Journal article

Authors list: SCHERER, B

Publication year: 1994

Pages: 187-208

Journal: Journal of Economics and Statistics

Volume number: 213

Issue number: 2

ISSN: 0021-4027

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

Publisher: 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 Citation style: 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 Citation style: 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