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

Detalhes bibliográficos
Autor(a) principal: Salen, Tomás Coutinho Grosso de Oliveira
Data de Publicação: 2016
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/13814
Resumo: Mutual fund managers can enhance their returns by selecting assets with superior returns or by advantageously timing their portfolio allocation strategy to the stock market, or both. In the present study we examine the timing ability of mutual fund managers to denote the practice of these strategies as a way to achieve superior performance. Of the 193 European equity funds that followed active management strategies between January 2000 and December 2012, the results do not evidence that fund managers have denoted abilities to positively anticipate market movements (market timing). Nevertheless, the selectivity component of returns presents slightly positive results, despite the generally poor overall performance
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spelling Market timing and selectivity: an empirical investigation of european mutual fund performanceFinançasFundos de investimentoEstratégia de InvestimentoMutual fundsMutual fundsPerformance evaluationSelectivityMarket timingAvaliação de performanceSeletividadeMarket timingMutual fund managers can enhance their returns by selecting assets with superior returns or by advantageously timing their portfolio allocation strategy to the stock market, or both. In the present study we examine the timing ability of mutual fund managers to denote the practice of these strategies as a way to achieve superior performance. Of the 193 European equity funds that followed active management strategies between January 2000 and December 2012, the results do not evidence that fund managers have denoted abilities to positively anticipate market movements (market timing). Nevertheless, the selectivity component of returns presents slightly positive results, despite the generally poor overall performanceOs gestores de fundos de investimento podem aumentar as suas rendibilidades através da seleção dos melhores ativos ou da antecipação vantajosa do momento em que canalizam os fluxos de investimento para o mercado com risco, ou ambos. No presente estudo investigamos a capacidade que os gestores denotaram na utilização destas estratégias como forma de obterem uma performance superior. Dos 193 fundos europeus de ações que seguiram estratégias de gestão ativa entre Janeiro de 2000 e Dezembro de 2012, não obtivemos evidência de que os gestores destes fundos denotassem positivas capacidades de antecipação dos movimentos do mercado (market timing). Já na componente seletividade, os resultados são ligeiramente mais favoráveis, não obstante a performance total evidenciada ser globalmente reduzida.2017-07-03T11:26:29Z2020-07-03T00:00:00Z2016-01-01T00:00:00Z20162016-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/13814TID:201554780engSalen, Tomás Coutinho Grosso de Oliveirainfo: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:RCAAP2023-11-09T17:57:03Zoai:repositorio.iscte-iul.pt:10071/13814Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:29:23.763491Repositório 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
Salen, Tomás Coutinho Grosso de Oliveira
Finanças
Fundos de investimento
Estratégia de Investimento
Mutual funds
Mutual funds
Performance evaluation
Selectivity
Market timing
Avaliação de performance
Seletividade
Market timing
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 Salen, Tomás Coutinho Grosso de Oliveira
author_facet Salen, Tomás Coutinho Grosso de Oliveira
author_role author
dc.contributor.author.fl_str_mv Salen, Tomás Coutinho Grosso de Oliveira
dc.subject.por.fl_str_mv Finanças
Fundos de investimento
Estratégia de Investimento
Mutual funds
Mutual funds
Performance evaluation
Selectivity
Market timing
Avaliação de performance
Seletividade
Market timing
topic Finanças
Fundos de investimento
Estratégia de Investimento
Mutual funds
Mutual funds
Performance evaluation
Selectivity
Market timing
Avaliação de performance
Seletividade
Market timing
description Mutual fund managers can enhance their returns by selecting assets with superior returns or by advantageously timing their portfolio allocation strategy to the stock market, or both. In the present study we examine the timing ability of mutual fund managers to denote the practice of these strategies as a way to achieve superior performance. Of the 193 European equity funds that followed active management strategies between January 2000 and December 2012, the results do not evidence that fund managers have denoted abilities to positively anticipate market movements (market timing). Nevertheless, the selectivity component of returns presents slightly positive results, despite the generally poor overall performance
publishDate 2016
dc.date.none.fl_str_mv 2016-01-01T00:00:00Z
2016
2016-10
2017-07-03T11:26:29Z
2020-07-03T00:00:00Z
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/10071/13814
TID:201554780
url http://hdl.handle.net/10071/13814
identifier_str_mv TID:201554780
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
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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
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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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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