The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset pricing models scaled by conditional...

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

Using estimated CAPM-models portfolio risks of Russian mutual funds are analyzed. Two questions are considered: how did mutual funds portfolio risks change during the crisis and postcrisis periods; did portfolio managers successfully fit the portfolio structure depending on market conditions?...

We use the financial crisis of 2007–2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use of CDS team-managed funds outperform solo-managed funds. This may be due to...

Valuation-based market timing demonstrates greater potential to improve risk-adjusted returns for conservative long-term investors than given credit by Fisher and Statman (2006). On a risk-adjusted basis, market-timing strategies provide comparable returns as a 100 percent stocks buy-and-hold...

In this paper the authors survey financial structure theories, from the start-up point, which is considered Modigliani and Miller’s capital structure irrelevance theorem, to recent theories, such as the pecking order and the market timing theory. For each type of model, a brief overview of the...

This paper is an empirical assessment of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of fifty five mutual...

Using a 57-year global panel of listings on foreign stock exchanges, we identify waves in foreign listing activity at the host market, home market, and industry levels. We observe that the waves in the host market are often due to cross-listing waves in home markets or industries that share a...

This paper develops an alternative interpretation of the observed inverse relation between market-to-book ratio and long term indebtedness based on the market timing theory of capital structure and provides empirical evidence to substantiate the same. Our findings suggest that in the presence of...

Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics. Ignoring the self-reported benchmark introduces biases in the measurement of stock selection and timing components...