Market and Style Timing: German Equity and Bond Funds

Hayley, S., Nitzsche, D. & Cuthbertson, K. (2016). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667-696. doi: 10.1111/eufm.12080

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Abstract

We apply parametric and non-parametric estimates to test market and style timing ability of individual German equity and bond mutual funds using a sample of over 500 equity and 350 bond funds, over the period 1990-2009. For equity funds, both approaches indicate no successful market timers in the 1990-1999 or 2000-2009 periods, but in 2000-2009 the non-parametric approach gives fewer unsuccessful market timers than the parametric approach. There is evidence of successful style timing using the parametric approach, and unsuccessful style timing, particularly in the 2000-2009 period. There is evidence of positive and negative bond timing in the 2000-09 period.

Item Type: Article
Additional Information: This is the peer reviewed version of the following article: Hayley, S, Nitzsche, D & Cuthbertson, K Market and Style Timing: German Equity and Bond Funds. European Financial Management, which is published in final form at http://dx.doi.org/10.1111/eufm.12080. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Uncontrolled Keywords: Mutual funds performance, market timing
Subjects: H Social Sciences > HG Finance
Divisions: Cass Business School > Faculty of Finance
URI: http://openaccess.city.ac.uk/id/eprint/12498

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