A nonparametric test of market timing

By Wei Jiang. 2003

161 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/908e6043dcf4c1afe92d429af0e5e8c0b671d22f

How researchers see this paper

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In Economics and Econometrics

1. Niall O’Sullivan
2. A. Ahsan
3. D. Nitzsche
4. Md. Bokhtiar Hasan, PhD
5. K. Cuthbertson

In Finance

1. Niall O’Sullivan
2. A. Ahsan
3. D. Nitzsche
4. Md. Bokhtiar Hasan, PhD
5. K. Cuthbertson

Citations in the corpus

• Mutual Fund Performance: Skill or Luck? (2005, result): “The latter finding is consistent with existing studies of UK market timing (Fletcher 1995, Leger 1997) while Jiang (2003) also finds against superior market timing using nonparametric tests on US equity mutual funds.”
• Can Mutual Funds Outguess the Market: Evidence from Bangladesh? (2016, result): “The results are consistent with Treynor and Mazuy [24], Kon and Jen [15], Jiang [13] and Miglani [17] who also found no evidence for market timing ability of fund managers.”
• Do Mutual Funds Time the Market? Evidence from Portfolio Holdings (2007, unknown): “In particular, earlier studies dating back to Treynor and Mazuy (1966) and Henriksson and Merton (1981), and recent studies such as Becker, Ferson, Myers, and Schill (1999) and Jiang (2003), all find that mutual funds on average do not exhibit significant market-timing ability.”
• Do Market Timing Hedge Funds Time the Market (2007, unknown): “In addition, Jiang (2003) proposes a nonparametric market timing test for convexity by examining the probability that beta is higher in up markets than in down markets.”
• A Nonparametric Approach to Measuring and Testing Curvature (2005, unknown): “(40) When one does not have prior knowledge that the marginal effect of one covariate is independent of the other, the regression should include an interaction term as well (see Abrevaya and Jiang 2003).”
• Risk and Return Characteristics of Islamic Equity Funds (2011, unknown): “follow Jiang (2003) and run a second test for the market timing ability of IEF managers by using a non-parametric procedure, which is not affected by a fund manager's risk aversion, different”
• Can Hedge Funds Time Market Liquidity (2012, unknown): “Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, with Jiang Wang, Review of Financial Studies 13(2000), 257–300.”