Test for Market Timing Using Daily Fund Returns
Test for Market Timing Using Daily Fund Returns
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DOI：
10.1080/07350015.2021.2006670
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发表时间：
2021-11
影响因子：
3
通讯作者：
Lei Jiang;Weimin Liu;Liang Peng
中科院分区：
文献类型：
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作者：
Lei Jiang;Weimin Liu;Liang Peng
摘要 使用每日共同基金回报来估计市场时机，一些计量经济学问题，包括异方差、相关误差和重尾，使得 Treynor-Mazuy 和 Henriksson-Merton 模型中的传统最小二乘估计存在偏差，并严重扭曲 t 检验大小。使用 ARMA-GARCH 模型、加权最小二乘估计来确保正常限度，以及随机加权引导方法来量化不确定性，我们发现比 Newey-West t 检验更多具有正计时能力的基金。经验证据表明，具有逆向择时能力的基金，其资金周转率较高，且基金择时与选股技巧之间存在权衡。
Abstract Using daily mutual fund returns to estimate market timing, some econometric issues, including heteroscedasticity, correlated errors, and heavy tails, make the traditional least-squares estimate in Treynor–Mazuy and Henriksson–Merton models biased and severely distort the t-test size. Using ARMA-GARCH models, weighted least-squares estimate to ensure a normal limit, and random weighted bootstrap method to quantify uncertainty, we find more funds with positive timing ability than the Newey–West t-test. Empirical evidence indicates that funds with perverse timing ability have high fund turnovers and funds tradeoff between timing and stock picking skills.