Equity Style Timing (corrected)

1999 ◽  
Vol 55 (1) ◽  
pp. 37-48 ◽  
Author(s):  
Duen-Li Kao ◽  
Robert D. Shumaker
Keyword(s):  
Style Timing

Style Timing with Insiders

2009 ◽  
Author(s):  
Heather S. Knewtson ◽  
Richard W. Sias ◽  
David A. Whidbee
Keyword(s):  
Style Timing

scholarly journals What style-timing skills do mutual fund “stars” possess?

2013 ◽  
Vol 21 ◽  
pp. 156-173 ◽  
Author(s):  
Li-Wen Chen ◽  
Andrew Adams ◽  
Richard Taffler
Keyword(s):  
Mutual Fund ◽  
Style Timing

Do mutual fund managers' possess style liquidity timing abilities?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mahfooz Alam ◽  
Valeed Ahmad Ansari
Keyword(s):  
Mutual Fund ◽  
Factor Model ◽  
Market Timing ◽  
Market Liquidity ◽  
Content Type ◽  
Fund Managers ◽  
Indian Context ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Style Timing

PurposeThis paper investigates the style timing and liquidity style timing vis-à-vis the market, size, value and momentum factors of the actively managed Indian equity mutual funds.Design/methodology/approachWe examine the style timing of the funds using the augmented Carhart four-factor model by incorporating timing measures (Treynor and Mazuy; Henriksson and Merton). Based on this, the study explores the four-factor liquidity and volatility style timing exhibited by fund managers. The sample is from April 2000 to March 2018 and spans the volatile 2008 subprime economic crises. The sample comprised 182 actively managed equity funds from various sizes and was considered to be a well-diversified sample.FindingsThe results of our study provide strong evidence of market liquidity timing in India. No other style timing skills are observed in our analysis. Our results also imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions.Research limitations/implicationsThe findings of our study imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions.Originality/valueThis study, to our knowledge, is the first attempt to investigate the portfolio-based style timing in the Indian context.

Equity style timing

2007 ◽  
Vol 36 (65) ◽  
pp. 15-24 ◽  
Author(s):  
Rand Mutooni ◽  
C Muller
Keyword(s):  
Style Timing

scholarly journals Equity Style Timing Using Support Vector Regressions

2004 ◽  
Author(s):  
Georgi Nalbantov ◽  
Rob Bauer ◽  
Ida Sprinkhuizen-Kuyper
Keyword(s):  
Support Vector ◽  
Style Timing

Unbundling common style exposures, time variance and style timing of hedge fund beta

2010 ◽  
Vol 11 (1) ◽  
pp. 19-30 ◽  
Author(s):  
Rodrigo Dupleich ◽  
Daniel Giamouridis ◽  
Spyros Mesomeris ◽  
Nima Noorizadeh
Keyword(s):  
Hedge Fund ◽  
Time Variance ◽  
Style Timing

scholarly journals Equity style timing using support vector regressions

2006 ◽  
Vol 16 (15) ◽  
pp. 1095-1111 ◽  
Author(s):  
Georgi Nalbantov ◽  
Rob Bauer ◽  
Ida Sprinkhuizen-Kuyper
Keyword(s):  
Support Vector ◽  
Style Timing

Style Timing

2000 ◽  
Vol 26 (3) ◽  
pp. 50-60 ◽  
Author(s):  
Clifford S. Asness ◽  
Jacques A. Friedman ◽  
Robert J. Krail ◽  
John M. Liew
Keyword(s):  
Style Timing
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