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Market Timing around the World

Author

Listed:
  • Javier Vidal-Garcia
  • Marta Vidal
  • Sabri Boubaker

    (Groupe ESC Troyes en Champagne, IRG - Institut de Recherche en Gestion - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

Abstract

This paper challenges existing studies of mutual fund market timing that find little evidence of timing ability. Using a sample of daily returns for 35 countries, we find that more than a third of mutual funds show significantly positive market timing ability across all countries. We show that using daily rather than monthly returns increases the number of significant estimates of timing ability. This indicates that observation frequency is relevant when examining fund performance. We also find evidence for market timing in recessions and document that the effect of the business cycle on market timing is much stronger for extremely successful fund managers. Using a set of synthetic fund returns to control for spurious results, we show that the measured market timing is not a spurious statistical result. These results suggest that market timing is a global phenomenon.

Suggested Citation

  • Javier Vidal-Garcia & Marta Vidal & Sabri Boubaker, 2015. "Market Timing around the World," Post-Print hal-01158091, HAL.
    • Handle: RePEc:hal:journl:hal-01158091
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    Citations

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    Cited by:

    1. Javier Vidal-García & Marta Vidal & Sabri Boubaker & Riadh Manita, 2019. "Idiosyncratic risk and mutual fund performance," Annals of Operations Research, Springer, vol. 281(1), pages 349-372, October.
    2. Hammouda, Amira & Saeed, Asif & Vidal, Marta & Vidal-García, Javier, 2023. "On the short-term persistence of mutual fund performance in Europe," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Vidal-García, Javier & Vidal, Marta & Boubaker, Sabri & Uddin, Gazi Salah, 2016. "The short-term persistence of international mutual fund performance," Economic Modelling, Elsevier, vol. 52(PB), pages 926-938.
    4. El Ammari, Anis & Vidal, Marta & Vidal-García, Javier, 2023. "European market timing," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).

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