Published in:Finance Down Under 2016 Building on the Best from the Cellars of Finance
Extent:
1 Online-Ressource (89 p)
Language:
English
DOI:
10.2139/ssrn.2667409
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 25, 2019 erstellt
Description:
We measure the ability of professional investment managers in timing cashflow vs. discount-rate news, the two components of market returns. We find that the average U.S. equity mutual fund exhibits cashflow-timing skills of 2.12/year, but discount-rate timing of -0.84/year; further, cashflow-timing skills (but not discount-rate timing skills) strongly persist over future quarters. Our evidence shows that misspecification of market-timing abilities accounts for the failure of prior research to locate talented timing funds. Importantly, we find that value funds outperform growth funds in timing cashflow news, which provides new evidence on the unique skills of value-oriented mutual funds