| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6434 |
| 来源ID | Working Paper 6434 |
| Conditional Market Timing with Benchmark Investors | |
| Connie Becker; Wayne Ferson; David Myers; Michael Schill | |
| 发表日期 | 1998-02-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | This paper tests models of mutual fund market timing that (1) allow the manager's utility function to depend on returns in excess of a benchmark; (2) distinguish timing based on lagged, publicly available information variables from timing based on finer information; and (3) simultaneously estimate the parameters which describe the public information environment, the risk aversion and the precision of the fund's market timing signal. Using a sample of more than 400 U.S. mutual funds for 1976-94, the estimates imply that mutual funds behave as risk averse, benchmark investors. Conditioning on public information variables improves the model specification, and after controlling for the public information we find no evidence that funds have significant market timing ability. |
| URL | https://www.nber.org/papers/w6434 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563947 |
| 推荐引用方式 GB/T 7714 | Connie Becker,Wayne Ferson,David Myers,et al. Conditional Market Timing with Benchmark Investors. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6434.pdf（2988KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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