Journalartikel

Autorenliste: SCHERER, B

Jahr der Veröffentlichung: 1994

Seiten: 187-208

Zeitschrift: Journal of Economics and Statistics

Bandnummer: 213

Heftnummer: 2

ISSN: 0021-4027

DOI Link: https://doi.org/10.1515/jbnst-1994-2130205

Verlag: De Gruyter Brill

Abstract: 
The paper adresses the question, whether german fund managers have been seccesful to outguess the market, applying the Henrikson/Merton (1981) procedure. As with their colleagues abroad, their performance has been poore. Using the german data set is particularly appealing, since legal restrictions did not allow fund managers to hold options in their portfolios. Hence fund returns are not contaminated by artifical timing, via the use of options. However the typical negative correlation between selectivity and timing still holds, causing serious doubts about the validity of the employed model.

Harvard-Zitierstil: SCHERER, B. (1994) TIMING ABILITY OF GERMAN INVESTMENT FUNDS - AN EMPIRICAL-INVESTIGATION, Jahrbücher für Nationalökonomie und Statistik - Journal of Economics and Statistics, 213(2), pp. 187-208. https://doi.org/10.1515/jbnst-1994-2130205

APA-Zitierstil: SCHERER, B. (1994). TIMING ABILITY OF GERMAN INVESTMENT FUNDS - AN EMPIRICAL-INVESTIGATION. Jahrbücher für Nationalökonomie und Statistik - Journal of Economics and Statistics. 213(2), 187-208. https://doi.org/10.1515/jbnst-1994-2130205