Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination

The single-index market model is estimated with market returns from mutual funds. Binary variables are used to determine if the beta coefficients increase during bull markets. If the mutual fund beta coefficients increase during bull markets, for example, this increase indicates the portfolio manager has superior market timing ability. Mutual fund managers with superior market timing ability were not discovered.

[1]  W. Breen,et al.  The Measurement of Portfolio Risk Exposure. , 1973 .

[2]  Stanley Zionts,et al.  The Optimal Portfolio Revision Policy , 1971 .

[3]  Damodar Gujarati,et al.  Use of Dummy Variables in Testing for Equality between Sets of Coefficients in Two Linear Regressions: A Note , 1970 .

[4]  Richard Roll,et al.  A Critique of the Asset Pricing Theory''s Tests: Part I , 1977 .

[5]  J. Cohen,et al.  Investment Analysis and Portfolio Management , 1973 .

[6]  W. Sharpe A Simplified Model for Portfolio Analysis , 1963 .

[7]  F. Fabozzi,et al.  Beta as a Random Coefficient , 1978, Journal of Financial and Quantitative Analysis.

[8]  W. Sharpe CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .

[9]  Robert C. Klemkosky Additional Evidence on the Risk Level Discriminatory Powers of the Wiesenberger Classifications , 1976 .

[10]  Robert C. Klemkosky,et al.  THE PREDICTABILITY OF REAL PORTFOLIO RISK LEVELS , 1978 .

[11]  Jack L. Treynor,et al.  Can mutual funds outguess the market? Harvard Business Review 44 , 1966 .

[12]  F. Fabozzi,et al.  Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions , 1977 .

[13]  Stanley J. Kon,et al.  Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression , 1978 .

[14]  F. Reilly,et al.  Investment Analysis and Portfolio Management , 1979 .

[15]  M. C. Jensen,et al.  Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios , 1969 .