Managers’ Stock Selection and Market Timing Ability: Application of unconditional Models in Indian Mutual Fund Industry

Abstract

Research evidence on mutual fund performance is largely focused on its measurement and persistence. Very few studies have been conducted on fund managers’ ability in terms of stock selection and market timing especially in Indian context. Present study has applied both Treynor Mazuy and Henriksson Merton unconditional models on 107 selected equity diversified growth mutual fund schemes from 2011 to 2015. As per study Indian mutual fund managers exhibit positive and significant stock selection ability; and negative and significant market timing ability as per Treynor Mazuy model. As per Henriksson Merton model, fund managers exhibit positive and significant stock selection ability and negative but insignificant market timing ability.