| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15318 |
| 来源ID | Working Paper 15318 |
| Measuring the Timing Ability and Performance of Bond Mutual Funds | |
| Yong Chen; Wayne Ferson; Helen Peters | |
| 发表日期 | 2009-09-04 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper evaluates the ability of bond funds to "market time" nine common factors related to bond markets. Timing ability generates nonlinearity in fund returns as a function of common factors, but there are several non-timing-related sources of nonlinearity. Controlling for the non-timing-related nonlinearity is important. Funds' returns are more concave than benchmark returns, and this would appear as poor timing ability in naive models. With controls, the timing coefficients appear neutral to weakly positive. Adjusting for nonlinearity the performance of many bond funds is significantly negative on an after-cost basis, but significantly positive on a before-cost basis. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15318 |
| 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/572993 |
| 推荐引用方式 GB/T 7714 | Yong Chen,Wayne Ferson,Helen Peters. Measuring the Timing Ability and Performance of Bond Mutual Funds. 2009. |
| 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 | ||
| w15318.pdf（206KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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