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- W2279053516 abstract "The market timing ability of fund managers remains a major research issue in finance. In the Australian context greater personal responsibility is now required for retirement incomes via superannuation fund investments of individuals. Accordingly the performance of these funds is an issue of major public policy importance. This paper extends the previous literature by exploring the market timing ability of Australian superannuation funds using the class of non-linear smooth transition models. The paper develops a tiered definition of market timing ability in terms of strong form, mild form and weak form. The analysis shows that the conventional models used to measure market timing ability of Treynor and Mazuy (1966) and Henriksson and Merton (1981) and Merton (1981) are appropriate for measuring market timing ability. Consistent with the previous literature we find only limited evidence in support of strong market timing ability." @default.
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- W2279053516 date "2006-01-01" @default.
- W2279053516 modified "2023-09-27" @default.
- W2279053516 title "The Market Timing Ability of Australian Superannuation Funds: Nonlinearities and Smooth Transition Models" @default.
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- W2279053516 doi "https://doi.org/10.2139/ssrn.885975" @default.
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