题目: Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings
演讲者：YingWang, Assistant Professor of Finance ,University at Albany - SUNY, Albany, NY |
时间: 2008年12月26日（星期五）3：00—4：30 PM
地点: 嘉庚二501
参加者: 对财务研究有兴趣的广大师生
主持人： 沈哲老师
论文摘要：
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.
论文作者简介：
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.
下载: 论文.pdf