Market Timing And Selectivity: An Empirical Investigation Into The Features Of Greek Mutual Fund Managers

Abstract

<p class="MsoNormal" style="text-align: justify; margin: 0in 31.5pt 0pt 0.5in; mso-pagination: none;"><span style="mso-bidi-font-style: italic; mso-ansi-language: EN-US;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">Τhis paper is an empirical assessment of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of nineteen Greek managers, over a sixty-month period. Empirical evidence does not provide support for correct timing, irrespectively of how the returns of the market index are calculated. It is interesting to note that using the Total Performance Index reduces the ability of managers for selectivity. This result holds for both the models utilized in our study.</span></span></span></p>