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On timing ability in Australian managed funds

Author

Listed:
  • Francis In

    (Department of Accounting and Finance, Monash University, Australia)

  • Sangbae Kim

    (School of Business Administration, Kyungpook National University, Republic of Korea)

  • Philip I Ji

    (Department of Accounting and Finance, Monash University, Australia)

Abstract

This paper investigates the timing abilities of Australian managed fund managers. To examine timing abilities, the cross-sectional bootstrap approach is adopted to determine whether timing ability is due to skill or luck. Based on three alternative timing measures, we find that top-ranked Australian fund managers have genuine timing abilities. In addition, the poor timing ability with bottom-ranked funds is not likely to be due to luck either, implying that the market exposure of some Australian managed funds is mistakenly adjusted when the stock market improves.

Suggested Citation

  • Francis In & Sangbae Kim & Philip I Ji, 2014. "On timing ability in Australian managed funds," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 93-106, February.
    • Handle: RePEc:sae:ausman:v:39:y:2014:i:1:p:93-106
    DOI: 10.1177/0312896212468455
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    References listed on IDEAS

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    Cited by:

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    5. Kalaugher, Electra & Beukes, Pierre & Bornman, Janet F. & Clark, Anthony & Campbell, David I., 2017. "Modelling farm-level adaptation of temperate, pasture-based dairy farms to climate change," Agricultural Systems, Elsevier, vol. 153(C), pages 53-68.

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    More about this item

    Keywords

    Australian managed fund; bootstrap approach; joint timing; return timing; volatility timing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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