Timing Ability of China Mutual Fund Investors

Kaiguo Zhou and Michael Wong

Emerging Markets Finance and Trade, 2012, vol. 48, issue S3, 116-128

Abstract: This paper considers 250 funds between 2001 Q4 and 2009 Q2. The funds included must have data for at least eight quarters. By comparing dollar-weighted average return and geometric average return of a fund, the paper shows that fund investors always have inferior ability on timing. Their worst performance is related to a fund's larger size, higher subscription fee, better ratings, and higher geometric average returns. Funds of the above characteristics may easily draw the attention of less-informed investors and trigger their timing behavior. As a result, they buy at high prices and sell at low prices.

Keywords: fund investors; time-weighted average return; timing ability; value-weighted average return (search for similar items in EconPapers)
Date: 2012
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