Nonparametric tests for market timing ability using daily mutual fund returns
针对日度基金收益的厚尾和异方差问题，提出加权非参数检验方法，发现传统参数方法结果不同，且正择时能力的基金持有低交易摩擦股票，择时与选股能力存在权衡。
When using daily mutual fund returns to study market timing ability, heavy tails and heteroscedasticity significantly challenge the existing methods. We propose a weighted nonparametric measure and test for market timing. The test finds different results from the traditional parametric inference concerning timing. By examining the holding characteristics of the funds with different levels of timing ability, we find that funds with positive timing ability hold stocks with lower trading frictions. We find evidence of a tradeoff between market timing ability and stock picking skill after excluding funds with zero timing ability, which is robust to different benchmark models.