Journal of Applied Sciences1812-56541812-5662Asian Network for Scientific Information10.3923/jas.2009.1776.1780Matallin-SaezJuan C. 9200999The objective and contribution of this study is to analyse
market timing over non-simultaneous periods. This approach considers that
decisions on portfolio risk could affect the fund return in subsequent
periods and not only the simultaneous period. Robust estimates of changes
in beta are computed by Kalman filtering. Initial results for a sample
of Spanish mutual funds do not evidence market timing ability in general,
although a higher number of funds, particularly larger funds, present
negative timing. The study shows how the evidence of negative timing is
more robust and persistent for a longer term window. For shorter terms
the evidence is driven by an omitted benchmark bias from negative timing
of small cap stocks. A comparison of these results with those achieved
by a set of passive benchmarks following a buy and hold strategy demonstrates
that the long term evidence of negative timing in mutual funds is the
result of management contrary to a buy-and-hold strategy.]]>Barone-Adesi, G., P. Gagliardini and G. Urga, 200422474485Bollen, N.P.B. and J.A. Busse, 20015610751094Brooks, R., R. Faff and M. Mckenzie, 199823122Ciriaco, A. and R. Santamaria,200529525573Ferruz, L. and J. Sarto, 200432273284Ferruz, L., I. Marco and J. Sarto, 20055988998Ferson, W. and R. Schadt, 199651425461Goetzmann, W., J. Ingersoll and Z. Ivkovich, 200035257290Harvey, C. and A. Siddique, 20005512631295Henriksson, R.D. and R.C. Merton, 198154513533Holmes, K. and R. Faff, 200433539578Koopman, S., N. Shephard and J. Doornik, 19992113166Marín, J. and G. Rubio, 20011st Edn.,Martinez, M., 20039199218Matallín, J. and A. Fernandez,20033518291837Matallin, J., 20051733543375Matallin, J., 20082008Mckenzie, M., R. Brooks and R. Faff, 20001091106Newey, W and D. West, 198755703708Wells, C., 19961st Edn.,Benos, E. and M. Jochec,20082008