Mutual Fund Systematic Risk for Bull and Bear Markets : An Empirical Examination

The single-index market model is estimated with market returns from mutual funds. Binary variables are used to determine if the beta coefficients increase during bull markets. If the mutual fund beta coefficients increase during bull markets, for example, this increase indicates the portfolio manager has superior market timing ability. Mutual fund managers with superior market timing ability were not discovered

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Year of publication:	2019
Authors:	Fabozzi, Frank J.
Other Persons:	Francis, Jack Clark (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Investmentfonds \| Investment Fund \| Aktienmarkt \| Stock market \| Börsenkurs \| Share price \| Schätzung \| Estimation \| Risiko \| Risk

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: JOURNAL OF FINANCE, 1979 December, XXXIV (5), pages 1243-1250 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 28, 1979 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012904377