Why is timing perverse?
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
comunitat-uji-handle4:
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http://dx.doi.org/10.1080/1351847X.2014.935870 |
Metadata
Title
Why is timing perverse?Date
2015Publisher
Taylor & FrancisISSN
1351-847X; 1466-4364Bibliographic citation
MATALLÍN-SÁEZ, Juan Carlos; MORENO, David; RODRÍGUEZ, Rosa. Why is timing perverse?. The European Journal of Finance, 2015, vol. 21, no 15, p. 1334-1356.Type
info:eu-repo/semantics/articlePublisher version
http://www.tandfonline.com/doi/abs/10.1080/1351847X.2014.935870Version
info:eu-repo/semantics/publishedVersionSubject
Abstract
The existence of negative market timing, even for passive portfolios, poses a relevant puzzle when assessing portfolio management. In this paper, we develop a simple theoretical model so as to explain why such perverse ... [+]
The existence of negative market timing, even for passive portfolios, poses a relevant puzzle when assessing portfolio management. In this paper, we develop a simple theoretical model so as to explain why such perverse market timing might occur and why those stocks with the lowest beta in upward markets exhibit pronounced negative timing. Our explanation is based on the existence of higher correlations of stocks in down markets than in up markets. We find that changes in beta, which drives timing, has four components; however, just two of these, mean covariance shift and covariances dispersion map, serve to explain the asymmetric behavior across stocks. We find that a high percentage of the negative market timing ability identified for mutual funds in the literature could be explained by this bias. [-]
Is part of
The European Journal of Finance Volume 21, Issue 15, 2015Rights
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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- COFIN_Articles [213]