Timing Ability of China Mutual Fund Investors

This paper considers 250 funds between 2001 Q4 and 2009 Q2. The funds included must have data for at least eight quarters. By comparing dollar-weighted average return and geometric average return of a fund, the paper shows that fund investors always have inferior ability on timing. Their worst perfo...

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Bibliographic Details
Published in:Emerging markets finance & trade 2012-09, Vol.48 (sup3), p.116-128
Main Authors: Zhou, Kaiguo, Wong, Michael C. S.
Format: Article
Language:English
Subjects:
Arithmetic
Behavior
Cash flow
Emerging markets
Fees
fund investors
Investment strategies
Investors
Market timing
Mutual funds
Owner earnings
Rates of return
Studies
time-weighted average return
timing ability
value-weighted average return
Weighted averages
Yield
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Summary:This paper considers 250 funds between 2001 Q4 and 2009 Q2. The funds included must have data for at least eight quarters. By comparing dollar-weighted average return and geometric average return of a fund, the paper shows that fund investors always have inferior ability on timing. Their worst performance is related to a fund's larger size, higher subscription fee, better ratings, and higher geometric average returns. Funds of the above characteristics may easily draw the attention of less-informed investors and trigger their timing behavior. As a result, they buy at high prices and sell at low prices.
ISSN:1540-496X
1558-0938
DOI:10.2753/REE1540-496X4805S307