Market-timing performance of mutual fund investors in Emerging Markets

Alberto Cagnazzo

International Review of Economics & Finance, 2022, vol. 77, issue C, 378-394

Abstract: This paper empirically investigates the performance of market-timing strategies effectively used by investors in Emerging Markets (EMs). We identify short-term determinants of mutual fund flows into EM equity and fixed income, finding a well-established flow-performance relation. Hence, we verify whether investors make good timing decisions with a statistic hereafter referred to as “performance gap”. We find that the average performance gap is negative and statistically significant for all funds. It is equal to −0.05% per month for equity and −0.06% for fixed income. Although gaps remain negative regardless of the strategy declared by the fund manager, corporate and growth funds exhibit the worst performance.

Keywords: Market-timing; Mutual funds; Emerging markets (search for similar items in EconPapers)
JEL-codes: G1 G2 G4 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Market-timing performance of mutual fund investors in Emerging Markets (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:77:y:2022:i:c:p:378-394

DOI: 10.1016/j.iref.2021.10.004

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