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Investment Styles and the Multifactor Analysis of Market Timing Skill
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
2017 (English)In: International Journal of Managerial Finance, ISSN 1743-9132, E-ISSN 1758-6569, Vol. 13, no 1, 21-35 p.Article in journal (Refereed) Published
Abstract [en]

The purpose of the study is to present and demonstrate how the use of a multifactor model in the analysis of market timing skill can be misleading because the use of a multifactor model does not suit all investment styles equally well. If the factors of the analysis model do not span the portfolio holdings of a fund with less conventional investment strategy, the use of a multifactor model may even be detrimental to the overall inference in measuring the market timing skill of a large sample of funds.

Place, publisher, year, edition, pages
2017. Vol. 13, no 1, 21-35 p.
Keyword [en]
Mutual funds, Market timing, Investment style
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-124645DOI: 10.1108/IJMF-04-2015-0095ISI: 000395670300002OAI: oai:DiVA.org:su-124645DiVA: diva2:890431
Available from: 2016-01-03 Created: 2016-01-03 Last updated: 2017-04-04Bibliographically approved

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Peltomäki, Jarkko
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