Market-timing performance of mutual fund investors in Emerging Markets

Alberto Cagnazzo

No 1901, Working Papers CASMEF from Dipartimento di Economia e Finanza, LUISS Guido Carli

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 flows-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 for all funds and equal to -0.06% per month for equity and -0.05% for fixed income. Although gaps remain negative regardless of the investment strategy declared by the fund manager, corporate funds and value funds exhibit the worst timing performance. In order to confirm that our results are e↵ectively driven by the goodness of one or the other strategy, instead than by the actual performance of the market, we simulate a sample of 1,000 funds finding that simulated data are consistent with actual results.

Keywords: Market-timing; Mutual funds; Emerging Markets (search for similar items in EconPapers)
JEL-codes: G1 G2 G4 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2019-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://economiaefinanza.luiss.it/sites/economiaefinanza.luiss.it/files/1901.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 The requested content does not exist. (http://economiaefinanza.luiss.it/sites/economiaefinanza.luiss.it/files/1901.pdf [307 Temporary Redirect]--> https://economiaefinanza.luiss.it/sites/economiaefinanza.luiss.it/files/1901.pdf)

Related works:
Journal Article: Market-timing performance of mutual fund investors in Emerging Markets (2022)
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:lui:casmef:1901

Access Statistics for this paper

More papers in Working Papers CASMEF from Dipartimento di Economia e Finanza, LUISS Guido Carli Contact information at EDIRC.
Bibliographic data for series maintained by Pierluigi Murro ().