A Kalman filter approach to Chinese mutual funds' market timing abilities

• Main Author: Won, Kyungsub
• Other Authors: Qifei ZHU
• Format: Thesis-Master by Research
• Language: English
• Published: Nanyang Technological University 2020
• Subjects: Business::Finance::Funds
• Online Access: https://hdl.handle.net/10356/144739
• Institution: Nanyang Technological University

This paper examines the Kalman filter model’s abilities to capture the market timing skills of Chinese mutual fund managers. The Kalman filter approach provides a useful measure of timing skills since it allows for estimation of time series of portfolio beta. Using this measure, I compare the per...