Busse, Jeffrey A.
[Verfasser:in]
;
Ding, Jing
[Sonstige Person, Familie und Körperschaft];
Jiang, Lei
[Sonstige Person, Familie und Körperschaft];
Wu, Ke
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 18, 2019 erstellt
Beschreibung:
We examine mutual fund market timing based on beta asymmetry from dynamic conditional correlation (DCC) model. We find significant timing using daily returns rather than monthly returns. The sensitivity of our findings to data frequency is consistent with funds altering their market exposure at a greater frequency than can be precisely captured by monthly returns. Timing evidence is stronger during down markets, when the gains associated with market timing are especially meaningful. Successful market timers earn significant abnormal returns and attract greater investor cash flows than non-timers. Holding diversified portfolios and short selling help facilitate market timing