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

Li Wen Chen, Andrew Adams, Richard Taffler

Research output: Contribution to journalArticle

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

Fingerprint

Mutual funds
Abnormal returns
Equity
Market timing
Fund managers

Keywords

  • Growth funds
  • Mutual fund performance
  • Timing skill

Cite this

Chen, Li Wen ; Adams, Andrew ; Taffler, Richard. / What style-timing skills do mutual fund 'stars' possess?. In: Journal of Empirical Finance. 2013 ; Vol. 21, No. 1. pp. 156-173.
@article{90a3a9657d3f4a5dbf678d3d3d79eeb4,
title = "What style-timing skills do mutual fund 'stars' possess?",
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.",
keywords = "Growth funds, Mutual fund performance, Timing skill",
author = "Chen, {Li Wen} and Andrew Adams and Richard Taffler",
year = "2013",
month = "3",
day = "1",
doi = "10.1016/j.jempfin.2013.01.004",
language = "English",
volume = "21",
pages = "156--173",
journal = "Journal of Empirical Finance",
issn = "0927-5398",
publisher = "Elsevier",
number = "1",

}

What style-timing skills do mutual fund 'stars' possess? / Chen, Li Wen; Adams, Andrew; Taffler, Richard.

In: Journal of Empirical Finance, Vol. 21, No. 1, 01.03.2013, p. 156-173.

Research output: Contribution to journalArticle

TY - JOUR

T1 - What style-timing skills do mutual fund 'stars' possess?

AU - Chen, Li Wen

AU - Adams, Andrew

AU - Taffler, Richard

PY - 2013/3/1

Y1 - 2013/3/1

N2 - 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.

AB - 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.

KW - Growth funds

KW - Mutual fund performance

KW - Timing skill

U2 - 10.1016/j.jempfin.2013.01.004

DO - 10.1016/j.jempfin.2013.01.004

M3 - Article

AN - SCOPUS:84874448753

VL - 21

SP - 156

EP - 173

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

SN - 0927-5398

IS - 1

ER -