Artificial Market Timing in Mutual Funds
研究发现共同基金的贝塔值与过去市场回报之间存在显著关系，这种由基金反馈交易驱动的关系会导致标准市场择时回归中出现“人工”择时现象，并解释了择时与选股能力之间的负相关。
Abstract We document statistically significant relations between mutual fund betas and past market returns driven by fund feedback trading. Against this backdrop, evidence of “artificial” market timing emerges when standard market timing regressions are estimated across periods that span time variation in fund systematic risk levels, as is typical. Artificial timing significantly explains the inverse relation between timing model estimates of market timing and stock selectivity. A fund’s feedback trading relates to its past performance and remains significant after accounting for trading on momentum. Fund flows suggest that investors value feedback trading, which helps hedge downside risk during bear markets.