There is overwhelming empirical evidence on the existence of country and industry momentum effects. This line of research suggests that investors who buy countries and industries with relatively high past returns and sell countries and industries with relatively low past returns will earn...

We investigate the ability of mutual fund managers to successfully rotate between investment styles based on characteristics such as market capitalization, valuation ratios, and price momentum. We find evidence in favor of market timing among a group of 153 US-based mutual funds with a...

We investigate the ability of mutual fund managers to successfully rotate between investment styles based on characteristics such as market capitalization, valuation ratios, and price momentum. We find evidence in favor of market timing among a group of 153 US-based mutual funds with a...

This paper examines the ability of balanced pension plan managers to successfully time the equity and bond market and select the appropriate assets within these markets. In order to evaluate both market timing abilities in these balanced pension plans, we extend the traditional equity market...

The measuring of market timing abilities in investment portfolios is a relevant and widely analyzed question. Since the traditional parametric methodology can lead to biased results, we apply the nonparametric approach trying to overcome these biases and compare the results obtained by both...

We analyze what a second business degree reveals about the investment behavior of professional investors. Specifically, we compare performance, risk, and style of equity mutual fund managers having a CFA designation and an MBA degree to managers with only one of these qualifications. We document...

A 2010 paper by Kaoru Tone proposes four variants of the slacks-based measure of efficiency (SBM) to overcome the limitations of this well-known Data Envelopment Analysis (DEA) approach when the reference points of the efficient frontier may not be adequate. In this study, we apply these...

This paper empirically examines herding behavior in the strategic style allocations of Spanish pension plan managers. The study uses both the standard metric used in financial literature to capture institutional herding and a new approach to address some shortcomings of this traditional measure....