Market timing and selectivity performance of a-type mutual funds in Turkey

Date
2004
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Özlale, Ümit
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Bilkent University
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English
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Abstract

Selectivity and market timing abilities have been investigated as major determinants of the performance measures for mutual fund managers for years. Almost all of these works are done by using the data from developed countries with monthly or yearly frequency. In this study, A-Type mutual fund managers’ abilities are obtained for Turkey, which is an emerging market, encountered with severe economic crises in the last decade. Also, weekly data have been employed to have a clearer picture. Minor evidence about significant selection ability and some evidence about superior market timing quality are found. Also, cross sectional determinants of these abilities are investigated such as management fee ratio, experience and size. Regression results suggest an interesting effect of management fees on these abilities beside expected outcomes of other factors.

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Published Version (Please cite this version)