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To authenticate to the full-text of this article, please visit this link: http://dx.doi.org/10.1111/j.1468-5957.2009.02157.x Byline: Keith Cuthbertson (1), Dirk Nitzsche (1), Niall O'Sullivan (1) Keywords: mutual funds performance; market timing Abstract: Abstract: We apply a recent nonparametric methodology to test the market timing skills of UK equity and balanced mutual funds. The methodology has a number of advantages over the widely used regression based tests of Treynor-Mazuy (1966) and Henriksson-Merton (1981). We find a relatively small number of funds (around 1%) demonstrate positive market timing ability at a 5% significance level while around 19% of funds exhibit negative timing and on average funds miss-time the market. However, controlling for publicly available information we find very little evidence of market timing ability based on private timing signals. In terms of investment styles, there are a small number of successful positive market timers amongst Equity Income and 'All Company' funds but not among either Small Stock funds or Balanced funds, although a few small stock funds are found to time a small stock index rather than a broad market index. Author Affiliation: (1)The first and second authors are from Cass Business School, City University, London. The third author is from the Department of Economics, University College Cork, Ireland. They gratefully acknowledge the provision of mutual fund data by the Investment Research Partnership (http://www.tirp.co.uk). They also acknowledge the use of the data provided under licence from Morningstar UK. They are grateful for financial support from the Irish Research Council for the Humanities and Social Sciences (IRCHSS) and thank anonymous referees for helpful comments and suggestions. Main programmes use Gauss[trademark]. Article History: (Paper received December 2006, revised version accepted April 2009) Article note: (*) Address for correspondence: Keith Cuthbertson, Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, UK., e-mail: k.cuthbertson@city.ac.uk.

To purchase or authenticate to the full-text of this article, please visit this link: http://dx.doi.org/10.1111/j.1468-5957.2006.02001.x Byline: Don Bredin (1), Stuart Hyde (1), Dirk Nitzsche (1), Gerard O'reilly (1) Keywords: monetary policy; stock market; interest rates Abstract: Abstract: We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary policy on aggregate and sectoral stock returns. The decomposition of unexpected changes in the policy rate is based on futures markets data. Secondly, using a variance decomposition in the spirit of Campbell (1991) we attempt to identity the channels behind the response of stock returns to monetary policy surprises. The variance decomposition results indicate that the monetary policy shock leads to a persistent negative response in terms of future excess returns for a number of sectors. Author Affiliation: (1)The authors are respectively from University College Dublin; University of Manchester; City University; and Central Bank and Financial Services Authority of Ireland. Article History: (Paper received October 2005, revised version accepted September 2006. Online publication February 2007) Article note: (*) Address for correspondence: Don Bredin, School of Business, University College Dublin, Blackrock, Dublin, Ireland., e-mail: don.bredin@ucd.ie

A model for money market interest rates in Germany is presented. Monthly data from 1976 to 1993 are used.

A hypothesis for the term structure of financial instruments in the UK and Germany is tested. According to the hypothesis, in a field of 'k' yield spreads, the cointegration space should be defined by 'k - 1.' Weekly information on UK and German short-dated instruments that have a maturity quotient of up to one year constitute the data. The hypothesis is consistent with the data to a limited extent.

We apply parametric and non-parametric estimates to test market and style timing ability of individual German equity and bond mutual funds using a sample of over 500 equity and 350 bond funds, over the period 1990-2009. For equity funds, both approaches indicate no successful market timers in the 1990-1999 or 2000-2009 periods, but in 2000-2009 the non-parametric approach gives fewer unsuccessful market timers than the parametric approach. There is evidence of successful style timing using the parametric approach, and unsuccessful style timing, particularly in the 2000-2009 period. There is evidence of positive and negative bond timing in the 2000-2009 period. [ABSTRACT FROM AUTHOR]