Do mutual funds time the market? Evidence from portfolio holdings

• 成果类型: Article
• 署名作者: Jiang, George J.; Yao, Tong; Yu, Tong
• 署名单位: University of Arizona; University of Rhode Island
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.09.006
• 发表日期: 2007
• 页码: 724-758
• 关键词: mutual funds; Market timing; Portfolio holdings

摘要

Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the artificial timing bias. In this paper, we propose and implement new measures of market timing based on mutual fund holdings. Our holdings-based measures do not suffer from the artificial timing bias. We find that, on average, actively managed U.S. domestic equity funds have positive timing ability. Market timing funds use non-public information to predict market returns, tend to have high industry concentration, large fund size, a tilt toward small-cap stocks, and are active in industry rotation. (c) 2007 Elsevier B.V. All rights reserved.