- Title
- Style drift and fund performance in up and down markets: Australian evidence
- Creator
- Holmes, Kathryn; Faff, Robert
- Relation
- Applied Financial Economics Letters Vol. 4, Issue 6, p. 395-398
- Publisher Link
- http://dx.doi.org/10.1080/17446540801964439
- Publisher
- Routledge
- Resource Type
- journal article
- Date
- 2008
- Description
- We examine the impact of style drift on the fund performance measures of selectivity and market timing. We find that style drift is positively related to selectivity performance, only when the market is in decline. Flow volatility is positively related to market timing ability during upmarket conditions. In addition, we find that larger funds are superior at stock selection, regardless of market conditions.
- Subject
- syle drift; performance measures; flow volatility; stock selection
- Identifier
- uon:5615
- Identifier
- http://hdl.handle.net/1959.13/43516
- Identifier
- ISSN:1744-6546
- Reviewed
- Hits: 1572
- Visitors: 1551
- Downloads: 0
| Thumbnail | File | Description | Size | Format |
|---|