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Market Timing (market + timing)
Terms modified by Market Timing Selected AbstractsHedging or Market Timing?THE JOURNAL OF FINANCE, Issue 2 2005Selecting the Interest Rate Exposure of Corporate Debt ABSTRACT This paper examines whether firms are hedging or timing the market when selecting the interest rate exposure of their new debt issuances. I use a more accurate measure of the interest rate exposure chosen by firms by combining the initial exposure of newly issued debt securities with their use of interest rate swaps. The results indicate that the final interest rate exposure is largely driven by the slope of the yield curve at the time the debt is issued. These results suggest that interest rate risk management practices are primarily driven by speculation or myopia, not hedging considerations. [source] Market Timing and Capital StructureTHE JOURNAL OF FINANCE, Issue 1 2002Malcolm Baker It is well known that firms are more likely to issue equity when their market values are high, relative to book and past market values, and to repurchase equity when their market values are low. We document that the resulting effects on capital structure are very persistent. As a consequence, current capital structure is strongly related to historical market values. The results suggest the theory that capital structure is the cumulative outcome of past attempts to time the equity market. [source] Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAsTHE JOURNAL OF FUTURES MARKETS, Issue 11 2009Hossein Kazemi This study uses a set of return-based factors to explore market (return and volatility) timing ability of commodity trading advisors (CTAs). Unlike previous research, we use return-based factors that are related to the futures markets in which most CTAs trade. This leads to higher explanatory power for our multifactor model. Our approach allows us to test for the presence of market timing in multiple markets. Accordingly, we are able to identify the markets in which CTAs may have market timing ability. We find that systematic CTAs are generally more skilled at market timing than discretionary CTAs, with the latter having slightly better overall risk-adjusted performance during our study period: January 1994 to December 2004. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1067,1099, 2009 [source] Short-run Returns around the Trades of Corporate Insiders on the London Stock ExchangeEUROPEAN FINANCIAL MANAGEMENT, Issue 1 2002Sylvain Friederich Previous work examined the long-run profitability of strategies mimicking the trades company directors in the shares of their own company, as a way of testing for market efficiency. The current paper examines patterns in abnormal returns in the days around these trades on the London Stock Exchange. We find movements in returns that are consistent with directors engaging in short-term market timing. We also report that some types of trades have superior predictive content over future returns. In particular, medium-sized trades are more informative for short-term returns than large ones, consistent with Barclay and Warner's (1993) ,stealth trading' hypothesis whereby informed traders avoid trading in blocks. Another contribution of this study is to properly adjust the abnormal return estimates for microstructure (spread) transactions costs using daily bid-ask spread data. On a net basis, we find that abnormal returns all but disappear. [source] Mutual Fund Performance: Measurement and Evidence1FINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 2 2010Keith Cuthbertson C15; G11; C14 The paper provides a critical review of empirical findings on the performance of mutual funds, mainly for the US and UK. Ex-post, there are around 0-5% of top performing UK and US equity mutual funds with truly positive-alpha performance (after fees) and around 20% of funds that have truly poor alpha performance, with about 75% of active funds which are effectively zero-alpha funds. Key drivers of relative performance are, load fees, expenses and turnover. There is little evidence of successful market timing. Evidence suggests past winner funds persist, when rebalancing is frequent (i.e., less than one year) and when using sophisticated sorting rules (e.g., Bayesian approaches) - but transactions costs (load and advisory fees) imply that economic gains to investors from winner funds may be marginal. The US evidence clearly supports the view that past loser funds remain losers. Broadly speaking results for bond mutual funds are similar to those for equity funds. Sensible advice for most investors would be to hold low cost index funds and avoid holding past ,active' loser funds. Only sophisticated investors should pursue an active ex-ante investment strategy of trying to pick winners - and then with much caution. [source] Attribution of investment performance: an analysis of Australian pooled superannuation funds*ACCOUNTING & FINANCE, Issue 1-2 2001David R. Gallagher This paper evaluates the market timing and security selection capabilities of Australian pooled superannuation funds over the eight-year period from January 1991 to December 1998. Evaluation of both components of investment performance is surprisingly scarce in the Australian literature despite active investment managers engaging in both market timing and security selection. The paper also evaluates performance for the three largest asset classes within diversified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated. This paper employs performance benchmarks that account for the multi-sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. Consistent with U.S. literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill. [source] Indexing, cointegration and equity market regimesINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2005Carol Alexander Abstract This paper examines, from a market efficiency perspective, the performance of a simple dynamic equity indexing strategy based on cointegration. A consistent ,abnormal' return in excess of the benchmark is demonstrated over different time horizons and in different real world and simulated stock markets. A measure of stock price dispersion is shown to be a leading indicator for the abnormal return and their relationship is modelled as a Markov switching process of two market regimes. We find that the entire abnormal return is associated with the high volatility regime as the indexing model implicitly adopts a strategic position that pays off during market crashes, whilst effectively tracking the benchmark in normal market circumstances. Therefore we find no evidence of market inefficiency. Nevertheless our results have implications for equity fund managers: we show how, without any stock selection, solely through a smart optimization that has an implicit element of market timing, the benchmark performance can be significantly enhanced. Copyright © 2005 John Wiley & Sons, Ltd. [source] How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades?INTERNATIONAL REVIEW OF FINANCE, Issue 3-4 2006Evidence from Japan ABSTRACT We investigate the gains and losses from equity trades of individual investors, various institutional investors, and foreign investors in the Tokyo Stock Exchange. We develop a trade-weighted performance measure and examine the impact of trading intervals, price spreads, and market timing on performance. We find that different investor types gain or lose from different sources. For example, we discover that individual investors have poor market timing ability but potentially gain during short-run trading intervals as their average sell price is consistently higher than the average purchase price. In contrast, we find that foreign investors consistently generate gains from trade due to good market timing, although their average sell price is lower than the average purchase price. Also, we find that foreign investors extract significant portion of their gains by trading against Japanese institutional investors when Japanese investors trade before their fiscal-year end. [source] Post-IPO Operating Performance, Venture Capital and the Bubble YearsJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2007Jerry Coakley Abstract:, We analyse the post-issue operating performance of 316 venture-backed and 274 non-venture UK IPOs 1985,2003. The finding of a statistically significant five-year, operational decline exhibited over the full sample period is not robust. Rather it is driven by the dramatic underperformance during the 1998,2000 bubble years while IPOs perform normally in the remaining years. Cross-section regression results indicate support for venture capital certification in the non-bubble years but a significantly negative relationship between operating performance and venture capitalist board representation during the bubble years. The bubble year underperformance is explained by market timing and by low quality companies taking advantage of investor sentiment. [source] Why Do Firms Issue Equity?THE JOURNAL OF FINANCE, Issue 1 2007AMY DITTMAR ABSTRACT We develop and test a new theory of security issuance that is consistent with the puzzling stylized fact that firms issue equity when their stock prices are high. The theory also generates new predictions. Our theory predicts that managers use equity to finance projects when they believe that investors' views about project payoffs are likely to be aligned with theirs, thus maximizing the likelihood of agreement with investors. Otherwise, they use debt. We find strong empirical support for our theory and document its incremental explanatory power over other security-issuance theories such as market timing and time-varying adverse selection. [source] Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAsTHE JOURNAL OF FUTURES MARKETS, Issue 11 2009Hossein Kazemi This study uses a set of return-based factors to explore market (return and volatility) timing ability of commodity trading advisors (CTAs). Unlike previous research, we use return-based factors that are related to the futures markets in which most CTAs trade. This leads to higher explanatory power for our multifactor model. Our approach allows us to test for the presence of market timing in multiple markets. Accordingly, we are able to identify the markets in which CTAs may have market timing ability. We find that systematic CTAs are generally more skilled at market timing than discretionary CTAs, with the latter having slightly better overall risk-adjusted performance during our study period: January 1994 to December 2004. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1067,1099, 2009 [source] Improving Market Selection for Fed Beef Cattle: The Value of Real-Time Ultrasound and Relations DataCANADIAN JOURNAL OF AGRICULTURAL ECONOMICS, Issue 1 2004Allan M. Walburger The introduction of value-based marketing has provided the industry with the means to price cattle based on their desired attributes and has provided an alternative marketing channel for producers to select. Gains can be made by selecting animals that will be "in the grid" for value-based marketing channels while screening out animals that won't and sending them to dressed-value or live-weight marketing channels. This study estimates the gains from using real-time ultrasound (RTU) as well as information on graded animal relations (i.e., animals that have the same parentage slaughtered and graded in previous years) to predict carcass quality and yield grades prior to slaughter. These predictions are used in an optimization model designed to select the marketing channel for individual animals that will maximize returns. The optimal marketing strategy from this study involves a mix of live-weight, dressed-weight and grid sales methods rather than marketing all of the animals together. The results suggest that increases in returns in the range of $0.61,27.26 per head from using relations data, $9.04-16.75 per head from using RTU measures and $11.27-27.93 per head from using both to selectively market beef animals. These estimates do not account for the gains that could be obtained from using RTU to improve market timing, i.e., to time when the animal will grade best. L'avènement du marketing en fonction de la valeur du produit a permis à l'industrie de fixer le prix des bovins d'après les paramètres recherchés et a créé une nouvelle filière commerciale pour les éleveurs. En effet, ces derniers peuvent accroître leurs revenus en choisissant les animaux qui présentent les caractéristiques souhaitées et en confinant ceux qui ne les possèdent pas aux filières qui se contentent du poids de la carcasse ou du poids vif. L'auteur a estimé les gains réalisables lorsqu'on recourt aux relevés aux ultrasons en temps réel (RUTR) et aux données sur les parents de l'animal classés antérieurement (à savoir, les sujets abattus et classés dans le passé qui présentent un lien avec l'animal auquel on s'intéresse) pour prévoir la qualité de la carcasse et la catégorie de rendement avant l'abattage. Il a ensuite appliqué ces prévisions à un modèle d'optimisation permettant d'établir à quelle filière affecter les animaux en vue d'en tirer le meilleur revenu. Cette stratégie d'optimisation commerciale fait appel à diverses méthodes de vente (poids vif, carcasse, en grille) plutôt qu'à une mise en marché globale des animaux. Les résultats indiquent que l'usage des données sur la filiation pour commercialiser les animaux de manière sélective accroît les revenus de 10,61 $à 27,26 $ par tête, contre 9,04 $à 16,75 $ par tête pour les RUTR et de 11,27 $à 27,93 $ par tête pour les deux méthodes combinées. Ces estimations ne tiennent pas compte des gains réalisables lorsqu'on se sert des RUTR pour déterminer le moment idéal où mettre en marché l'animal, à savoir celui où il obtiendra le meilleur classement. [source] | ||||||||||