Hybrid Mutual Funds and Market Timing Performance

George Comer
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George Comer: Georgetown University

The Journal of Business, 2006, vol. 79, issue 2, 771-798

Abstract: I examine the stock market timing ability of two samples of hybrid mutual funds. I find that the inclusion of bond indices and a bond timing variable in a multifactor Treynor-Mazuy model framework leads to substantially different conclusions concerning the stock market timing performance of these funds relative to the traditional Treynor-Mazuy model. Results from the multifactor Treynor-Mazuy model find less stock timing ability over the 1981–91 time period and provide evidence of significant stock timing ability across the second fund sample during the 1992–2000 time period.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:79:y:2006:i:2:p:771-798

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