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Why is timing perverse?
dc.contributor.author | Matallín Sáez, Juan Carlos | |
dc.contributor.author | Moreno, David | |
dc.contributor.author | Rodríguez, Rosa | |
dc.date.accessioned | 2016-06-06T12:05:29Z | |
dc.date.available | 2016-06-06T12:05:29Z | |
dc.date.issued | 2015 | |
dc.identifier.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. | ca_CA |
dc.identifier.issn | 1351-847X | |
dc.identifier.issn | 1466-4364 | |
dc.identifier.uri | http://hdl.handle.net/10234/160372 | |
dc.description.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 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. | ca_CA |
dc.format.extent | 22 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Taylor & Francis | ca_CA |
dc.relation.isPartOf | The European Journal of Finance Volume 21, Issue 15, 2015 | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/CNE/1.0/ | * |
dc.subject | Mutual funds | ca_CA |
dc.subject | Performance measures | ca_CA |
dc.subject | Investment companies | ca_CA |
dc.subject | Market timing | ca_CA |
dc.subject | G11 | ca_CA |
dc.subject | G20 | ca_CA |
dc.subject | G12 | ca_CA |
dc.title | Why is timing perverse? | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | http://dx.doi.org/10.1080/1351847X.2014.935870 | |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | ca_CA |
dc.relation.publisherVersion | http://www.tandfonline.com/doi/abs/10.1080/1351847X.2014.935870 | ca_CA |
dc.type.version | info:eu-repo/semantics/publishedVersion |
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