Dynamic Market Timing in Mutual Funds

• 成果类型: Article; Early Access
• 署名作者: Busse, Jeffrey A.; Ding, Jing; Jiang, Lei; Wu, Ke
• 署名单位: Emory University; Tongji University; Tsinghua University; University System of Ohio; Kent State University; Kent State University Kent; Kent State University Salem; Renmin University of China
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4857
• 发表日期: 2023
• 关键词: mutual funds; Market timing; Dynamic conditional correlation

摘要

We use the dynamic conditional correlation (DCC) model to estimate daily frequency mutual fund betas. Compared with traditional estimates, daily betas better capture changes in fund risk stemming from daily fund trading activity. Based on these beta estimates and a two-stage estimation procedure, we find significant evidence of market timing ability among actively managed U.S. equity funds that is not apparent via standard approaches. Unlike traditional measures, our timing estimates correlate positively with fund performance. Market timing is especially evident during down markets, with successful timers exhibiting low downside risk. Timing ability persists across time and attracts investor flows.