Search results

The purpose of this study is to examine the market‐timing ability of mutual fund flows and how fund investors conduct asset allocation in response to market volatility.

The paper compares the abnormal returns of net inflow funds with those of net outflow funds, and it explores the performance gap between them based on a model that incorporates both market return timing and market volatility timing. The asset allocation pattern of fund investors and its relation to market volatility are also investigated.

This study finds that funds that receive net money inflows fail to earn risk‐adjusted abnormal returns, while funds with net outflows earn statistically significant negative abnormal returns. Neither the net inflow funds nor the net outflow funds show any ability to time the market return, but there is some evidence that net inflow funds exhibit an ability to time market volatility. Because cash holdings of the net outflow funds are much lower than that of the net inflow funds, it is concluded that the underperformance of net outflow funds is to an extent an asset fire sale.

The study results show that fund investors on the whole are driven by market volatility, and they do not have an ability to time the market return. The results do not exclude the possibility that a small number of investors possess market timing skills.

The study demonstrates the importance of funds' liquidity management through investor reaction to dynamic market conditions.

The current and ongoing controversy that has come to be known as the “Mutual Fund Scandal of 2003” was based in large part on abusive market timing activities that were allowed to occur in select mutual funds. There are many ways in which amarket timer can steal profits through short‐term trading activities but the primary opportunity arises in those mutual funds that invest in foreign shares of stock. This 2004 article looks at a sampling of those mutual funds that invest in companies based in the United Kingdom and evaluates the potential for abusive market‐timing activities.

This is the first article to apply a machine learning approach to the analysis of time on market on real estate markets.

The random survival forest approach is introduced to the real estate market. The most important predictors of time on market are revealed and it is analyzed how the survival probability of residential rental apartments responds to these major characteristics.

Results show that price, living area, construction year, year of listing and the distances to the next hairdresser, bakery and city center have the greatest impact on the marketing time of residential apartments. The time on market for an apartment in Munich is lowest at a price of 750 € per month, an area of 60 m2, built in 1985 and is in a range of 200–400 meters from the important amenities.

The findings might be interesting for private and institutional investors to derive real estate investment decisions and implications for portfolio management strategies and ultimately to minimize cash-flow failure.

Although machine learning algorithms have been applied frequently on the real estate market for the analysis of prices, its application for examining time on market is completely novel. This is the first paper to apply a machine learning approach to survival analysis on the real estate market.

Good market timing skills can be an important factor contributing to hedge funds’ outperformance. In this chapter, we use a unique semiparametric panel data model capable of providing consistent short period estimates of the return correlations with three market factors for a sample of Long/Short equity hedge funds. We find evidence of significant market timing ability by fund managers around market crisis periods. Studying the behavior of individual fund managers, we show that at the 10% significance level, 17.12% of funds exhibit good linear timing skills and 21.32% of funds possess some level of good nonlinear market timing skills. Further, we find that market timing strategies of hedge funds are different in good and bad markets, and that a significant number of managers behave more conservatively when the market return is expected to be far above average and more aggressively when the market return is expected to be far below average. We find that good market timers are also likely to possess good stock selection skills.

According to the market timing theory, firms try to take advantage of windows of opportunity to raise capital by exploiting temporary cost fluctuations of alternative financing sources. In this context, the main objective of this paper is to examine the influence and persistence of market timing in the financing decisions of Brazilian firms that launched IPOs in the period from 2001 to 2011.

We analyze the influence of past market values on the capital structure of these firms, based on the main models proposed by Baker and Wurgler (2002), adapted to reflect the characteristics of Brazilian firms’ financial statements.

We find evidence of market timing, but this behavior is not sufficiently persistent in the period studied to the point of determining these firms’ capital structure. We believe the fact that Brazilian companies rarely carried out follow-on primary equity issues after floating their capital in the period analyzed, due to the presence of more advantageous financing sources (particularly from the national development bank, BNDES), explains the results. Therefore, Brazilian firms appear to be pay heed to different funding sources, in search of windows of opportunity, to guide their financing decisions and determine their capital structures.

The Brazilian capital market has been developing intensely in recent years, making it increasingly relevant to analyze the financing and investment decisions of the country’s listed companies. The Brazilian literature on capital structure is extensive, but few works have addressed the issue of market timing.

The essential investments in new product development (NPD) made by industrial companies entail effective management of NPD activities. In this context, performance measurement is one of the means that can be employed in the pursuit of effectiveness.

The Bureau of Economics in the Federal Trade Commission has a three-part role in the Agency and the strength of its functions changed over time depending on the preferences and ideology of the FTC’s leaders, developments in the field of economics, and the tenor of the times. The over-riding current role is to provide well considered, unbiased economic advice regarding antitrust and consumer protection law enforcement cases to the legal staff and the Commission. The second role, which long ago was primary, is to provide reports on investigations of various industries to the public and public officials. This role was more recently called research or “policy R&D”. A third role is to advocate for competition and markets both domestically and internationally. As a practical matter, the provision of economic advice to the FTC and to the legal staff has required that the economists wear “two hats,” helping the legal staff investigate cases and provide evidence to support law enforcement cases while also providing advice to the legal bureaus and to the Commission on which cases to pursue (thus providing “a second set of eyes” to evaluate cases). There is sometimes a tension in those functions because building a case is not the same as evaluating a case. Economists and the Bureau of Economics have provided such services to the FTC for over 100 years proving that a sub-organization can survive while playing roles that sometimes conflict. Such a life is not, however, always easy or fun.

The study assess the selection ability and market timing skills of mutual fund and unit trust managers in Ghana.

The study uses an improved survivorship bias-free dataset of yearly after-fee returns of all mutual funds and unit trusts operating in Ghana from January 2011 to December 2019, cumulating in nine years of quantitative fund data. The authors assess Mutual funds and Unit trusts that ever existed, “alive” or “dead,” over the sample period in the study. The authors construct factor loadings to enable the application of multifactor models in the analysis. The authors apply the unconditional versions of the Jensen alpha, Fama-French three-factor, and Carhart four-factor models to determine the selection ability and market timing skills of 32 mutual funds and 17 unit trusts. The authors deploy HAC-consistent robust standard errors to the OLS estimations to subdue the effect of heterogeneity and autocorrelation.

The results indicate that, on average, mutual funds and unit trust managers possess market timing skills but no selection ability. When the results are decomposed into fund types, fixed-income and balanced mutual fund managers possess selection ability and market timing skills.

To the authors' best knowledge, this study is the earliest to examine the selection ability and market timing skills of both mutual fund and unit trust managers in Sub-Saharan Africa (SSA). It is also the earliest to construct factor loadings for the Ghana stock market.

This study aims to explore how brands use brand personification techniques in real-time marketing on social media, particularly Twitter, and examine how these techniques impact consumer engagement, moderated by brand-event congruence levels.

Data included 464 tweets posted by 95 brands around three large events in 2019. The types of brand personification techniques and the level of brand-event congruence applied by the tweets were content-analyzed, and regression analyses were conducted to examine their linkages to consumer engagement metrics.

Results confirmed the use of diverse personification techniques in brands’ real-time marketing tweets as in the previous literature. The study also revealed a new personification technique, tacit expression, not reported in previous literature. The study also showed that the overall effectiveness of multimedia-based (vs caption-based) personification techniques in increasing consumer engagement on social media was greater, but their relative effectiveness varied depending on whether or not the event was functionally congruent with the brand.

The findings offer valuable suggestions to brand managers regarding prioritizing brand personification techniques and aligning brands’ social media marketing with real-time events to maximize the effectiveness of real-time marketing in boosting consumer engagement.

This research offers insights into the dynamic effects of different brand personification techniques in the new context of real-time marketing, extending the scope of literature on brand personification and anthropomorphism. The revelation of a new type of brand personification not captured in the extant literature is also a significant contribution.