Why is timing perverse?
Impacto
Scholar |
Otros documentos de la autoría: Matallín Sáez, Juan Carlos; Moreno, David; Rodríguez, Rosa
Metadatos
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http://dx.doi.org/10.1080/1351847X.2014.935870 |
Metadatos
Título
Why is timing perverse?Fecha de publicación
2015Editor
Taylor & FrancisISSN
1351-847X; 1466-4364Cita bibliográfica
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.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.tandfonline.com/doi/abs/10.1080/1351847X.2014.935870Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
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. [-]
Publicado en
The European Journal of Finance Volume 21, Issue 15, 2015Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
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