Volatility Timing in Mutual Funds: Evidence from Daily Returns
利用共同基金的日度收益数据，研究基金经理是否成功进行波动率择时，发现波动率择时能带来更高的风险调整后收益，且幸存基金对市场波动更敏感。
I use daily mutual fund returns to shed new light on the question of whether or not mutual fund managers are successful market timers. Previous studies find that funds are unable to time the market return. I study the funds' ability to time market volatility. I show that volatility timing is an important factor in the returns of mutual funds and has led to higher risk-adjusted returns. The returns of surviving funds are especially sensitive to market volatility; those of nonsurvivors are not.