Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings

• 成果类型: Article
• 署名作者: Huang, Jing-Zhi; Wang, Ying
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; State University of New York (SUNY) System; University at Albany, SUNY; State University of New York (SUNY) System; University at Albany, SUNY
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1843
• 发表日期: 2014
• 页码: 2091-2109
• 关键词: government bond funds; Market timing; bond fund holdings; macroeconomic news announcements

摘要

This study examines the ability of government bond fund managers to time the bond market, based on their monthly or quarterly holdings of Treasury securities during the 1997-2006 period. We find that, on average, government bond funds exhibit significantly positive timing ability at the one-month horizon under an unconditional holdings-based timing measure. However, our results indicate that managers' actions based on public information can explain the documented positive timing ability-namely, the average government bond fund has neutral or even slightly negative conditional market timing ability once public information is controlled for. Nonetheless, we find evidence that fund managers specializing in Treasury securities can better interpret public information than general government bond fund managers do.