Market Timing and Selectivity of Mutual Fund Managers

• Main Authors: Ya-huei Hsu, 許雅惠
• Other Authors: 李建興
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/eveaqq

碩士 === 義守大學 === 財務金融學系 === 93 === There has been a tremendous growth in Taiwan’s mutual fund industry during the last decades. There has been much debate about the ability of fund managers by Treynor and Mazuy’s (1966) or Henriksson and Merton’s (1981) model. Previous research on the relationship between market timing and securities selectivity has demonstrated that managers’ skills react strongly to spurious negative correlation. We try to solve the above mentioned by using different model to measure professional money managers’ performance. We apply Fully Modified Ordinal Least Squares (FM-OLS), recursive OLS in variable, threshold model in variable, dynamic beta model, TM multi-factor model and HM multi-factor model to measure professional money managers’ market timing ability and securities selectivity ability. The conclusion present as follows: (1)Spurious negative correlation of managers’ market timing ability and securities selectivity ability can not be resolved by dynamic beta model. (2)Using recursive FM-OLS can resolve the spurious negative correlation of managers’ market timing ability and securities selectivity ability. (3)TM multi-factor model and HM multi-factor model can resolve the spurious negative correlation of managers’ market timing ability and securities selectivity ability.