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Journal Article

The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency

Stanley J. Kon and Frank C. Jen
The Journal of Business
Vol. 52, No. 2 (Apr., 1979), pp. 263-289
Stable URL: http://www.jstor.org/stable/2352196
Page Count: 27
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency
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Abstract

This paper evaluates mutual fund stock selectivity performance and the implications for the Efficient Markets Hypothesis (EMH) when management is simultaneously engaged in market timing activities. Both the Sharp-Lintner-Mossin and Black models of market equilibrium are employed as benchmarks. The empirical evidence indicates that many of the funds in the sample significantly change their risk levels during the measurement interval. This behavior also results in significantly different stock selectivity performance and portfolio diversification. The evidence on selectivity performance pertinent to the EMH is mixed.

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