Market timing by global fund managers

To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.jimonfin.2006.08.007 Byline: Debra A. Glassman (a), Leigh A. Riddick (b) Abstract: We analyze the market timing ability of US global equity fund managers in the late 1980s and early 1990s, before hedge funds became prominent in global investing. We examine both portfolio weights and returns to distinguish between world market timing (movements of funds between all equity markets and cash) and national market timing (movements out of one country's equity market into one or more other countries' equities). We find no evidence of world market timing, but do find evidence of national market timing. Earlier papers examining multi-country fund management find very little evidence of market timing ability, but they do not explicitly consider the difference in world and national timing. Our results suggest that it may be important to capture the distinction between the two types of global timing activity. Our methodology and results may also be pertinent to domestic papers that examine simultaneous movements between asset classes and cash. Author Affiliation: (a) University of Washington Business School, Box 353200, Seattle, WA 98195, USA (b) Kogod School of Business, American University, 4400 Massachusetts Avenue, N.W., Washington, DC 20016-8044, USA