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

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

报告人: YingWang

Professor

Department of Finance School of Business

University at Albany- SUNY

主持人:陈欣

地点:法华校区安泰104

时间:20081217日下午130

内容简介:

By Jiangzhi Huang (Penn State Univ) and Ying Wang (SUNY-Albany)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 inTreasury securities are more likely to better time the market than general government bondfund 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.

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