Selection ability and market timing skills of mutual fund and unit trust managers in a developing economy: evidence from Ghana
Purpose – The study assess the selection ability and market timing skills of mutual fund and unit trust managers in Ghana. Design/methodology/approach – The study uses an improved survivorship bias-free dataset of yearly after-fee returns of all mutual funds and unit trusts operating in Ghana from J...
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2023-10-01
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| Series: | Business Analyst |
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| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/BAJ-09-2022-0028/full/pdf |
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| author | Richard Danquah Baorong Yu |
| author_facet | Richard Danquah Baorong Yu |
| author_sort | Richard Danquah |
| collection | DOAJ |
| description | Purpose – The study assess the selection ability and market timing skills of mutual fund and unit trust managers in Ghana. Design/methodology/approach – The study uses an improved survivorship bias-free dataset of yearly after-fee returns of all mutual funds and unit trusts operating in Ghana from January 2011 to December 2019, cumulating in nine years of quantitative fund data. The authors assess Mutual funds and Unit trusts that ever existed, “alive” or “dead,” over the sample period in the study. The authors construct factor loadings to enable the application of multifactor models in the analysis. The authors apply the unconditional versions of the Jensen alpha, Fama-French three-factor, and Carhart four-factor models to determine the selection ability and market timing skills of 32 mutual funds and 17 unit trusts. The authors deploy HAC-consistent robust standard errors to the OLS estimations to subdue the effect of heterogeneity and autocorrelation. Findings – The results indicate that, on average, mutual funds and unit trust managers possess market timing skills but no selection ability. When the results are decomposed into fund types, fixed-income and balanced mutual fund managers possess selection ability and market timing skills. Originality/value – To the authors' best knowledge, this study is the earliest to examine the selection ability and market timing skills of both mutual fund and unit trust managers in Sub-Saharan Africa (SSA). It is also the earliest to construct factor loadings for the Ghana stock market. |
| format | Article |
| id | doaj-art-1c6528c76c8f489ba18a88a978443e36 |
| institution | Kabale University |
| issn | 0973-211X 2754-6721 |
| language | English |
| publishDate | 2023-10-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Business Analyst |
| spelling | doaj-art-1c6528c76c8f489ba18a88a978443e362025-02-03T14:29:22ZengEmerald PublishingBusiness Analyst0973-211X2754-67212023-10-0144111410.1108/BAJ-09-2022-0028Selection ability and market timing skills of mutual fund and unit trust managers in a developing economy: evidence from GhanaRichard Danquah0Baorong Yu1School of Insurance and Economics, University of International Business and Economics, Beijing, ChinaSchool of Insurance and Economics, University of International Business and Economics, Beijing, ChinaPurpose – The study assess the selection ability and market timing skills of mutual fund and unit trust managers in Ghana. Design/methodology/approach – The study uses an improved survivorship bias-free dataset of yearly after-fee returns of all mutual funds and unit trusts operating in Ghana from January 2011 to December 2019, cumulating in nine years of quantitative fund data. The authors assess Mutual funds and Unit trusts that ever existed, “alive” or “dead,” over the sample period in the study. The authors construct factor loadings to enable the application of multifactor models in the analysis. The authors apply the unconditional versions of the Jensen alpha, Fama-French three-factor, and Carhart four-factor models to determine the selection ability and market timing skills of 32 mutual funds and 17 unit trusts. The authors deploy HAC-consistent robust standard errors to the OLS estimations to subdue the effect of heterogeneity and autocorrelation. Findings – The results indicate that, on average, mutual funds and unit trust managers possess market timing skills but no selection ability. When the results are decomposed into fund types, fixed-income and balanced mutual fund managers possess selection ability and market timing skills. Originality/value – To the authors' best knowledge, this study is the earliest to examine the selection ability and market timing skills of both mutual fund and unit trust managers in Sub-Saharan Africa (SSA). It is also the earliest to construct factor loadings for the Ghana stock market. https://www.emerald.com/insight/content/doi/10.1108/BAJ-09-2022-0028/full/pdfSelection abilityMarket timing skillsMutual fundUnit trustPerformanceUnconditional multifactor models |
| spellingShingle | Richard Danquah Baorong Yu Selection ability and market timing skills of mutual fund and unit trust managers in a developing economy: evidence from Ghana Business Analyst Selection ability Market timing skills Mutual fund Unit trust Performance Unconditional multifactor models |
| title | Selection ability and market timing skills of mutual fund and unit trust managers in a developing economy: evidence from Ghana |
| title_full | Selection ability and market timing skills of mutual fund and unit trust managers in a developing economy: evidence from Ghana |
| title_fullStr | Selection ability and market timing skills of mutual fund and unit trust managers in a developing economy: evidence from Ghana |
| title_full_unstemmed | Selection ability and market timing skills of mutual fund and unit trust managers in a developing economy: evidence from Ghana |
| title_short | Selection ability and market timing skills of mutual fund and unit trust managers in a developing economy: evidence from Ghana |
| title_sort | selection ability and market timing skills of mutual fund and unit trust managers in a developing economy evidence from ghana |
| topic | Selection ability Market timing skills Mutual fund Unit trust Performance Unconditional multifactor models |
| url | https://www.emerald.com/insight/content/doi/10.1108/BAJ-09-2022-0028/full/pdf |
| work_keys_str_mv | AT richarddanquah selectionabilityandmarkettimingskillsofmutualfundandunittrustmanagersinadevelopingeconomyevidencefromghana AT baorongyu selectionabilityandmarkettimingskillsofmutualfundandunittrustmanagersinadevelopingeconomyevidencefromghana |