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Market Timing And Mutual Fund Portfolio Composition

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  • Michael G. Ferri
  • H. Dennis Oberhelman
  • Rodney L. Roenfeldt

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  • Michael G. Ferri & H. Dennis Oberhelman & Rodney L. Roenfeldt, 1984. "Market Timing And Mutual Fund Portfolio Composition," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 143-150, June.
    • Handle: RePEc:bla:jfnres:v:7:y:1984:i:2:p:143-150
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1984.tb00363.x
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    References listed on IDEAS

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    1. Kon, Stanley J & Jen, Frank C, 1979. "The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency," The Journal of Business, University of Chicago Press, vol. 52(2), pages 263-289, April.
    2. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    3. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
    4. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    5. Miller, Tom W. & Gressis, Nicholas, 1980. "Nonstationarity and Evaluation of Mutual Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(3), pages 639-654, September.
    6. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
    7. Klemkosky, Robert C & Maness, Terry S, 1978. "The Predictability of Real Portfolio Risk Levels," Journal of Finance, American Finance Association, vol. 33(2), pages 631-639, May.
    8. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    9. Fama, Eugene F, 1972. "Components of Investment Performance," Journal of Finance, American Finance Association, vol. 27(3), pages 551-567, June.
    10. Fabozzi, Frank J & Francis, Jack C, 1979. "Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination," Journal of Finance, American Finance Association, vol. 34(5), pages 1243-1250, December.
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    Cited by:

    1. Eakins, Stanley G. & Stansell, Stanley R., 2003. "Can value-based stock selection criteria yield superior risk-adjusted returns: an application of neural networks," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 83-97.
    2. Anandi Sahu & Robert Kleiman & Joseph Callaghan, 1998. "The Timing and Stock Selection Abilities of Bank Funds: Evidence Based on Meta-Analysis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(2), pages 137-152, April.

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