Market timing and selectivity performance: A cross-sectional analysis of Malaysian unit trust funds

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

This study examines the extent to which fund characteristics contributes to explaining fund returns differentiated by managers' stock picking and market timing abilities. The findings show that funds characterized by high exposures to broad market movements have good timing returns but show poor selectivity performance, suggesting the presence of activity specialization among fund managers. It is shown that large funds enhance managers' timing returns, reflecting the efficiencies of large funds in responding to market-wide movements. However, as the size of the fund gets larger, managers find it more challenging to identify worthwhile investments and hence results in poor selectivity performance.

Original languageEnglish
Pages (from-to)205-219
Number of pages15
JournalPrague Economic Papers
Issue number2
Publication statusPublished - 2012

Fingerprint

Market timing
Trust funds
Cross-sectional analysis
Selectivity
Unit trusts
Managers
Fund managers

Keywords

  • Fund characteristics
  • Fund performance
  • Market timing
  • Security selection
  • Unit trust fund

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

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