Essays in financial economics, timing ability of mutual fund managers

This dissertation explores three different issues regarding mutual funds, consisting of three empirical studies. The first study investigates the evidence for market timing in the Turkish Real Estate Investment Trusts from 2004 to 2014. To this end, twenty-five Real Estate Investment Trusts in Borsa Istanbul are analyzed in three sub-sample periods around the Global Financial Crisis in 2007: Pre Crisis (2004-2006); Crisis (2007-2010) and Post-Crisis (2011-2014). As our findings indicate, there is no evidence that the Turkish Real Estate Investment Trusts have employed effective market timing. The second study examines the market timing abilities of Turkish variable-fund managers during 2011-2016 in a panel data framework, using interaction variables to assess the impact of global emerging-markets portfolio returns, country openness, technology advancement, economic growth, and derivative market size on these. For emerging markets, factors that impact the growth and development of the mutual fund industry may also be relevant. Our results show strong evidence for market timing ability, which increases with economic growth, country openness, global emerging-market portfolio returns, to a smaller extent for derivative market size, and decreases with technology advancement. The third study examines the liquidity timing ability of Turkish variable fund managers during 2011-2018, and how this ability is affected by the environmental factors such as the technological advancement level, the presence of derivatives market, the growth in the overall economy, the level of market openness, and the performance of portfolios for foreign exchange, gold, bond, real estate, and emerging markets. We use interaction variables within a panel data framework. We find strong evidence of liquidity timing ability of mutual fund managers even after controlling for environmental factors. The nature of the interactions for most of the control factors with liquidity timing ability is strongly significant and differs based on the factor.