It is well-established in the financial literature that the global performance of mutual fund managers is the result of two skills: selectivity and market timing. This paper examines whether the multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach improves our...

We use a simple non-linear model, that of Treynor and Mazuy, to test the ability of Greek mutual fund managers to time the market. The empirical findings do not reveal any ability of the Greek managers to time the market correctly or select undervalued securities. In contrary ,five out of...

Purpose - The purpose of this paper is to study performance and market timing ability of equity real estate investment trusts (REITs). Design/methodology/approach - The authors use classical regression-based framework and their multi-index, multifactor, and conditional extensions to jointly...

Purpose This study aims to evaluate the performance of the Portuguese fund managers by examining the selectivity and market timing skills of 51 Portuguese mutual funds from June 2002 to March 2012. Design/methodology/approach The authors assess empirically the performance of a sample of funds by...

Purpose – The purpose of this paper is to study performance and market timing ability of equity real estate investment trusts (REITs). Design/methodology/approach – The authors use classical regression‐based framework and their multi‐index, multifactor, and conditional extensions to...