Prague Economic Papers 2012, 21(2):205-219 | DOI: 10.18267/j.pep.419

Market Timing and Selectivity Performance: A Cross-Sectional Analysis of Malaysian Unit Trust Funds

Soo-Wah Low
Graduate School of Business (UKM-GSB), Universiti Kebangsaan Malaysia (National University of Malaysia), 43600 UKM Bangi Selangor, Malaysia. (swlow@ukm.my).

This study examines the extent to which fund characteristics contributes to explaining fund returns differentiated by managers' stock picking and market timing abilities. The findings show that funds characterized by high exposures to broad market movements have good timing returns but show poor selectivity performance, suggesting the presence of activity specialization among fund managers. It is shown that large funds enhance managers' timing returns, reflecting the efficiencies of large funds in responding to market-wide movements. However, as the size of the fund gets larger, managers find it more challenging to identify worthwhile investments and hence results in poor selectivity performance.

Klíčová slova: unit trust fund, market timing, security selection, fund characteristics, fund performance
JEL classification: G11, G29

Zveřejněno: 1. leden 2012  Zobrazit citaci

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Low, S. (2012). Market Timing and Selectivity Performance: A Cross-Sectional Analysis of Malaysian Unit Trust Funds. Prague Economic Papers, 21(2), 205-219. doi: 10.18267/j.pep.419
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