Title
Evidence Of Shifts In Portfolio Asset Composition As A Market Timing Tool
Abstract
Previous research has investigated portfolio timing success by analyzing possible shifts in the beta of professionally managed portfolios. The methodology used by these studies usually involves calculating the betas of portfolios under varing market conditions using ex post holding period yields. Since a portfolio's beta can shift for reasons other than timing efforts, the results and interpretation of this type of analysis are limited. This paper takes a more direct approach to the analysis of timing by analyzing shifts in the asset composition of professionally managed portfolios. The asset composition is first analyzed to determine if portfolio managers are attempting to adjust risk exposure. Any shifts that are identified are compared to the market conditions that existed subsequent to the shift to determine if the shift was appropriate in terms of correct timing. Copyright © 1983, Wiley Blackwell. All rights reserved
Publication Date
1-1-1983
Publication Title
Financial Review
Volume
18
Issue
1
Number of Pages
56-78
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1111/j.1540-6288.1983.tb00135.x
Copyright Status
Unknown
Socpus ID
84984477739 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/84984477739
STARS Citation
Cheney, John M. and Dziuban, C. D., "Evidence Of Shifts In Portfolio Asset Composition As A Market Timing Tool" (1983). Scopus Export 1980s. 36.
https://stars.library.ucf.edu/scopus1980/36