We conduct a volatility decomposition to identify the source of performance differences between low volatility and high … volatility mutual funds. A higher level of return covariance of fund holdings is associated with more fund-level exposure to the … idiosyncratic volatility effect. Average security-level variance of fund holdings is only weakly associated with idiosyncratic …

whether there is asymmetric volatility under short-sale constraints. Under short-sale constraints, we implement testing the … using asset-allocating strategies. The test results provide evidence that there is asymmetric volatility and increased …

market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …

We investigate both market volatility timing and market liquidity timing for the first time among UK mutual funds. We … find strong evidence that a small percentage of funds time market volatility successfully, i.e., when conditional market … volatility is higher than normal, systematic risk levels are lower. The evidence around market liquidity timing ability is …