Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity funds

Detalhes bibliográficos
Autor(a) principal: Govan, Chandni
Data de Publicação: 2011
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/4314
Resumo: This study attempts to understand the selectivity and market timing abilities of the Portuguese mutual fund managers. Therefore, the focus of the present investigation will be the evaluation of the performance of 51 Portuguese Equity Funds between January 2001 and December 2010. In order to achieve this, the methodology developed by Merton and Henriksson in 1981 will be used. The Jensen measure (1968) will also be applied in order to compare the results. Additionally, the problem of heteroscedasticity and autocorrelation of the errors will also be addressed, where the following methods will be used: the method of White (1980), the method of Newey-West (1987) and the method of Cochrane-Orcutt (1949). The results of this study shows that there is neither clever selectivity (security selection) nor skillful market timing abilities evidenced by most of the analyzed Equity Fund managers which is consistent with prior studies realized by Romacho (2004) and Afonso (2010). Other finding is regarding the negative correlation between the both abilities which is more evident in the international group of funds.
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spelling Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity fundsEvaluation of the performance of mutual fundsSelectivityMarket timingPortuguese equity fundsMutual fund managersAvaliação do desempenho de fundos de investimentoSelectividadeFundos de acções portuguesesGestores de fundos de investimentoThis study attempts to understand the selectivity and market timing abilities of the Portuguese mutual fund managers. Therefore, the focus of the present investigation will be the evaluation of the performance of 51 Portuguese Equity Funds between January 2001 and December 2010. In order to achieve this, the methodology developed by Merton and Henriksson in 1981 will be used. The Jensen measure (1968) will also be applied in order to compare the results. Additionally, the problem of heteroscedasticity and autocorrelation of the errors will also be addressed, where the following methods will be used: the method of White (1980), the method of Newey-West (1987) and the method of Cochrane-Orcutt (1949). The results of this study shows that there is neither clever selectivity (security selection) nor skillful market timing abilities evidenced by most of the analyzed Equity Fund managers which is consistent with prior studies realized by Romacho (2004) and Afonso (2010). Other finding is regarding the negative correlation between the both abilities which is more evident in the international group of funds.O presente estudo pretende analisar as capacidades de selectividade e de market timing dos gestores de fundos de investimento Portugueses. Neste sentido o foco da investigação incide sobre o desempenho de 51 Fundos de Acções Portugueses durante o período de Janeiro de 2001 a Dezembro de 2010. Para tal foi aplicada a metodologia de Henriksson e Merton (1981). Também foi utilizada a medida de Jensen (1968), como forma de comparar os resultados. Adicionalmente, foram considerados os problemas da heteroscedasticidade e da auto-correlação dos erros, sendo que foram aplicados os seguintes métodos: o método de White (1980), o método de Newey-West (1987) e o método de Cochrane-Orcutt (1949). Os resultados obtidos não evidenciam capacidades significativas de selectividade e de market timing por parte da maior parte dos gestores de fundos de acções analisados. Na verdade estes resultados estão de acordo com conclusões de estudos anteriormente realizados por Romacho (2004) e Afonso (2010). A presente investigação também demonstra a existência de uma correlação negativa entre ambas capacidades, estando esta mais patente nos grupos de fundos internacionais.2013-01-04T12:59:27Z2011-01-01T00:00:00Z20112011-04info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/4314engGovan, Chandniinfo: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:RCAAP2023-11-09T17:42:00Zoai:repositorio.iscte-iul.pt:10071/4314Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:19:35.663677Repositório 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: evaluating both contributions towards the performance of portuguese equity funds
title Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity funds
spellingShingle Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity funds
Govan, Chandni
Evaluation of the performance of mutual funds
Selectivity
Market timing
Portuguese equity funds
Mutual fund managers
Avaliação do desempenho de fundos de investimento
Selectividade
Fundos de acções portugueses
Gestores de fundos de investimento
title_short Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity funds
title_full Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity funds
title_fullStr Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity funds
title_full_unstemmed Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity funds
title_sort Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity funds
author Govan, Chandni
author_facet Govan, Chandni
author_role author
dc.contributor.author.fl_str_mv Govan, Chandni
dc.subject.por.fl_str_mv Evaluation of the performance of mutual funds
Selectivity
Market timing
Portuguese equity funds
Mutual fund managers
Avaliação do desempenho de fundos de investimento
Selectividade
Fundos de acções portugueses
Gestores de fundos de investimento
topic Evaluation of the performance of mutual funds
Selectivity
Market timing
Portuguese equity funds
Mutual fund managers
Avaliação do desempenho de fundos de investimento
Selectividade
Fundos de acções portugueses
Gestores de fundos de investimento
description This study attempts to understand the selectivity and market timing abilities of the Portuguese mutual fund managers. Therefore, the focus of the present investigation will be the evaluation of the performance of 51 Portuguese Equity Funds between January 2001 and December 2010. In order to achieve this, the methodology developed by Merton and Henriksson in 1981 will be used. The Jensen measure (1968) will also be applied in order to compare the results. Additionally, the problem of heteroscedasticity and autocorrelation of the errors will also be addressed, where the following methods will be used: the method of White (1980), the method of Newey-West (1987) and the method of Cochrane-Orcutt (1949). The results of this study shows that there is neither clever selectivity (security selection) nor skillful market timing abilities evidenced by most of the analyzed Equity Fund managers which is consistent with prior studies realized by Romacho (2004) and Afonso (2010). Other finding is regarding the negative correlation between the both abilities which is more evident in the international group of funds.
publishDate 2011
dc.date.none.fl_str_mv 2011-01-01T00:00:00Z
2011
2011-04
2013-01-04T12:59:27Z
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.uri.fl_str_mv http://hdl.handle.net/10071/4314
url http://hdl.handle.net/10071/4314
dc.language.iso.fl_str_mv eng
language eng
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application/octet-stream
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
instname_str 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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