The efficacy of market timing and value creation
使用区分现金流时机和贴现率时机的总时机度量，评估美国主动管理型股票共同基金的价值创造，发现部分基金具备现金流时机选择技能，前20%的基金每年创造34亿美元价值。
Abstract In this article, I use a total timing measure that differentiates between cash‐flow timing and discount‐rate timing to assess value creation among actively managed US equity mutual funds. My findings indicate that some funds exhibit cash‐flow timing skills. Collectively, the top 20% of timing funds generate $3.4 billion annually in constant January 2000 dollars. Both sector rotation and individual stock selection contribute to executing timing techniques. Skilled timing funds shift their stockholdings toward cyclical sectors when anticipating positive changes in aggregate cash flows and toward defensive sectors when anticipating negative changes. Sector funds demonstrate similar cash‐flow timing skills through their individual stock bets.