Holmes, Kathryn A.; Faff, Robert W. - In: Journal of Business Finance & Accounting 31 (2004-04) 3-4, pp. 539-578
Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in...