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Cokurtosis and the Ability of Mutual Fund Managers

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  • Wattanatorn, Woraphon
  • Padungsaksawasdi, Chaiyuth

Abstract

In the present study we propose a new higher-order co-moment timing ability for fund managers. Top-performing fund managers successfully time higher-order co-moments of their investment portfolios, generating significantly positive abnormal returns. However, worst-performing funds show no abilities. The zero-trading strategy works well with all timing ability models, where the zero-cost trading profit of the cokurtosis timing model generates the 0.091% per month abnormal return. The bootstrap test shows that the higher-order co-moment timing ability is not purely driven from luck. The robustness test ensures the main findings.

Suggested Citation

  • Wattanatorn, Woraphon & Padungsaksawasdi, Chaiyuth, 2021. "Cokurtosis and the Ability of Mutual Fund Managers," Finance Research Letters, Elsevier, vol. 40(C).
    • Handle: RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315919
    DOI: 10.1016/j.frl.2020.101777
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    More about this item

    Keywords

    Co-moment; Higher-order; Timing ability; Mutual fund performance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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