91
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Do pension funds managers display stock-picking and market timing ability? Evidence from the United Kingdom and Spain

¿Muestran los gestores de fondos de pensiones habilidades de selección de valores y de sincronización con el mercado? Evidenia para Reino Unido y España

, &
Pages 349-365 | Received 14 Jul 2009, Accepted 17 Nov 2009, Published online: 15 Jan 2014

REFERENCES

  • Abdel-Kader, M. G., and Qing, K. Y. 2007. Risk-Adjusted Performance, Selectivity, Timing Ability and Performance Persistence of Hong Kong Mutual Funds. Journal of Asia-Pacific Business 8(2): 25–58.
  • Ammann, M., and Zingg, A. 2008. Investment Performance of Swiss Pension Funds and Investment Foundations. Swiss Journal of Economics and Statistics 144(II): 153–195.
  • Ayadi, M. A., and Kryzanowsky, L. 2004. Performance of Canadian fixed-income mutual funds. 3rd Portuguese Finance Network, Lisbon, July.
  • Bauer, R.; Otten, R., and Rad, A. T. 2006. New Zealand mutual funds: measuring performance and persistence in performance. Accounting and Finance 46: 347–363.
  • Boney, V.; Comer, G., and Kelly, L. 2005. High quality bond funds: market timing ability and performance. Working Paper SSRN, Available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=680681.
  • Christensen, M. 2005. Danish mutual fund performance-selectivity, market timing and persistence. Working Paper SSRN. Available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=670701.
  • Chan, H.; Faff, R. W.; Gallagher, D. R., and Looi, A. 2005. Fund size, fund flow, transaction costs and performance: size matters. Working Paper SSRN. Available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=697581 [Accessed 25 March 2009].
  • Chen, J. S.; Hong, H. G.; Huang, M., and Kubik, J. D. 2004. Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review 94(5): 1276–1302.
  • Christopherson, J. A.; Ferson, W. E., and Glassman, D. A. 1998. Conditioning Manager Alpha on Economic information: Another Look at the Persistence of Performance. Review of Financial Studies 11: 111–142.
  • Cortez, M. C., and Silva, F. 2002. Conditioning Information on Portfolio Performance Evaluation: A Re-examination of Performance Persistence in the Portuguese Mutual Fund Market. Finance India 16: 1393–1408.
  • Elton, E. J.; Gruber, M. J., and Blake, C. R. 2009. An Examination of Mutual Fund Timing Using Monthly Holdings Data. Working Paper SSRN. Available at: http://ssrn.com/abstract=1343246 (Accessed 25 March 2009).
  • Ferruz, L.; Vargas, M., and Vicente, L. 2008. Size and experience effects on global fund performance. 2008 European Financial Management Annual Meeting, Athens, June.
  • Ferruz, L.; Vargas, M. and Muñoz, F. 2010. Does the size of a fund family matter when choosing an investment strategy? Evidence from Spain. Review of Quantitative Finance and Accounting, forthcoming, DOI 10.1007/s11156-009-0106-2.
  • Ferson, W. E., and Schadt, R. W. 1996. Measuring fund strategy and performance in changing economic conditions. The Journal of Finance 51(2): 425–461.
  • Ferson, W. E., and Quian, M. 2004. Conditional Performance Evaluation, Revisited. Research Foundation Monograph of the CFA Institute (formerly AIMR), ISBN 0 943205–69–7, 84 pages.
  • Fung, H. G.; Xu, X., and Yau, J. 2002. Global hedge funds: risk, return and market timing. Financial Analyst Journal 58(6): 19–30.
  • Gallagher, D. R., and Martin, K. M. 2005. Size and investment performance: a research note. Abacus 41(1), 55–65.
  • Glassman, D. A., and Riddick, L. A. 2006. Market timing by global fund managers, Journal of International Money and Finance 25(7): 1029–1050.
  • Hallahan, T. A., and Faff, R. W. 2001. Induced persistence or reversals in fund performance?: the effect of survivor bias. Applied Financial Economics 11: 119–126.
  • Henriksson, R. D. 1984. Market timing and mutual fund performance: an empirical investigation. The Journal of Business 57: 73–96.
  • Jiang, G. J.; Yao, T. and Yu, T. 2007. Do mutual funds time the market? Evidence from portfolio holdings. Journal of Finance Economics 86(3): 724–758.
  • Knigge, A.; Nowak, E., and Schmidt, D. 2004. On the performance of private equity investments: does market timing matter?. Working Paper SSRN. Available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=492982 [Accessed 25 March 2009].
  • Lhabitant, F. S. 2005. On Swiss timing and selectivity: in the quest of alpha. Financial Markets and Portfolio Management 15(2): 154–172.
  • Lee, S. L. 1999. The conditional performance of UK property funds. 15th American Real Estate Society Meeting, Tampa, April.
  • Martí, C. P., and Matallín, J. C. 2008. Spanish pension plans performance and persistence. 2008 European Financial Management Annual Meeting, Athens, June.
  • Matallín, J. C. 2006. Seasonality, market timing and performance amongst benchmarks and mutual fund evaluation. Journal of Business Finance and Accounting 33(9 and 10): 1484–1507.
  • Merton, R. C., and Henriksson, R. D. 1981. On market timing and investment performance II: statistical procedures for evaluating forecasting skills. The Journal of Business 54: 513–534.
  • Neuhierl, A., and Schlusche, B. 2009. Data Snooping and Market-Timing Rule Performance. Working Paper SSRN, Available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1343896 (Accessed 25 March 2009).
  • Raju, B. P., and Rao, K. M. 2009. Market Timing Ability of Selected Mutual Funds in India: A Comparative Study. The Icfai Journal of Applied Finance 15(3): 34–48.
  • Roy, B., and Deb, S. S. 2004. The conditional performance of Indian mutual funds: an empirical study. Working Paper SSRN. Available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=593723 (Accessed 25 March 2009).
  • Treynor, J., and Mazuy, K. 1966. Can mutual funds outguess the market?. Harvard Business Review 44: 131–136.
  • Woodward, G., and Brooks, R. 2006. The market timing ability of Australian superannuation funds: nonlinearities and smooth transition models. Working Paper SSRN. Available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=885975 (Accessed 25 March 2009).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.