mazali, Rogério |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Mazali, Rogério |
dc.contributor.advisor1.fl_str_mv |
Bonomo, Marco Antônio Cesar |
contributor_str_mv |
Bonomo, Marco Antônio Cesar |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Modelo de precificação de ativos Investimentos - Modelos matemáticos |
dc.subject.bibliodata.por.fl_str_mv |
Modelo de precificação de ativos Investimentos - Modelos matemáticos |
description |
Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. Managers, however, use their predictions of the state of nature to deÞne whether to carry low or high beta portfolios instead of the observed ones. Our approach here is to take this into account and model market timing as a switching regime in a way similar to Hamilton s Markov-switching GNP model. We then build a measure of market timing success and apply it to simulated and real world data. |
publishDate |
2001 |
dc.date.submitted.none.fl_str_mv |
2001-07-31 |
dc.date.issued.fl_str_mv |
2001-07-31 |
dc.date.accessioned.fl_str_mv |
2008-05-13T13:16:08Z |
dc.date.available.fl_str_mv |
2008-05-13T13:16:08Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
MAZALI, Rogério. Improving mutual fund market timing measures: a markov switching approach. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2001. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/55 |
identifier_str_mv |
MAZALI, Rogério. Improving mutual fund market timing measures: a markov switching approach. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2001. |
url |
https://hdl.handle.net/10438/55 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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