Dynamic Market Timing in Mutual Funds
使用动态条件相关模型估算每日基金贝塔，发现美国主动管理型股票基金存在显著的市场择时能力，且该能力与业绩正相关，在下跌市场中尤为明显。
We use the dynamic conditional correlation (DCC) model to estimate daily frequency mutual fund betas. Compared with traditional estimates, daily betas better capture changes in fund risk stemming from daily fund trading activity. Based on these beta estimates and a two-stage estimation procedure, we find significant evidence of market timing ability among actively managed U.S. equity funds that is not apparent via standard approaches. Unlike traditional measures, our timing estimates correlate positively with fund performance. Market timing is especially evident during down markets, with successful timers exhibiting low downside risk. Timing ability persists across time and attracts investor flows. This paper was accepted by David Sraer, finance. Funding: This work was supported by the National Natural Science Foundation of China [Grants 72173127 and 72121001] and by the Institute for Industrial Innovation and Finance at Tsinghua University. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4857 .