Topic: Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings
Presenter：YingWang, Assistant Professor of Finance ,University at Albany - SUNY, Albany, NY |
Time: December 26, 2008（Friday）3：00—4：30 PM
Venue: Room 501, Jiageng Bld 2
Chair：Zhe Shen, assistant professor in finance, IFAS
Abstract：
This paper examines the ability of government bond fund managers to time the market, based on their holdings of Treasury securities during the period 1997-2006.We find that, on average, Government bond fund managers exhibit significant and positive timing ability at the one-month horizon, under a holdings-based timing measure. In particular, fund managers specializing in Treasury securities are more likely to better time the market than general government bond fund managers. We also find that more successful market timers tend to have relatively higher Morningstar ratings, larger fund flows, lower expense ratios, higher Sharpe ratios, and higher Concentrations of holdings of Treasury securities.
Presenter Introduction：
Dr. Ying Wang is an Assistant Professor of Finance at State University of New York (SUNY) at Albany. She got her BS in International Finance from Shanghai Jiaotong University and MPhil in Accounting and Finance from University of Hong Kong. She just graduated from Penn State University with a PhD in Finance. Her research interests include mutual funds, hedge funds, and fixed income markets. She has recently published in Journal of Banking and Finance.
Download: paper.pdf