Why is timing perverse?
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
comunitat-uji-handle4:
INVESTIGACIONAquest recurs és restringit
http://dx.doi.org/10.1080/1351847X.2014.935870 |
Metadades
Títol
Why is timing perverse?Data de publicació
2015Editor
Taylor & FrancisISSN
1351-847X; 1466-4364Cita bibliogràfica
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.Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.tandfonline.com/doi/abs/10.1080/1351847X.2014.935870Versió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
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. [-]
Publicat a
The European Journal of Finance Volume 21, Issue 15, 2015Drets d'accés
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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