Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?
研究对冲基金在制造业的行业择时能力，发现该能力能提升基金未来业绩、生存概率和资金吸引力，原因与盈利惊喜的持续性及信息透明度有关。
Abstract This paper investigates hedge funds’ ability to time industry-specific returns and shows that funds’ timing ability in the manufacturing industry improves their future performance, probability of survival, and ability to attract more capital. The results indicate that the best industry-timing hedge funds in the manufacturing sector have the highest return exposure to earnings surprises. This, together with persistently sticky earnings surprises, transparent information environment in regards to earnings releases, and large post-earnings-announcement drift in the manufacturing industry, explain to a great extent why best-timing hedge funds can generate significantly larger future returns compared to worst-timing hedge funds.