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Applied Economics Letters Volume 10, 2003 - Issue 12
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Original Articles

Asymmetric relation in omitted benchmarks and market timing in mutual funds

J. C. Matallin-Saez Departamento de Finanzas y Contabilidad, Campus de Riu Sec, Universitat Jaume I, E-12080 Castellon, Spain
Pages 775-778 | Published online: 04 Jun 2010
 
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Abstract

Within portfolio management evaluation the aim of this study is to show the effect of omitting benchmarks with asymmetric correlation when measuring market timing ability. The results show the extent of this effect.

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