False discoveries in style timing of Chinese mutual funds

Li Yi and Lei He

Pacific-Basin Finance Journal, 2016, vol. 38, issue C, 194-208

Abstract: This paper examines the daily style timing of actively managed Chinese stock mutual funds from July 2002 through December 2013 by adopting the false discovery rate (FDR). We find evidence in favor of mutual funds being able to time the market. Our results indicate that mutual fund managers do not possess size, value or momentum-based timing skills. Concerning the relation between fund characteristics and style timing, we find that expense and turnover are positively associated with market timing and value timing but negatively associated with momentum timing, which is likely to be attributable to different investment objectives. In addition, we examine market timing skill persistence by controlling the FDR and find that Chinese stock mutual funds are able to exhibit market timing persistence.

Keywords: Mutual fund; Style timing; False discovery rate; Fund characteristics; Persistence (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X16300452
Full text for ScienceDirect subscribers only

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:eee:pacfin:v:38:y:2016:i:c:p:194-208

DOI: 10.1016/j.pacfin.2016.04.005

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().