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

摘要：

This paper examines the ability of government bond fund managers to time the market, based on their holdings of Treasury securities during the period 1997-2006. We find that, on average, government bond fund managers exhibit significant and positive timing ability at the one-month horizon, under a holdings-based timing measure. In particular, fund managers specializing in Treasury securities are more likely to better time the market than general government bond fund managers. We also find that more successful market timers tend to have relatively higher Morningstar ratings, larger fund flows, lower expense ratios, higher Sharpe ratios, and higher concentrations of holdings of Treasury securities.

作者: Jing-zhi Huang Ying Wang

作者单位: Penn State University SUNY-Albany

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-41

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）