Improving mutual fund market timing measures: a markov switching approach

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Previous issue date: 2001-07-31 / Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. Managers, however, use their predictions of the state of nature to deÞne whether to carry low or high beta portfolios instead of the observed ones. Our approach here is to take this into account and model market timing as a switching regime in a way similar to Hamilton s Markov-switching GNP model. We then build a measure of market timing success and apply it to simulated and real world data.

Links & Downloads

1. MAZALI, Rogério. Improving mutual fund market timing measures: a markov switching approach. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2001.
2. http://hdl.handle.net/10438/55

Tags

Economia

Modelo de precificação de ativos

Investimentos - Modelos matemáticos

Additional Fields

Identifer	oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/55
Date	31 July 2001
Creators	Mazali, Rogério
Contributors	Escolas::EPGE, FGV, Bonomo, Marco Antônio Cesar
Source Sets	IBICT Brazilian ETDs
Language	English
Detected Language	English
Type	info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis
Source	reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
Rights	info:eu-repo/semantics/openAccess