Description

• Title:
  MARKET TIMING ABILITIES OF LARGE-CAP EQUITY MUTUAL FUND MANAGERS: EVIDENCE FROM INDIA
• Creator:
  Veeravel, V.;
  Mohanasundaram, S.
• Description:
  This study investigates the Market Timing Ability (MTA) of large-cap equity fund managers in India. The extensions of Treynor and Mazuy (TM) model and Henriksson and Merton (HM) model have been used by adding six additional factors related to the public information, 91-days Treasury bill’s yield, the dividend yield on CNX 500 index, term structure of interest rates, the price-to-earnings ratio, yield from foreign exchange rates changes, and growth rate in gold prices. The extended models are termed, conditional models. This study has used time-series data of large-cap equity funds. The results of the conditional and unconditional versions of TM and HM models reveal that the large-cap equity funds as a whole do not possess significant MTA, even though a considerable percentage of the funds under each of the models show significant positive MTA. The study also highlights that the inclusion of the public information variables reconstitutes the impact of the market timing factor and other beta estimates in the model.
• Object availability:
  free access
• Rights:
  Prawa autorskie (c) 2021 Copernican Journal of Finance & Accounting
• Date:
  2021.06.11
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Copernican Journal of Finance & Accounting; Vol. 9 No. 4 (2020); 87-99;
  Copernican Journal of Finance & Accounting; Tom 9 Nr 4 (2020); 87-99;
  2300-3065;
  2300-1240
• Format:
  application/pdf
• Publisher:
  Uniwersytet Mikołaja Kopernika w Toruniu
• Relation: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.023/29118
• Subject:
  large-cap funds;
  conditional models;
  public information variables;
  market timing abilities;
  C12;
  G11;
  G23
• Identifier: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.023
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text