On Timing and Selectivity
讨论定义和度量时机选择能力与证券选择能力时的概念和计量问题，提出投资组合和因子两种建模方法，并展示如何用简单二次回归识别时机信息质量。
ABSTRACT The dichotomy between timing ability and the ability to select individual assets has been widely used in discussing investment performance measurement. This paper discusses the conceptual and econometric problems associated with defining and measuring timing and selectivity. In defining these notions we attempt to capture their intuitive interpretation. We offer two basic modeling approaches, which we term the portfolio approach and the factor approach . We show how the quality of timing and selectivity information can be identified statistically in a number of simple models, and discuss some of the econometric issues associated with these models. In particular, a simple quadratic regression is shown to be valid in measuring timing information.