Managers’ Stock Selection and Market Timing Ability: Application of unconditional Models in Indian Mutual Fund Industry

2017 ◽  
Vol 13 (3) ◽  
pp. 507
Author(s):  
Chetna Vashisht ◽  
Mohit Gupta ◽  
Navdeep Aggarwal
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Timing Ability ◽  
Fund Industry ◽  
Mutual Fund Industry

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

Coskewness timing ability in the mutual fund industry

2020 ◽  
Vol 53 ◽  
pp. 101224
Author(s):  
Woraphon Wattanatorn ◽  
Chaiyuth Padungsaksawasdi
Keyword(s):  
Mutual Fund ◽  
Timing Ability ◽  
Fund Industry ◽  
Mutual Fund Industry

scholarly journals Mutual Fund Performance: Evidence from India

2019 ◽  
Vol 8 (4) ◽  
pp. 11714-11723
Keyword(s):  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Investment Strategy ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Stock Selection ◽  
Multifactor Models ◽  
Fund Managers ◽  
Timing Ability

We empirically examine fund managers’ stock selection and market timing ability using various risk-adjusted measures such as CAPM and multifactor models of FamaFrench (1993) and Carhart (1997) to gauge mutual fund performance in India. The sample consists of 183 actively managed equity-oriented funds and covers the period from April 2000 to March 2018. The study, on the whole, documents some evidence of positive and significant stock selection ability but fails to yield any notable evidence of market timing ability of fund managers. Our results are robust according to various riskadjusted performance evaluation techniques, sub-period analysis, excluding the crisis period and at the individual fund level. The findings of our study are in line with the previous studies that report limited selectivity skill and market timing ability among fund managers. The main implication of the study is that active portfolio management may not be very rewarding in comparison to a passive investment strategy.

ANALISIS DATA PANEL PADA KINERJA REKSADANA SAHAM

Jurnal Varian ◽  
2018 ◽  
Vol 1 (2) ◽  
pp. 59-69
Author(s):  
I Gede Agus Astapa ◽  
Gede Suwardika ◽  
I Ketut Putu Suniantara
Keyword(s):  
Mutual Funds ◽  
Random Effects ◽  
Mutual Fund ◽  
Fixed Effects ◽  
Risk Model ◽  
Panel Data Analysis ◽  
Market Timing ◽  
Stock Selection ◽  
Timing Ability ◽  
Level Of Risk

Mutual funds is another investment opportunity with a more measurable risk as well as return high enough with enough capital is affordable for the community. Mutual fund performance can be measured by several indicators.. Modeling the performance of mutual funds modeled by regression of the data panel. The regression model estimation data panel will do with the three approaches, namely the approach of common effect, fixed effects and random effects. This research purpose to know the performance of mutual funds from stock selection skill variable influences, market timing ability and level of risk with the use of panel data analysis. The results shows that the Fund's performance is affected by the stock selection skill, market timing ability, and the level of risk. Model the right approach to model the performance of mutual funds by using a random effects model.

scholarly journals Conditional market timing in the mutual fund industry

2017 ◽  
Vol 42 ◽  
pp. 1355-1366 ◽  
Author(s):  
Vanessa S. Tchamyou ◽  
Simplice A. Asongu
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Fund Industry ◽  
Mutual Fund Industry

scholarly journals PENGARUH STOCK SELESCTION SKIIL, MARKET TIMING ABILITY, TURNOVER RATIO DAN CASH FLOW TERHADAP KINERJA REKSA DANA SYARIAH

2019 ◽  
Vol 1 (01) ◽  
pp. 45-55
Author(s):  
Mega Mustika Sari ◽  
Sri Mulyati ◽  
Estu Widarwati
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Coefficient Of Determination ◽  
Research Report ◽  
Stock Selection ◽  
Turnover Ratio ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Investment Manager

Mutual funds syariah are other investment opportunities with measurable risk and return is high enough with enough capital affordable to the community. Mutual funds syariah have an Investment Manager with the ability and knowledge of the market it is or will happen. Therefore, mutual funds syariah selected by investors because it is cheap, easy and "managed by the experts". This research analysted do stock selection skill, market timing ability, Turnover ratio and Cashflow can influence the performance of equity mutual funds syariah in Indonesia. The data used in this research are data on financial statements , Net Asset Value (NAV), SBI, IHSG, yearly data and prospectus of 10 equity mutual fund syariah that were sampled during this research report from 2011-2014. As a research methodology, we used F test and t test to examine research’s hypothesis, also used assumption classic test there are normality test, autocorrelation test, heteroscedasticity test and multicolinearity test. These results can be viewed on multiple regression analysis and the coefficient of determination, the R value of 0.513 means the relation between the stock selection skill, market timing ability, Turnover ratio and Cashflow to profitability by 51.3%, meaning that the relationship between variables was most closely. Adjusted R Square value of 0.545 which means 54,5% achievement of profitability can be explained by the stock selection skill, market timing ability, Turnover ratio and Cashflow. The remaining 45,5% can be explained by other factors not examined in this research..

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