 Stock-selection timingGeorge J. Jiang, Gulnara Zaynutdinova and Huacheng Zhang Journal of Banking & Finance, 2021, vol. 125, issue C Abstract: We argue that mutual fund managers should trade actively only when the market presents opportunities to pick stocks with positive alpha. In this paper, we propose stock-selection opportunity measures and show that a significant portion of mutual funds time their active trading, i.e., they trade more when the market presents more stock-selection opportunities. We show that positive timers outperform negative timers by about 82 bps in annualized four-factor alpha over the subsequent six-month horizon and, more importantly, that stock-selection timing contributes significantly to fund performance even after controlling for fund managers’ stock-picking ability. Finally, we present evidence that on average funds with very high portfolio turnover are actually poor timers, whereas younger funds and funds with larger family size exhibit better skills in timing stock-selection. Keywords: Mutual funds; Active trading; Stock-selection opportunity; Stock-selection timing; Stock-picking ability (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000479 DOI: 10.1016/j.jbankfin.2021.106089 Access Statistics for this article Journal of Banking & Finance is currently edited by Ike Mathur More articles in Journal of Banking & Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.