Lee, Cheng Few; Rahman, Shafiqur - In: The Journal of Business 63 (1990) 2, pp. 261-78
This article empirically examines market timing and selectivity performance of a sample of mutual funds. It uses a very simple regression technique to separate stock selection ability from timing ability. This technique, first suggested by Treynor and Mazuy and later refined by Bhattacharya and...