Market Timing Ability of Long Term Equity Fund

Abstract

The objective of this study is to study market timing ability of Long-Term Equity Fund which were divided by dividend-payment and non-dividend-payment policy. Using the models of Treynor & Mazuy (1966) and Henriksson & Merton (1981) by collecting secondary data on the net asset value of the mutual fund, one-year Treasury bills and government bonds, and the Stock Exchange of Thailand index from January 2015 to December 2019,  data of 53 funds were collected.

The results show that Long Term Equity Fund studied by the Treynor & Mazuy model in the case of dividends and non-dividend payment policy are found that there were 9 funds and 1 fund, respectively, which were capable of both market timing and selecting. Long Term Equity Fund as studied by The Henriksson & Merton model for dividends and non-dividend shows that there are 10 funds and 1 fund, respectively, which are capable of both timing investment and stock selection