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Journal Article

Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation

Cheng-Few Lee and Shafiqur Rahman
The Journal of Business
Vol. 63, No. 2 (Apr., 1990), pp. 261-278
Stable URL: http://www.jstor.org/stable/2353219
Page Count: 18
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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.
Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation
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Abstract

This article empirically examines market timing and selectivity performance of a sample of mutual funds. It uses a very simple regression technique to separate stock selection ability from timing ability. This technique, first suggested by Treynor and Mazuy and later refined by Bhattacharya and Pfleiderer, uses a modified security-market line approach to produce individual measures of timing and stock selection ability. The inputs to the model are only the returns earned on the fund and those earned on the market portfolio. The empirical results indicate that at the individual fund level there is some evidence of superior micro- and macroforecasting ability on the part of the fund manager.

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