Abstract
ABSTRACT We propose a new measure of individual security timing ability as distinct from (aggregate) market timing ability. Security timing captures the proportion of potential returns generated by the fund manager over an evaluation period. Using a unique database of daily transactions, we examine the extent to which active fund managers are successful in timing their daily security entry and exit decisions. As hypothesized, we find that fund manager out-performance is significantly related to individual security timing. JEL Classification: G23 Keywords: Security Timing, Daily Trading, Performance Evaluation, Institutional Trading * The authors gratefully acknowledge the assistance and support of the Securities Industry Research Centre of Asia-Pacific (SIRCA) for provision of the ASX SEATS data, and the investment managers who provided daily fund trading information used to construct the Portfolio Analytics Database. The identities of the participating investment managers remain strictly confidential. We also thank the Australian Research Council for financial support and David Feldman for comments.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
