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经济与金融系学术讨论会第165期
题目: Dynamic Market Timing in Mutual Funds
演讲人:Jing Ding(哈尔滨工业大学助理教授)
时间:2023年1月3日(周二)12:00-13:00
【线上腾讯会议】
会议号:816154254
密码:952971
参会链接:https://meeting.tencent.com/dm/w59n9ozoRKXL
摘要:
We use the dynamic conditional correlation (DCC) model to estimate dailyfrequency mutual fund betas. Compared to traditional estimates, daily betas better capture changes in fund risk stemming from daily fund trading activity. Based on these beta estimates and a two-stage estimation procedure, we find significant evidence of market timing ability among actively managed U.S. equity funds that is not apparent via standard approaches. Unlike traditional measures, our timing estimates correlate positively with fund performance. Market timing is especially evident during down markets, with successful timers exhibiting low downside risk. Timing ability persists across time and attracts investor flows.