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What style-timing skills do mutual fund “stars” possess?
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Chen , L.W., Adams, A. and Taffler, Richard J. (2013) What style-timing skills do mutual fund “stars” possess? Journal of Empirical Finance, Volume 21 . pp. 156-173. doi:10.1016/j.jempfin.2013.01 ISSN 0927-5398.
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Official URL: http://dx.doi.org/10.1016/j.jempfin.2013.01
Abstract
Recent studies suggest that certain growth-oriented fund managers have substantial skill but do not stipulate the particular skills that they possess. We examine in detail the style-timing abilities of growth-oriented equity mutual funds over the period from 1993 to 2006. We find that an important contributor to the persistent abnormal returns is growth timing, i.e., switching stocks along the value/growth continuum, and that this explains at least 45% of the abnormal returns reported. No other style-timing skills are observed. Our results also demonstrate that it is easy to misidentify growth timing as market timing.
| Item Type: | Journal Article | ||||
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Journal of Empirical Finance | ||||
| Publisher: | Elsevier | ||||
| ISSN: | 0927-5398 | ||||
| Official Date: | March 2013 | ||||
| Dates: |
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| Volume: | Volume 21 | ||||
| Page Range: | pp. 156-173 | ||||
| DOI: | 10.1016/j.jempfin.2013.01 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Related URLs: |
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