What style-timing skills do mutual fund 'stars' possess?

Li Wen Chen, Andrew Adams, Richard Taffler

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

Recent studies suggest that certain growth-oriented fund managers have substantial skill but do not stipulate the particular skills that they possess. We examine in detail the style-timing abilities of growth-oriented equity mutual funds over the period from 1993 to 2006. We find that an important contributor to the persistent abnormal returns is growth timing, i.e., switching stocks along the value/growth continuum, and that this explains at least 45% of the abnormal returns reported. No other style-timing skills are observed. Our results also demonstrate that it is easy to misidentify growth timing as market timing.
Original languageEnglish
Pages (from-to)156-173
Number of pages18
JournalJournal of Empirical Finance
Volume21
Issue number1
DOIs
Publication statusPublished - 1 Mar 2013

Keywords

  • Growth funds
  • Mutual fund performance
  • Timing skill

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