Measuring the Timing Ability of Fixed Income Mutual Funds
This paper evaluates the ability of US fixed income mutual funds to time factors related to bond markets, controlling for non-timing-related sources of nonlinearity in the relation between fund returns and the factors. Nonlinearities appear in the underlying assets held by funds and may also arise from dynamic trading strategies or derivatives, funds responses to public information, or systematic patterns in stale pricing. We evaluate the empirical importance of these issues and find that controlling for non-timing-related nonlinearity is important. Funds returns are more concave than benchmark returns, relative to nine common factors, without controls for nontiming- related nonlinearities. This would appear as poor timing ability in naive models. With the controls, the distribution of the timing coefficients appears neutral at the fund style-group level. A cross sectional analysis at the individual fund level finds that the measured timing coefficients have little explanatory power for future returns. Overall, we find no evidence that bond funds have timing ability.
Yong Chen Wayne Ferson Helen Peters
Boston College,140 Commonwealth Ave,Chestnut Hill,MA.02467
国际会议
大连
英文
1-59
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）