Momentum with Volatility Timing

2019 ◽  
Author(s):  
Yulia Malitskaia
Keyword(s):  
Volatility Timing

scholarly journals Price reaction, volatility timing and funds’ performance during Covid-19

2020 ◽  
Vol 36 ◽  
pp. 101657 ◽  
Author(s):  
Nawazish Mirza ◽  
Bushra Naqvi ◽  
Birjees Rahat ◽  
Syed Kumail Abbas Rizvi
Keyword(s):  
Price Reaction ◽  
Volatility Timing

scholarly journals An Analysis of Mutual Fund Managers’ Timing Abilities - Evidence From Chinese Equity Funds

2020 ◽  
Vol 11 (4) ◽  
pp. 214
Author(s):  
Jun-Hao Li ◽  
Chun-Fan You
Keyword(s):  
Mutual Fund ◽  
Stock Selection ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Timing Ability ◽  
Daily Frequency ◽  
Equity Funds ◽  
Volatility Timing ◽  
Investment Styles ◽  
Timing Models

This paper examines Chinese mutual fund managers’ market, volatility, and liquidity abilities. Using a daily frequency sample of Chinese open-end equity funds from 2015 to 2019, we find evidence that mutual fund managers can time the market. Among the funds with different investment styles, the active funds have better market and liquidity timing ability, whereas the steady funds have better volatility timing ability. In different investment periods, there are more funds with timing ability in the fall period than in the rise period. We find the same results in the market (T-M), volatility, and liquidity timing models. It is especially for the active funds, nearly half of which have liquidity timing ability in the fall period. Among the funds with stock selection ability, the funds with market timing ability can outperform than the funds with other timing ability.

Mutual fund volatility timing and management fees

2009 ◽  
Vol 33 (4) ◽  
pp. 589-599 ◽  
Author(s):  
Erasmo Giambona ◽  
Joseph Golec
Keyword(s):  
Mutual Fund ◽  
Management Fees ◽  
Volatility Timing
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