虚假关系
共同基金
市场时机
计量经济学
集合(抽象数据类型)
订单(交换)
控制(管理)
业务
精算学
经济
财务
统计
计算机科学
数学
首次公开发行
管理
程序设计语言
作者
Nicolas P. B. Bollen,Jeffrey A. Busse
标识
DOI:10.1111/0022-1082.00356
摘要
Existing studies of mutual fund market timing analyze monthly returns and find little evidence of timing ability. We show that daily tests are more powerful and that mutual funds exhibit significant timing ability more often in daily tests than in monthly tests. We construct a set of synthetic fund returns in order to control for spurious results. The daily timing coefficients of the majority of funds are significantly different from their synthetic counterparts. These results suggest that mutual funds may possess more timing ability than previously documented.
科研通智能强力驱动
Strongly Powered by AbleSci AI