Timing ability of China mutual fund investors
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › Not applicable › peer-review
Related Research Unit(s)
|Journal / Publication||Emerging Markets Finance and Trade|
|Publication status||Published - 1 Sep 2012|
|Link to Scopus||https://www.scopus.com/record/display.uri?eid=2-s2.0-84918517539&origin=recordpage|
This paper considers 250 funds between 2001 Q4 and 2009 Q2. The funds included must have data for at least eight quarters. By comparing dollar-weighted average return and geometric average return of a fund, the paper shows that fund investors always have inferior ability on timing. Their worst performance is related to a fund's larger size, higher subscription fee, better ratings, and higher geometric average returns. Funds of the above characteristics may easily draw the attention of less-informed investors and trigger their timing behavior. As a result, they buy at high prices and sell at low prices.
- fund investors, time-weighted average return, timing ability, value-weighted average return