Published Online:July 2024
Product Name:The IUP Journal of Applied Finance
Product Type:Article
Product Code:IJAF0724
Author Name:Bushra Khalid and Nisar A Khan
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:10
The empirical evidence on market timing indicates that fund managers generally fail to time the market correctly. However, most of these studies have analyzed the timing ability of fund managers using monthly return data. Studies have shown that inference based on monthly data might fail to capture fund managers’ timing abilities because decisions regarding timing take place more frequently than once a month. Hence, we have analyzed the net return data of 206 growth-oriented equity schemes for 2000-2019 to check for the market timing abilities among Indian fund managers. The estimation was made using the unconditional multifactor models of Treynor and Mazuy and Henrikkson and Merton with bootstrap standard error. The findings suggest that daily data invariably improves the inference on timing, no matter which testing model is employed. Furthermore, the findings indicate that a small fraction of fund managers possess significant timing skills, but almost as many fund managers displayed negative timing skills.
Mutual funds, which have gained substantial popularity among retail investors over the last ten years, have proved to be the easiest and most favored way to invest in the Indian equities and debt markets. The popularity of mutual funds can be gauged from their ever-increasing size and scale.