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Does the Market Timing Ability of Mutual Fund Managers Persist?

By Nicolas P.B. Bollen and Jeffrey A. Busse

Abstract

In this paper, we seek to determine whether the market timing ability of mutual fund managers persists. We estimate parameters of standard timing models each year. We then execute a battery of tests and find statistically significant serial correlation in timing ability. In addition, the top decile of timers generates a return in the post-ranking year that exceeds the return of a control group by three percent. These results suggest that the timing ability of mutual fund managers persists in a statistically and economically significant manner

Year: 2000
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