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

Socpus ID

84984477739 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84984477739

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