Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/223419 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
CFR Working Paper No. 20-06
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with stable factor exposures by 147 basis points p.a. This underperformance is neither explained by volatile factor loadings of a fund's equity holdings nor driven by a fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time factors, but they are unsuccessful at doing so.
Schlagwörter: 
Mutual Fund
Market Timing
Factor Timing
Factor Exposure
Kalman Filter
Underperformance
JEL: 
G11
G14
G20
G23
Dokumentart: 
Working Paper

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