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dc.contributor.authorFrijns, B
dc.contributor.authorGilbert, A
dc.contributor.authorZwinkels, RCJ
dc.identifier.citationQuantitative Finance, Vol. 13 (10), pp. 1613-1620.
dc.description.abstractThis paper proposes a novel approach to determine whether mutual funds time the market. The proposed approach builds on a heterogeneous agent model, where investors switch between cash and stocks depending on a certain switching rule. This represents a more flexible, intuitive, and parsimonious approach. The traditional market timing models are essentially a special case of our model with contemporaneous switching rule. Applying this model to a sample of 400 US equity mutual funds, we find that 41.5% of the funds in our sample have negative market timing skills and only 3.25% positive skills. 20% of funds apply a forward:looking approach in deciding on market timing, and 13.75% a backward looking approach. We also note that market timing differs considerably over fund styles.
dc.publisherTaylor & Francis
dc.rightsCopyright © 2013 Taylor & Francis. Authors retain the right to place his/her pre-publication version of the work on a personal website or institutional repository as an electronic file for personal or professional use, but not for commercial sale or for any systematic external distribution by a third. This is an electronic version of an article published in (see Citation). Quantitative Finance is available online at: with the open URL of your article (see Publisher’s Version)
dc.subjectMutual funds
dc.subjectMarket timing
dc.subjectHeterogeneous agents models
dc.titleMarket timing ability and mutual funds: a heterogeneous agent approach
dc.typeJournal Article

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