V. Veeravel, S. Mohanasundaram



This study investigates the Market Timing Ability (MTA) of large-cap equity fund managers in India. The extensions of Treynor and Mazuy (TM) model and Henriksson and Merton (HM) model have been used by adding six additional factors related to the public information, 91-days Treasury bill’s yield, the dividend yield on CNX 500 index, term structure of interest rates, the price-to-earnings ratio, yield from foreign exchange rates changes, and growth rate in gold prices. The extended models are termed, conditional models. This study has used time-series data of large-cap equity funds. The results of the conditional and unconditional versions of TM and HM models reveal that the large-cap equity funds as a whole do not possess significant MTA, even though a considerable percentage of the funds under each of the models show significant positive MTA. The study also highlights that the inclusion of the public information variables reconstitutes the impact of the market timing factor and other beta estimates in the model.


large-cap funds; conditional models; public information variables; market timing abilities

Full Text:



AMFI (2020). Association of Mutual Funds in India: Industry Trends,

Bandi, S., & Gupta, P. (2019). Performance of Mutual Funds in Indian Context Evaluation Market Timing Ability and Stock Selection Skills of the Fund Manager. Delhi Business Review, 20(2), 67-78.

Becker, C., Ferson, W., Myers, D.H., & Schill, M.J. (1999). Conditional market timing with benchmark investors. Journal of Financial Economics, 52(1), 119-148.

Bollen, N.P.B., & Busse, J.A. (2001). On the Timing Ability of Mutual Fund Managers. The Journal of Finance Finance, 56(3), 1075-1094.

Bollen, N., & Pool, V.K. (2008). Conditional Return Smoothing in the Hedge Fund Industry. The Journal of Financial and Quantitative Analysis, 43(2), 267-298.

Carhart, M.M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, LII(1), 57-82.

Chang, E.C., & Lewellen, W.G. (1984). Market Timing and Mutual Fund Investment Performance. The Journal of Business, 57(1), 57-72.

Chen, Y., & Liang, B. (2007). Do market timing hedge funds time the market? Journal of Financial and Quantitative Analysis, 42(4), 827-856.

Chopra, M.P. (2011). Do Indian Mutual Fund Managers select the Stock and Time the Market Correctly? IUP Journal of Applied Finance, 17(2), 78-88.

Christensen, M. (2005). Danish Mutual Fund Performance—Selectivity, Market Timing and Persistence. Finance Research Group. Research Group Working Paper, F-2005-1.

Cuthbertson, K., & Nitzsche, D. (2013). Performance, stock selection and market timing of the German equity mutual fund industry. Journal of Empirical Finance, 21(1), 86-101.

Deb, S.G. (2019). Persistence in performance of actively managed equity mutual funds: New Indian evidence. IIMB Management Review, 31(2), 145-156.

Deb, S.G., Banerjee, A., & Chakrabarti, B.B. (2007). Market timing and stock selection ability of mutual funds in India: An empirical investigation. Vikalpa, 32(2), 39-51.

Dhar, J., & Mandal, K. (2014). Market timing abilities of Indian mutual fund managers: An empirical analysis. Decision, 41(3), 299-311.

Elton, E.J., Gruber, M.J., & Blake, C.R. (2012). An examination of mutual fund timing ability using monthly holdings data. Review of Finance, 16(3), 619-645.

Fama, F., & French, R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.

Ferson, W.E., & Schadt, R.W. (1996). Measuring Fund Strategy and Performance in Changing Economic Conditions. The Journal of Finance, 51(2), 425-461.

Ferson, W.E., & Warther, V.A. (1996). Evaluating fund performance in a dynamic market. Financial Analysts Journal, 52(6), 20-28.

Fletcher, J. (1995). An Examination of the Selectivity and Market Timing Performance of UK Unit Trusts. Journal of Business Finance & Accounting, 22(1), 143-156.

Goetzmann, W.N., Ingersoll Jr, J.E., & Ivkovic, Z. (2000). Monthly Measurement of Daily Timers. The Journal of Financial and Quantitative Analysis, 35(3), 257-290.

Grinblatt, M., & Titman, S. (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. The Journal of Business, 62(3), 393-416.

Henriksson, R.D., & Merton, R.C. (1981). On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. The Journal of Business, 54(4), 513-533.

Ippolito, R.A. (1986). Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965-1984. The Quarterly Journal of Economics, 104(1), 1-23.

Jagannathan, R., & Korajczyk, R.A. (1986). Assessing the Market Timing Performance of Managed Portfolios. The Journal of Business, 59(2), 217-235.

Jensen, M.C. (1968). The Performance of Mutual Funds in the Period 1945-1964. The Journal of Finance, 23(2), 389-416.

Jiang, W. (2003). A nonparametric test of market timing. Journal of Empirical Finance, 10(4), 399-425.

Kon, S.J., & Jen, F.C. (1979). The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency. The Journal of Business, 52(2), 263-289.

Lee, C.-F., & Rahman, S. (1990). Market Timing , Selectivity , and Mutual Fund Performance: An Empirical Investigation. The Journal of Business, 63(2), 261-278.

Mohanti, D., & Priyan, P.K. (2018). Style-exposure analysis of large-cap equity mutual funds in India. IIMB Management Review, 30, 219-228.

Pesaran, M.H., & Timmermann, A. (1995). Predictability of Stock Returns: Robustness and Economic Significance. Journal of Finance, 50(4), 1201-1228.

Sehgal, S., & Babbar, S. (2017). Evaluating alternative performance benchmarks for Indian mutual fund industry. Journal of Advances in Management Research, 14(2), 222-250.

Sehgal, S., & Jhanwar, M. (2008). On Stock Selection Skills and Market Timing Abilities of Mutual Fund Managers in India. International Research Journal of Finance and Economics, 15(15), 307-317.

Sharpe, W.F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119-138.

Treynor, J.L. (1965). How to rate management of investment funds. Harvard Business Review, 43, 63-75.

Treynor, J. L., & Mazuy, K. (1966). Can Mutual Funds Outguess the Market? Harvard Business Review, 4, 131-136.

Tripathy, N.P. (2005). An empirical evaluation of market timing abilities of Indian fund managers on equity linked savings scheme. Delhi Business Review, 6(2), 19-27.

Tripathy, N.P. (2006). Market Timing Abilities and Mutual Fund Performance-An Empirical Investigation into Equity Linked Saving Schemes. Vilakshan, XIMB Journal of Management, 127-138.

ISSN 2300-1240 (print)
ISSN 2300-3065 (online)

Partnerzy platformy czasopism