Market timing abilities of Indian mutual fund managers: an empirical analysis

Abstract

This study is an attempt to evaluate the investment management of Indian mutual funds in terms of the timing abilities of fund managers during May 31, 2000 to March 31, 2012. The study has also adopted conditional performance evaluation measure in order to evaluate performance of Indian mutual funds. The results relating to the market timing skills of fund managers based on unconditional Treynor–Mazuy and Henriksson–Merton models have revealed that majority of the fund managers were unable to time the market correctly during the period under consideration. However, conditioning only on public information improves the coefficient of determination.