Assessing selectivity and market timing performance of mutual funds for an emerging market: the case of Turkey
Date
2008Source Title
Emerging Markets Finance and Trade
Print ISSN
1540-496X 1558-0938
Publisher
Routledge
Volume
44
Issue
2
Pages
87 - 99
Language
English
Type
ArticleItem Usage Stats
179
views
views
168
downloads
downloads
Abstract
This paper derives and analyzes the selectivity and market timing performance of the mutual funds for the Turkish economy for the financial crisis period by employing high-frequency data. The determinants of these derived abilities are investigated within a regression analysis. The results suggest weak evidence about selection ability and some evidence about superior market timing quality. They also indicate that management fees are negatively correlated with the ability measure, which is quite surprising. Experience emerges as an important factor, especially for market timing ability. Copyright © 2008 M.E. Sharpe, Inc. All rights reserved.