Timing ability of China mutual fund investors

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

3 Scopus Citations
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Detail(s)

Original languageEnglish
Pages (from-to)116-128
Journal / PublicationEmerging Markets Finance and Trade
Volume48
Publication statusPublished - 1 Sep 2012

Abstract

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.

Research Area(s)

  • fund investors, time-weighted average return, timing ability, value-weighted average return