加拿大混合共同基金的稳健市场时机测试

IF 1.8 Q2 BUSINESS, FINANCE
Mohamed A. Ayadi, A. Chaibi, L. Kryzanowski
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引用次数: 1

摘要

目的先前的研究记录了不确定的和/或混合的经验证据对混合基金的时机表现。他们的业绩推断通常不能有效地控制固定收益敞口、条件信息和基金回报的相互关系。本研究在控制和考虑这些重要问题的同时,考察了混合基金的股票和债券时机绩效。它还讨论了使用替代自举重采样方法的推论含义。设计/方法/方法我们使用具有鲁棒估计推断的(非)条件多因素基准模型来检验混合基金的股票和债券时机表现。我们还依靠块引导方法来解释基金回报中的相互关联,并将运气或抽样变化的影响与经理技能分开。研究发现,基金组合的择时绩效对固定收益敞口控制和择时度量模型的选择具有中性和敏感性。对股票择时业绩分布尾部的基金进行块引导分析表明,抽样变异解释了极左尾部基金表现不佳的原因,并证实了尾部基金债券择时管理的好运气和坏运气。我们报告了基于是否使用Kosowski等人或Fama和French bootstrap方法的推理变化。原创性/价值本研究基于(非)条件线性多因素基准模型,对混合基金的股票和债券时机表现及其敏感性提供了广泛而有力的证据。运用块自举方法对极端尾部基金的时机表现进行了检验,以有效地识别(非)熟练的基金经理。它还强调了对测试方法选择的推断的敏感性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Robust market timing tests of Canadian hybrid mutual funds
PurposePrior research has documented inconclusive and/or mixed empirical evidence on the timing performance of hybrid funds. Their performance inferences generally do not efficiently control for fixed-income exposure, conditioning information, and cross-correlations in fund returns. This study examines the stock and bond timing performances of hybrid funds while controlling and accounting for these important issues. It also discusses the inferential implications of using alternative bootstrap resampling approaches.Design/methodology/approachWe examine the stock and bond timing performances of hybrid funds using (un)conditional multi-factor benchmark models with robust estimation inferences. We also rely on the block bootstrap method to account for cross-correlations in fund returns and to separate the effects of luck or sampling variation from manager skill.FindingsWe find that the timing performance of portfolios of funds is neutral and sensitive to controlling for fixed-income exposures and choice of the timing measurement model. The block-bootstrap analyses of funds in the tails of the distributions of stock timing performances suggest that sampling variation explains the underperformance of extreme left tail funds and confirms the good and bad luck in the bond timing management of tail funds. We report inference changes based on whether the Kosowski et al. or the Fama and French bootstrap approach is used.Originality/valueThis study provides extensive and robust evidence on the stock and bond timing performances of hybrid funds and their sensitivity based on (un)conditional linear multi-factor benchmark models. It examines the timing performances in the extreme tails funds using the block bootstrap method to efficiently identify (un)skilled fund managers. It also highlights the sensitivity of inferences to the choice of testing methodology.
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来源期刊
CiteScore
4.10
自引率
0.00%
发文量
47
期刊介绍: Treasury and Financial Risk Management ■Redefining, measuring and identifying new methods to manage risk for financing decisions ■The role, costs and benefits of insurance and hedging financing decisions ■The role of rating agencies in managerial decisions Investment and Financing Decision Making ■The uses and applications of forecasting to examine financing decisions measurement and comparisons of various financing options ■The public versus private financing decision ■The decision of where to be publicly traded - including comparisons of market structures and exchanges ■Short term versus long term portfolio management - choice of securities (debt vs equity, convertible vs non-convertible)
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