Abstract
Purpose: This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach: Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds. Findings: The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal. Originality/value: Using bootstrapped funds as the benchmark, this study shows that daily fund market is overall efficient.
Original language | English (US) |
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Pages (from-to) | 662-681 |
Number of pages | 20 |
Journal | Studies in Economics and Finance |
Volume | 36 |
Issue number | 3 |
DOIs | |
State | Published - Oct 7 2019 |
All Science Journal Classification (ASJC) codes
- Economics, Econometrics and Finance(all)