Mutual fund alpha and daily market-timing ability

Research output: Contribution to journalArticlepeer-review


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 languageEnglish (US)
Pages (from-to)662-681
Number of pages20
JournalStudies in Economics and Finance
Issue number3
StatePublished - Oct 7 2019

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)


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