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• W2020871288 abstract "Abstract It is well-established in the financial literature that the global performance of mutual fund managers is the result of two skills: selectivity and market timing. This paper examines whether the multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach improves our perception of the global performance of fund managers compared with the unconditional approach and the conditional approach based on instruments. We find strong evidence that the multivariate GARCH method makes mutual fund performance looks better relative to the existent approaches, but this improvement in the global performance does not mean necessarily that mutual funds outperform traditional benchmarks. Indeed, mixed mutual funds yield neutral performance relative to benchmarks, whereas bond mutual funds generate significant positive global coefficients. The strong performance of bond fund managers comes from their ability to pick profitable bonds, not from their ability to time the market. Also, the empirical tests highlight that the best (worst) bond funds in the past remain at the top (bottom) of the ranking in the following years. These findings suggest that the Tunisian bond market presents strong opportunities for sophisticated investors." @default.
• W2020871288 created "2016-06-24" @default.
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• W2020871288 date "2014-05-01" @default.
• W2020871288 modified "2023-09-30" @default.
• W2020871288 title "The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach" @default.
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• W2020871288 doi "https://doi.org/10.1016/j.ribaf.2013.11.003" @default.
• W2020871288 hasPublicationYear "2014" @default.
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