Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/320003 
Year of Publication: 
2019
Series/Report no.: 
CASMEF Working Paper Series No. WP 2019/01
Publisher: 
LUISS Guido Carli, Department of Economics and Finance, Arcelli Centre for Monetary and Financial Studies, Rome
Abstract: 
This paper empirically investigates the performance of market-timing strategies effectively used by investors in Emerging Markets (EMs). We identify short-term determinants of mutual fund flows into EM equity and fixed income, finding a well established flows-performance relation. Hence, we verify whether investors make good timing decisions with a statistic hereafter referred to as “performance gap”. We find that the average performance gap is negative for all funds and equal to -0.06% per month for equity and -0.05% for fixed income. Although gaps remain negative regardless of the investment strategy declared by the fund manager, corporate funds and value funds exhibit the worst timing performance. In order to confirm that our results are effectively driven by the goodness of one or the other strategy, instead than by the actual performance of the market, we simulate a sample of 1,000 funds finding that simulated data are consistent with actual results.
Subjects: 
Market-timing
Mutual funds
Emerging Markets
JEL: 
G1
G2
G4
Document Type: 
Working Paper

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