Table 9 Economic significance of...

Table 9

Economic significance of stock-selection timing during stress periods

Panel A: Equally-weighted portfolios					Panel B: Value-weighted portfolios
	FF6				FF6
UK	6M	12M	18M	24M	6M	12M	18M	24M
Cutoff t = ± 1.96
Positive timers	−0.0025	−0.0044	−0.0073	−0.0085	−0.0039	−0.0055	−0.0078	−0.0112
Negative timers	−0.0047	−0.0061	−0.0092	−0.0108	−0.0054	−0.0089	−0.0096	−0.0124
Positive-Negative	0.0022	0.0017	0.0019	0.0023	0.0015	0.0034	0.0018	0.0012
(t-stat)	(0.18)	(0.15)	(0.17)	(0.21)	(0.13)	(0.30)	(0.16)	(0.09)
FRANCE	6M	12M	18M	24M	6M	12M	18M	24M
Cutoff t = ± 1.96
Positive timers	−0.0052	−0.0068	−0.0082	−0.0117	−0.0033	−0.0091	−0.0099	−0.0146
Negative timers	−0.0081	−0.0074	−0.0099	−0.0137	−0.0037	−0.0080	−0.0102	−0.0172
Positive-Negative	0.0029	0.0006	0.0017	0.0020	0.0004	−0.0011	0.0003	0.0026
(t-stat)	(0.25)	(0.05)	(0.14)	(0.17)	(0.03)	(−0.08)	(0.02)	(0.22)
GERMANY	6M	12M	18M	24M	6M	12M	18M	24M
Cutoff t = ± 1.96
Positive timers	0.0010	0.0006	−0.0012	−0.0045	−0.0024	−0.0042	−0.0119	−0.0163
Negative timers	−0.0034	−0.0049	−0.0065	−0.0105	−0.0086	−0.0098	−0.0165	−0.0192
Positive-Negative	0.0044	0.0055	0.0053	0.0060	0.0062	0.0056	0.0046	0.0029
(t-stat)	(0.38)	(0.47)	(0.45)	(0.51)	(0.54)	(0.48)	(0.40)	(0.25)

Panel A: Equally-weighted portfolios					Panel B: Value-weighted portfolios
	FF6				FF6
UK	6M	12M	18M	24M	6M	12M	18M	24M
Cutoff t = ± 1.96
Positive timers	−0.0025	−0.0044	−0.0073	−0.0085	−0.0039	−0.0055	−0.0078	−0.0112
Negative timers	−0.0047	−0.0061	−0.0092	−0.0108	−0.0054	−0.0089	−0.0096	−0.0124
Positive-Negative	0.0022	0.0017	0.0019	0.0023	0.0015	0.0034	0.0018	0.0012
(t-stat)	(0.18)	(0.15)	(0.17)	(0.21)	(0.13)	(0.30)	(0.16)	(0.09)
FRANCE	6M	12M	18M	24M	6M	12M	18M	24M
Cutoff t = ± 1.96
Positive timers	−0.0052	−0.0068	−0.0082	−0.0117	−0.0033	−0.0091	−0.0099	−0.0146
Negative timers	−0.0081	−0.0074	−0.0099	−0.0137	−0.0037	−0.0080	−0.0102	−0.0172
Positive-Negative	0.0029	0.0006	0.0017	0.0020	0.0004	−0.0011	0.0003	0.0026
(t-stat)	(0.25)	(0.05)	(0.14)	(0.17)	(0.03)	(−0.08)	(0.02)	(0.22)
GERMANY	6M	12M	18M	24M	6M	12M	18M	24M
Cutoff t = ± 1.96
Positive timers	0.0010	0.0006	−0.0012	−0.0045	−0.0024	−0.0042	−0.0119	−0.0163
Negative timers	−0.0034	−0.0049	−0.0065	−0.0105	−0.0086	−0.0098	−0.0165	−0.0192
Positive-Negative	0.0044	0.0055	0.0053	0.0060	0.0062	0.0056	0.0046	0.0029
(t-stat)	(0.38)	(0.47)	(0.45)	(0.51)	(0.54)	(0.48)	(0.40)	(0.25)

Note(s): The table above presents the average abnormal performance of equally-weighted (Panel A) and value-weighted (Panel B) positive and negative stock-selection timing funds over the subsequent 6, 12, 18, and 24 months by using the performance model in Eq. (4) (FF6). At the end of each month, funds are classified as positive or negative timers according to the Newey-West t-statistics of their stock-selection timing coefficients. The timing test is performed using the regression in Eq. (2). The cutoff values used for t-statistics are $\pm$ 1.96. The spreads in performance between positive and negative timers, along with the associated Newey-West t-statistics, are also included. The turbulent period is from January 1, 2020, to December 31, 2024

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