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.

Publication 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.
Publisher Keywords:	Mutual funds performance, market timing
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Finance

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