Frijns, Bart; Gilbert, Aaron; Zwinkels, Remco C.J. - In: Quantitative Finance 13 (2013) 10, pp. 1613-1620
This paper proposes a novel approach to determine whether mutual funds time the market. The proposed approach builds on a heterogeneous agent model, where investors switch between cash and stocks depending on a certain switching rule. This approach is more flexible, intuitive, and parsimonious...