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• W3100148744 abstract "Purpose This paper investigates the style timing and liquidity style timing vis-à-vis the market, size, value and momentum factors of the actively managed Indian equity mutual funds. Design/methodology/approach We examine the style timing of the funds using the augmented Carhart four-factor model by incorporating timing measures (Treynor and Mazuy; Henriksson and Merton). Based on this, the study explores the four-factor liquidity and volatility style timing exhibited by fund managers. The sample is from April 2000 to March 2018 and spans the volatile 2008 subprime economic crises. The sample comprised 182 actively managed equity funds from various sizes and was considered to be a well-diversified sample. Findings The results of our study provide strong evidence of market liquidity timing in India. No other style timing skills are observed in our analysis. Our results also imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions. Research limitations/implications The findings of our study imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions. Originality/value This study, to our knowledge, is the first attempt to investigate the portfolio-based style timing in the Indian context." @default.
• W3100148744 created "2020-11-23" @default.
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• W3100148744 date "2020-11-10" @default.
• W3100148744 modified "2023-09-27" @default.
• W3100148744 title "Do mutual fund managers' possess style liquidity timing abilities?" @default.
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• W3100148744 doi "https://doi.org/10.1108/ijoem-02-2020-0195" @default.
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