On timing ability in Australian managed funds

Francis In, Sangbae Kim and Philip I Ji
Additional contact information
Francis In: Department of Accounting and Finance, Monash University, Australia
Sangbae Kim: School of Business Administration, Kyungpook National University, Republic of Korea
Philip I Ji: Department of Accounting and Finance, Monash University, Australia

Australian Journal of Management, 2014, vol. 39, issue 1, 93-106

Abstract: This paper investigates the timing abilities of Australian managed fund managers. To examine timing abilities, the cross-sectional bootstrap approach is adopted to determine whether timing ability is due to skill or luck. Based on three alternative timing measures, we find that top-ranked Australian fund managers have genuine timing abilities. In addition, the poor timing ability with bottom-ranked funds is not likely to be due to luck either, implying that the market exposure of some Australian managed funds is mistakenly adjusted when the stock market improves.

Keywords: Australian managed fund; bootstrap approach; joint timing; return timing; volatility timing (search for similar items in EconPapers)
JEL-codes: G12 G20 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0312896212468455 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:39:y:2014:i:1:p:93-106

DOI: 10.1177/0312896212468455

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().