Electronic Resource
Oxford, UK and Boston, USA
:
Blackwell Publishing Ltd
Journal of business finance & accounting
31 (2004), S. 0
ISSN:
1468-5957
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.0306-686X.2004.00549.x
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