What Style-Timing Skills do Mutual Fund Stars Possess?

Li-Wen Chen, Andrew Adams and Richard Taffler

No 1001, CFI Discussion Papers from Centre for Finance and Investment, Heriot Watt University

Abstract: Kosowski, Timmermann, Wermers, and White (2006) find that certain growth-oriented fund managers have substantial skill but do not stipulate the particular skills that they possess. We examine in detail the style-timing abilities of 3,181 US growth-oriented equity mutual funds over the period from 1993 to 2006. We find that an important contributor to the persistent abnormal returns reported by Kosowski et al. (2006) is growth timing, i.e. switching stocks along the value/growth continuum, and that this explains at least 45% of the abnormal returns reported. No other style-timing skills are observed. Our results also demonstrate that it is easy to misidentify growth timing as market timing.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://cfi.hw.ac.uk/images/documents/cfi-dp2010-01.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to cfi.hw.ac.uk:80 (No such host is known. )

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:hwe:cfidps:1001

Access Statistics for this paper

More papers in CFI Discussion Papers from Centre for Finance and Investment, Heriot Watt University Contact information at EDIRC.
Bibliographic data for series maintained by Colin Miller ().