A Structural Model of Dynamic Market Timing
推导并分析了拥有私有信息的基金经理的动态择时策略，识别了不同信息结构和技能下的内生择时策略及基金风格，为基金收益的回归分析和市场择时检验提供了理论基础。
This paper derives and analyzes dynamic timing strategies of a fund manager with private information. Endogenous timing strategies generated by various information structures and skills, and associated fund styles, are identified. Endogenous fund returns are characterized in the public information of an uninformed observer. Timing components are identified. The paper provides foundations for regression analyses of fund returns and tests of market timing.