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

Li Wen Chen, Andrew Adams, Richard Taffler

    Research output: Contribution to journalArticlepeer-review

    14 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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