Market Timing Ability of Indian Mutual Fund Managers: An Empirical Study

There is an ongoing debate among practitioners and academicians on whether portfolio managers are able to earn abnormal returns by effective market timing skills or investment selection. Most of the literature suggests that there is little evidence of having the market timing skills among investment managers. This paper is an attempt to study the market timing ability of Indian Mutual Fund managers for 49 schemes for the period 2003-2013 using Treynor and Mazuy (1966) and Henricksson and Merton (1984) models. The data regarding net asset value on a daily basis was collected from the Capital Line Database. The empirical results indicated that the majority of mutual fund schemes have negative market timing ability. The findings of the research can provide important insight for the investors, portfolio managers, and academics into which mutual funds managers have been able to time the market providing abnormal returns. Further, future researchers may try to investigate the behavioral causes of no market timing among most of the mutual fund schemes affecting adversely the investment objectives of investors and other stakeholders of mutual funds