Test for Market Timing Using Daily Fund Returns
研究发现，用传统最小二乘法估计基金市场择时能力存在偏差，而采用ARMA-GARCH模型和加权最小二乘法后，更多基金显示出正向择时能力，且负向择时能力的基金换手率高，择时与选股能力存在权衡。
Using daily mutual fund returns to estimate market timing, some econometric issues, including heteroscedasticity, correlated errors, and heavy tails, make the traditional least-squares estimate in Treynor–Mazuy and Henriksson–Merton models biased and severely distort the t-test size. Using ARMA-GARCH models, weighted least-squares estimate to ensure a normal limit, and random weighted bootstrap method to quantify uncertainty, we find more funds with positive timing ability than the Newey–West t-test. Empirical evidence indicates that funds with perverse timing ability have high fund turnovers and funds tradeoff between timing and stock picking skills.