Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/international-mutual-fund-selectivity-and-market-timing-during-up-and-GtSIO4Mp23
References (30)
-
P.H. Dybvig, S.A. Ross (1985)
Performance measurement using differential information and a security market lineJournal of Finance, 40
-
J.G. McDonald (1974)
Objectives and performance of mutual funds, 1960–1969Journal of Financial and Quantitative Analysis, 9
-
E. T. Veit, J.M. Cheney (1982)
Are mutual funds market timersJournal of Portfolio Management, 8
-
Cheol Eun, R. Kolodny, Bruce Resnick (1991)
U.S.–based international mutual funds, 17
-
R.C. Merton (1981)
On market timing and investment performance. i. an equilibrium theory of value for market forecastsJournal of Business, 54
-
M. Jensen (1967)
The Performance of Mutual Funds in the Period 1945-1964Harvard Business School: Negotiation
-
R.D. Henriksson, R.C. Merton (1981)
On the market timing and investment performance: II. statistical procedures for evaluation forecasting skillJournal of Business, 54
-
V. Akgiray (1989)
Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and ForecastsThe Journal of Business, 62
-
J.L. Treynor, K.K. Mazuy (1966)
Can mutual funds outguess the marketHarvard Business Review, 44
-
J.D. Martin, A.J. Keown, J.L. Farrell (1982)
Do fund objectives affect diversification policiesJournal of Portfolio Management, 8
-
Philip Dybvig, S. Ross (1985)
Differential Information and Performance Measurement Using a Security Market LineJournal of Finance, 40
-
Stephen Brown, W. Goetzmann, R. Ibbotson, S. Ross (1992)
Survivorship Bias in Performance StudiesReview of Financial Studies, 5
-
M.C. Jensen (1968)
The performance of mutual funds in the period 1945–1964Journal of Finance, 23
-
W.F. Sharpe (1966)
Mutual fund performanceJournal of Business, 39
-
Richard Ippolito (1989)
Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965–1984Quarterly Journal of Economics, 104
-
Stanley Kon, F. Jen (1978)
Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching RegressionJournal of Finance, 33
-
G. McDonald (2009)
OF FINANCIAL AND QUANTITATIVE ANALYSIS June 1974 OBJECTIVES AND PERFORMANCE OF MUTUAL FUNDS , 1960-1969 -
Roy. Henriksson (1984)
Market Timing and Mutual Fund Performance: An Empirical InvestigationThe Journal of Business, 57
-
(1987)
Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons -
E. Chang, Wilbur Lewellen (1984)
Market Timing and Mutual Fund Investment PerformanceThe Journal of Business, 57
-
William Droms, David Walker (1994)
Investment Performance of International Mutual FundsJournal of Financial Research, 17
-
Robert Klemkosky, T. Maness (1978)
THE PREDICTABILITY OF REAL PORTFOLIO RISK LEVELSJournal of Finance, 33
-
Anat Admati, S. Ross (1985)
Measuring Investment Performance in a Rational Expectations Equilibrium ModelThe Journal of Business, 58
-
V. Errunza, Kedreth Hogan, Omesh Kini, Prasad Padmanabhan (1994)
Conditional Heteroskedasticity and Global Stock Return DistributionsThe Financial Review, 29
-
C.S. Eun, R. Kolodny, B.G. Resnick (1991)
U.S. based international mutual funds: a performance evaluationJournal of Portfolio Management, 17
-
R. Cumby, J. Glen (1990)
Evaluating the Performance of International Mutual FundsJournal of Finance, 45
-
Arthur Darrow, Douglas Kahl (1982)
A Comparison of Moderated Regression Techniques Considering Strength of EffectJournal of Management, 8
-
Mark Grinblatt, S. Titman (1989)
Portfolio Performance Evaluation: Old Issues and New InsightsReview of Financial Studies, 2
-
Ijaz Nabi (1989)
Investment in Segmented Capital MarketsQuarterly Journal of Economics, 104
-
R. Carlson (1970)
Aggregate Performance of Mutual Funds, 1948–1967Journal of Financial and Quantitative Analysis, 5
- Publisher
- Wiley
- Copyright
- Copyright © 1998 Wiley Subscription Services, Inc., A Wiley Company
- ISSN
- 0732-8516
- eISSN
- 1540-6288
- DOI
- 10.1111/j.1540-6288.1998.tb01373.x
- Publisher site
- See Article on Publisher Site
Abstract
This study examines the selectivity and market‐timing ability of international mutual fund managers. Ninety‐seven international mutual funds with a minimum of five‐year return history selected from the Morningstar OnDisc database are analyzed. Our findings suggest that managers of international mutual funds possess good selectivity and overall performance. We also find weak evidence of poor market‐timing ability. Consistent with prior findings from domestic mutual funds, there is a negative correlation between the international fund managers' selection ability and market‐timing ability. Finally, managers for Europea funds show poorer performance than those managing the other three international fund groups.
Journal
The Financial Review – Wiley
Published: May 1, 1998
Keywords: ; ; ; ; ;