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.
The Journal of Business ceased publication with the November 2006 issue (Volume 79, Number 6). Founded in 1928, The Journal of Business was the first scholarly journal to focus on business-related research and played a pioneering role in fostering serious academic research about business. However, in appreciation of the increasing specialization in business scholarship, as reflected in the emergence of many specialized business journals, the faculty of the University of Chicago's Graduate School of Business decided after careful deliberation and extensive dialogue to cease publication of the more broadly focused Journal at the end of 2006, after nearly eight decades of publication by the University of Chicago Press.
Since its origins in 1890 as one of the three main divisions of the University of Chicago, The University of Chicago Press has embraced as its mission the obligation to disseminate scholarship of the highest standard and to publish serious works that promote education, foster public understanding, and enrich cultural life. Today, the Journals Division publishes more than 70 journals and hardcover serials, in a wide range of academic disciplines, including the social sciences, the humanities, education, the biological and medical sciences, and the physical sciences.