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A power comparison of mutual fund timing and selectivity models under varying portfolio and market conditions

Creator:

Azimi-Zonooz, Aydeen

Abstract:

The goal of this study is to test the accuracy of various mutual fund timing and selectivity models under a range of portfolio managerial skills and varying market conditions. Portfolio returns in a variety of skill environments are generated using a simulation procedure. The generated portfolio returns are based on...

Resource Type:

Dissertation

Full Text:

A power comparison of mutual fund timing and selectivity