European Market Timing

Abstract

In this paper we examine national equity mutual funds in the main European countries using daily and monthly returns to determine if the temporary frequency of the observations produces changes in the detection of timing skills by fund managers that justifies the current trend in the finance literature of using daily observations instead of monthly. Using daily data in our analysis we appreciate a greater significance in the results obtained, approximately 10% of funds show significantly positive market timing skills and the same proportion of funds show negative market timing across countries. In the present study we show the usefulness of the increase in the temporal frequency of the observations as the use of daily data instead of monthly returns in the analysis implies a greater significance in the results obtained. Thus, we consider more advantageous the use of daily frequencies for market timing evaluation of mutual funds.