A global approach to mutual funds market timing ability

Bodson, Laurent; Cavenaile, Laurent; Sougné, Danielle

doi:10.1016/j.jempfin.2012.11.001

Cited by 28 publications

(26 citation statements)

References 14 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For the ease of interpretation, the time series of market liquidity is further demeaned by subtracting its prior 60-month average (L m,t−1 ). This finding is in sharp contradiction with the existing literature (Bodson, Cavenaile and Sougné, 2013;Cao, Simin and Wang, 2013). A positive (negative) timing coefficient indicates that the fund manager overweights (underweights) exposure to the factor f j t as market liquidity increases.…”

Section: A Multifactor Liquidity Timing Modelcontrasting

confidence: 89%

“…Following the existing literature (e.g., Bodson, Cavenaile and Sougné, 2013;Cao, Simin and Wang, 2013), we mainly focus on domestic equity funds and include only U.S. funds with one of the following four investment objectives: (a) aggressive growth, (b) growth, (c) growth and income, and (d) income funds. The data include monthly returns, monthly total net assets (TNA) and fund investment objectives of all U.S. openend funds.…”

Section: Mutual Fundsmentioning

confidence: 99%

“…"Timing" can be broadly defined as a tactical asset allocation strategy that successfully adjusts fund exposure to the market or a certain style of stocks in anticipation of changes in future market conditions. Their analysis has since been extended to mutual fund managers in the works of Cao, Simin and Wang (2013) and Bodson, Cavenaile and Sougné (2013). More recently, researchers have turned their attention to investigate whether fund managers time aggregate stock market liquidity (hereafter simply referred to as market liquidity).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?

Bazgour

Bodson

Sougné

2017

The Financial Review

Self Cite

View full text Add to dashboard Cite

Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four‐factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing.

show abstract

Section: A Multifactor Liquidity Timing Modelcontrasting

confidence: 89%

Section: Mutual Fundsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?

Bazgour

Bodson

Sougné

2017

The Financial Review

Self Cite

View full text Add to dashboard Cite

show abstract

“…In accordance with Bodson et al (2013), book-to-market and market size are entered into the same equation when estimating the beta variable for market timing. …”

Section: Datamentioning

confidence: 99%

“…Consistent with Bodson et al (2013), all factors are retrieved from the website of Robert Stambaugh 4 . Given that liquidity data is in months, whereas the mutual fund data is annual, annual averages are computed with the monthly data.…”

Section: Estimation Of Volatility Beta and Information Asymmetrymentioning

confidence: 99%

Conditional market timing in the mutual fund industry

Tchamyou

Asongu

2017

Research in International Business and Finance

View full text Add to dashboard Cite

This study complements the scarce literature on conditional market timing in the mutual fund industry by assessing determinants of market timing throughout the distribution of market exposure. It builds on the intuition that the degree of responsiveness by fund managers to The findings broadly suggest that blanket responses of market exposures to investigated factors are unlikely to represent feasible strategies for fund managers unless they are contingent on initial levels of market exposure and tailored differently across 'highly exposed'-fund managers and 'lowly exposed'-fund managers. Implications for investors and fund managers are discussed.

show abstract

A Study of Investment Style Timing of Mutual Funds in India

Pavithra¹,

Kayal²

2022

Asia-Pac Financ Markets

View full text Add to dashboard Cite

A global approach to mutual funds market timing ability

Cited by 28 publications

References 14 publications

What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?

What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?

Conditional market timing in the mutual fund industry

A Study of Investment Style Timing of Mutual Funds in India

Contact Info

Product

Resources

About