Detecting mutual fund timing ability using the threshold model

Ping Huang Chou, Huimin Chung*, Erh Yin Sun

*Corresponding author for this work

研究成果: Article同行評審

2 引文 斯高帕斯(Scopus)

摘要

This paper proposes a new method based on threshold regression to test mutual fund market-timing abilities. The traditional Henriksson and Merton model is shown to represent only a special case within the proposed model. The potential bias of using the traditional model is demonstrated and it is argued that the proposed model provides more accurate inferences on the market-timing effects of mutual funds. The empirical results for a set of randomly-selected US mutual funds indicate the superior performance of the proposed method in detecting the market-timing ability.

原文English
頁(從 - 到)829-834
頁數6
期刊Applied Economics Letters
12
發行號13
DOIs
出版狀態Published - 20 十月 2005

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