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Test for Market Timing Using Daily Fund Returns

Using daily mutual fund returns to estimate market timing, some econometric issues, including heteroscedasticity, correlated errors, and heavy tails, make the traditional least-squares estimate in Treynor–Mazuy and Henriksson–Merton models biased and severely distort the t-test size. Using ARMA-GARCH models, weighted least-squares estimate to ensure a normal limit, and random weighted bootstrap method to quantify uncertainty, we find more funds with positive timing ability than the Newey–West t-test. Empirical evidence indicates that funds with perverse timing ability have high fund turnovers and funds tradeoff between timing and stock picking skills.

Ketersediaan

Informasi Detail

Judul Seri

JOURNAL OF BUSINESS AND ECONOMIC STATISTICS; Vol.41 No.1 January 2023

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 184-196

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

MUTUAL FUNDS
HEAVY TAILS
MARKET TIMING
ARMA-GARCH MODELS

Info Detail Spesifik

https://doi.org/10.1080/07350015.2021.2006670

Pernyataan Tanggungjawab

Lei Jiang, Weimin Liu, Liang Peng

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