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Investment Styles and the Multifactor Analysis of Market Timing Skill
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
(English)In: International Journal of Managerial Finance, ISSN 1743-9132, E-ISSN 1758-6569Article in journal (Refereed) Accepted
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.

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Business Administration
URN: urn:nbn:se:su:diva-124645OAI: diva2:890431
Available from: 2016-01-03 Created: 2016-01-03 Last updated: 2016-09-15

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Peltomäki, Jarkko
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