On timing ability in Australian managed funds
Author(s)
In, Francis H.
Kim, Sangbae
Ji, Philip Inyeob
Griffith University Author(s)
Year published
2014
Metadata
Show full item recordAbstract
This paper investigates the timing abilities of Australian managed fund managers. To examine timing abilities, the cross-sectional bootstrap approach is adopted to determine whether timing ability is due to skill or luck. Based on three alternative timing measures, we find that top-ranked Australian fund managers have genuine timing abilities. In addition, the poor timing ability with bottom-ranked funds is not likely to be due to luck either, implying that the market exposure of some Australian managed funds is mistakenly adjusted when the stock market improves.This paper investigates the timing abilities of Australian managed fund managers. To examine timing abilities, the cross-sectional bootstrap approach is adopted to determine whether timing ability is due to skill or luck. Based on three alternative timing measures, we find that top-ranked Australian fund managers have genuine timing abilities. In addition, the poor timing ability with bottom-ranked funds is not likely to be due to luck either, implying that the market exposure of some Australian managed funds is mistakenly adjusted when the stock market improves.
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Journal Title
Australian Journal of Management
Volume
39
Issue
1
Subject
Banking, Finance and Investment not elsewhere classified
Commerce, Management, Tourism and Services