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Style Timing Around the World
Javier Vidal-García
Marta Vidal
出版
SSRN
, 2022
URL
http://books.google.com.hk/books?id=1NXfzwEACAAJ&hl=&source=gbs_api
註釋
In this paper we examine whether mutual fund managers around the world are able to implement synchronization strategies with respect to different investment styles, a fundamental aspect in the efficient management of an investment portfolio. We also analyze the skills of these managers to properly select stocks that make up their portfolios. For this purpose, we use a sample of equity mutual funds registered in 35 countries around the world for the 1990-2021 period, for our analysis we employ multifactor and conditional versions of the market timing models of Treynor and Mazuy, and Henriksson and Merton. The results obtained are very similar across countries. We find a correct stock selection and synchronization skills with respect to the book-to-market style and a negative ability to synchronize size and 1-year momentum investment styles.
