Measuring the timing ability of mutual fund managers

DOI10.1023/A:1018980918976zbMATH Open0923.90037OpenAlexW195434176MaRDI QIDQ1290198FDOQ1290198

Authors: K. Appert 

Publication date: 10 June 1999

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1018980918976

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zbMATH Keywords

mutual fundtiming abilityTreynor-Mazuy index

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Cited In (4)

• Nonparametric tests for market timing ability using daily mutual fund returns
• Seasonality and idiosyncratic risk in mutual fund performance
• The Performance of Market Timing Measures in a Simulated Environment *
• Fooled by Randomness: Investor Perception of Fund Manager Skill*

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