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An Investigation of the Relationship between Stated Fund Management Policy and Market Timing Ability

An Investigation of the Relationship between Stated Fund Management Policy and Market Timing Ability This paper examines the market timing ability of a sample of 62 Australian International equity funds using the returnsbased approach of Henriksson and Merton 1981 H&M and Treynor and Mazuy 1966 T&M. Specifically, the primary focus is to investigate whether market timing ability bears any relationship to the stated fund allocation policy. Generally, the results indicate that fund managers do not successfully time the market. We also find that there is no relationship between the manager's stated level of activity on allocation and their market timing abilities as calculated using the H&M and T&M models. Managers are not successfully implementing their stated policies. These results are consistent with an irrelevance of perceived management style to fund policies and hence performance. Furthermore, it is indicative that fund managers are not successfully targeting particular classes of risk averse investors. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Pacific Accounting Review Emerald Publishing

An Investigation of the Relationship between Stated Fund Management Policy and Market Timing Ability

Benson, Karen; Pope, Peter; Faff, Robert
Pacific Accounting Review , Volume 15 (1): 15 – Jan 1, 2003
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References (37)

Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
0114-0582
DOI
10.1108/eb037969
Publisher site
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Abstract

This paper examines the market timing ability of a sample of 62 Australian International equity funds using the returnsbased approach of Henriksson and Merton 1981 H&M and Treynor and Mazuy 1966 T&M. Specifically, the primary focus is to investigate whether market timing ability bears any relationship to the stated fund allocation policy. Generally, the results indicate that fund managers do not successfully time the market. We also find that there is no relationship between the manager's stated level of activity on allocation and their market timing abilities as calculated using the H&M and T&M models. Managers are not successfully implementing their stated policies. These results are consistent with an irrelevance of perceived management style to fund policies and hence performance. Furthermore, it is indicative that fund managers are not successfully targeting particular classes of risk averse investors.

Journal

Pacific Accounting Review – Emerald Publishing

Published: Jan 1, 2003

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