On the Timing Ability of Mutual Fund Managers
发现使用日度数据比月度数据更能检验出共同基金的市场时机把握能力，多数基金的日度时机系数与合成对照组显著不同，表明基金可能比以往研究显示的更具时机把握能力。
Existing studies of mutual fund market timing analyze monthly returns and find little evidence of timing ability. We show that daily tests are more powerful and that mutual funds exhibit significant timing ability more often in daily tests than in monthly tests. We construct a set of synthetic fund returns in order to control for spurious results. The daily timing coefficients of the majority of funds are significantly different from their synthetic counterparts. These results suggest that mutual funds may possess more timing ability than previously documented.