Conditional market timing with benchmark investors

• 成果类型: Article
• 署名作者: Becker, C; Ferson, W; Myers, DH; Schill, MJ
• 署名单位: University of Washington; University of Washington Seattle; National Bureau of Economic Research; University of California System; University of California Riverside
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00006-9
• 发表日期: 1999
• 页码: 119-148
• 关键词: mutual funds; Market timing; INVESTMENT MANAGEMENT; conditional performance evaluation

摘要

This paper tests models of mutual fund market timing that allow the manager's payoff function to depend on returns in excess of a benchmark, and distinguish timing based on publicly available information from timing based on finer information. We simultaneously estimate parameters which describe the public information environment, the manager's risk aversion, and the precision of the fund's market-timing signal. Using a sample of more than 400 U.S. mutual funds for 1976-94, our findings suggest that mutual funds behave as highly risk averse, benchmark investors. Conditioning on public information improves the model specification. After controlling for the public information, we find no evidence that funds have significant market-timing ability. (C) 1999 Elsevier Science S.A. All rights reserved. JEL classification: D82; G11; G12; G14; G23.