Cokurtosis and the Ability of Mutual Fund Managers

Woraphon Wattanatorn and Chaiyuth Padungsaksawasdi

Finance Research Letters, 2021, vol. 40, issue C

Abstract: In the present study we propose a new higher-order co-moment timing ability for fund managers. Top-performing fund managers successfully time higher-order co-moments of their investment portfolios, generating significantly positive abnormal returns. However, worst-performing funds show no abilities. The zero-trading strategy works well with all timing ability models, where the zero-cost trading profit of the cokurtosis timing model generates the 0.091% per month abnormal return. The bootstrap test shows that the higher-order co-moment timing ability is not purely driven from luck. The robustness test ensures the main findings.

Keywords: Co-moment; Higher-order; Timing ability; Mutual fund performance (search for similar items in EconPapers)
JEL-codes: G11 G12 G21 G23 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315919

DOI: 10.1016/j.frl.2020.101777

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