MARKET TIMING PERFORMANCE
Keywords:
market timing, fund performance, mutual fundAbstract
This academic paper aims to present the academic research to date on the market timing performance of investment portfolios. This primary intent is to make the material efficiently accessible to students, researchers, asset management companies and others who are interested in the findings and implication of this line of research. The paper starts with the concept of portfolio performance measurement. Market timing performance classic models developed by Treynor and Mazuy (1966), and, Henriksson and Merton (1981) are reviewed. The overall results of market timing perfomance in the United States of America, a developed capital market, indicated that a few fund managers have market timing abilities. Results in Thailand also showed that a few fund managers have market timing performance. The suggestions on applying the market timing performance models in Thailand are listed in the last part of the paper.
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