Cashflow Timing vs. Discount-Rate Timing: An Examination of Mutual Fund Market-Timing Skills

• 成果类型: Article
• 署名作者: Lan, Chunhua; Wermers, Russ
• 署名单位: University of New Brunswick; University System of Maryland; University of Maryland College Park
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4693
• 发表日期: 2024
• 关键词: cashflow timing; discount-rate timing; Market timing

摘要

We measure the ability of professional investment managers in timing cashflow versus discount-rate news, the two components of market returns. We find that the average U.S. equity mutual fund exhibits cashflow-timing skills of 1.77%/year, but discount-rate timing of -0.87%/year; furthermore, cashflow-timing skills, but not discount-rate timing skills, strongly persist over future quarters. Our evidence indicates that misspecification of markettiming abilities accounts for the failure of prior research to locate talented timing funds. Importantly, we find that value funds outperform growth funds in timing cashflow news, which provides new evidence on the unique skills of value-oriented mutual funds.