On the Timing Ability of Mutual Fund Managers

By Nicolas P. B. Bollen, Jeffrey A. Busse. 2001

612 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/265ae741df1d9dc5fdd4372dfdd8f70be217c2e0

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Citations in the corpus

An Examination of Mutual Fund Timing Ability Using Monthly Holdings Data (2012, neutral): “3 See, for example, Bollen and Busse (2001), Chance and Hemler (2001), Comer (2006), Ferson and”
Risk and Return Characteristics of Islamic Equity Funds (2011, background): “Finally, it has been found to have low power when actual fund timing frequencies differ from data sampling frequencies (Goetzmann, Ingersoll and Ivkovich, 2000; Bollen and Busse, 2001).”
Risk Shifting and Mutual Fund Performance (2010, neutral): “The literature on the investment ability of mutual fund managers include Treynor and Mazuy (1966), Henriksson and Merton (1981), Grinblatt and Titman (1993), Brown and Goetzmann (1995), Ferson and Schadt (1996), Carhart (1997), Busse (1999), Daniel, Grinblatt, Titman, and Wermers (1997), Wermers (20”
Global Hedge Funds: Risk, Return, and Market Timing (2002, methodology): “Model 2 has been widely used in mutual fund research; examples are Lee and Rahman (1990), Chen, Lee, Rahman, and Chan (1992), Kao, Cheng, and Chan (1998), Becker, Ferson, Myers, and Schill (1999), and Bollen and Busse (2001).”
Can Hedge Funds Time Market Liquidity (2012, neutral): “1 See, for example, Treynor and Mazuy (1966), Henriksson and Merton (1981), Ferson and Schadt (1996), Busse (1999), Bollen and Busse (2001), Jiang, Yao, and Yu (2007), and Chen and Liang (2007).”
Socially responsible and conventional investment funds: performance comparison and the global financial crisis (2015, methodology): “market benchmark, the two Fama and French (1993) factors, Carhart (1996) – Momentum, and Bollen and Busse (2001) – Timing – risk factors.”
Indexing and Active Fund Management: International Evidence (2016, neutral): “…in the mutual fund industry, see, for example, Sharpe (1966), Jensen (1968), Grinblatt and Titman (1989, 1993), Gruber (1996), Wermers (2000), Bollen and Busse (2001), Kacperczyk, Sialm, and Zheng (2005), Avramov and Wermers (2006), Kosowski, Timmermann, Wermers, and White (2006), Kacperczyk…”
Time-Varying Fund Manager Skill: Time-Varying Fund Manager Skill (2012, methodology): “Notable exceptions are Mamaysky, Spiegel, and Zhang (2008) who find evidence for market timing using Kalman filtering techniques, and Bollen and Busse (2001) and Elton, Gruber, and Blake (2011) who find evidence of market timing using higher frequency holdings data.”
The Interim Trading Skills of Institutional Investors (2011, background): “2 Bollen and Busse (2004) and Busse, Goyal, and Wahal (2007) find evidence of performance persistence even after controlling for momentum.”
Managerial Activeness and Mutual Fund Performance (2015, neutral): “1 The idea that active mutual fund managers lack skill dates back to Jensen (1968) and Fama (1970) and is supported in later research by Malkiel (1995), Gruber (1996), Carhart (1997), Zheng (1999), Bollen and Busse (2001), Fama and French (2010), and others.”
Conditional Return Smoothing in the Hedge Fund Industry (2008, background): “As shown by Bollen and Busse (2001), studies of market timing in the mutual fund literature, which typically use monthly returns, tend to lack sufficient power to reject the null hypothesis of no market timing.”