Can mutual funds time risk factors?
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | https://ciencia.iscte-iul.pt/public/pub/id/10285 http://hdl.handle.net/10071/9977 |
Resumo: | Using daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and then compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. We interpret this result as evidence that factor timing ability does not persist over long time periods. © 2010 The Board of Trustees of the University of Illinois. |
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7160 |
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Can mutual funds time risk factors?Factor timingMarket timingMutual fundsRisk factorsUsing daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and then compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. We interpret this result as evidence that factor timing ability does not persist over long time periods. © 2010 The Board of Trustees of the University of Illinois.Elsevier2015-10-13T18:48:36Z2010-01-01T00:00:00Z20102015-10-13T18:46:19Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/public/pub/id/10285http://hdl.handle.net/10071/9977eng1062-9769http://dx.doi.org/10.1016/j.qref.2010.05.001Benos, E.Jochec, M.Nyekel, V.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:28:18Zoai:repositorio.iscte-iul.pt:10071/9977Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:12:40.489130Repositório 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 |
Can mutual funds time risk factors? |
title |
Can mutual funds time risk factors? |
spellingShingle |
Can mutual funds time risk factors? Benos, E. Factor timing Market timing Mutual funds Risk factors |
title_short |
Can mutual funds time risk factors? |
title_full |
Can mutual funds time risk factors? |
title_fullStr |
Can mutual funds time risk factors? |
title_full_unstemmed |
Can mutual funds time risk factors? |
title_sort |
Can mutual funds time risk factors? |
author |
Benos, E. |
author_facet |
Benos, E. Jochec, M. Nyekel, V. |
author_role |
author |
author2 |
Jochec, M. Nyekel, V. |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Benos, E. Jochec, M. Nyekel, V. |
dc.subject.por.fl_str_mv |
Factor timing Market timing Mutual funds Risk factors |
topic |
Factor timing Market timing Mutual funds Risk factors |
description |
Using daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and then compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. We interpret this result as evidence that factor timing ability does not persist over long time periods. © 2010 The Board of Trustees of the University of Illinois. |
publishDate |
2010 |
dc.date.none.fl_str_mv |
2010-01-01T00:00:00Z 2010 2015-10-13T18:48:36Z 2015-10-13T18:46:19Z |
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 |
https://ciencia.iscte-iul.pt/public/pub/id/10285 http://hdl.handle.net/10071/9977 |
url |
https://ciencia.iscte-iul.pt/public/pub/id/10285 http://hdl.handle.net/10071/9977 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
1062-9769 http://dx.doi.org/10.1016/j.qref.2010.05.001 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
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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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
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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