A Structural Model of Dynamic Market Timing

• 成果类型: Article
• 署名作者: Detemple, Jerome; Rindisbacher, Marcel
• 署名单位: Boston University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht028
• 发表日期: 2013
• 页码: 2492
• 关键词: ECONOMIC VALUE; INVESTMENT PERFORMANCE; FUND PERFORMANCE; Mutual funds; Hedge funds; portfolio; INFORMATION; strategies; FORMULA; RISK

摘要

This paper derives and analyzes dynamic timing strategies of a fund manager with private information. Endogenous timing strategies generated by various information structures and skills, and associated fund styles, are identified. Endogenous fund returns are characterized in the public information of an uninformed observer. Timing components are identified. The paper provides foundations for regression analyses of fund returns and tests of market timing.