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 ar...

using the treynor and mazoy model (expanded by fama to evaluate management performance for asset allocation among investment units), this paper examines the management’s performance in funds and investment companies in tehran stock exchange during 2004-2010. the results do not support the application of management market timing during the study period and managers were only able to create addit...

Little is known about the prices firms pay for repurchases. We compile a U.S. dataset of actual repurchase prices paid, and we compare that price to the average market price. We find that firms repurchase at significant lower prices than the market average. Firms' ability to time the market varies cross-sectionally: less frequent repurchasers obtain significantly lower prices, as do firms repur...

Prior research debates focus on whether investors are smart enough to invest in funds that subsequently outperform. This paper documents a robust smart money effect among small fund investors who invest in the top performing funds, even after controlling for the momentum factor argued by Sapp and Tiwari (2004). I further explore the reason for the smart money effect and find that such outperfor...

Measuring the Timing Ability of Fixed Income Mutual Funds This paper evaluates the ability of bond funds to "market time" factors related to bond markets. Timing ability generates nonlinearity in fund returns, but there are several non-timing-related sources of nonlinearity. We find that controlling for non-timing-related nonlinearity is important. Funds' returns are more concave than benchmark...

This paper analyzes optimal investment decisions, in the presence of non-redundant hedge funds, for investors with constant relative risk aversion. Factor regression models with optionlike risk factors and no-arbitrage principles are used to identify and estimate the market price of hedge fund risk, the volatility coefficients of hedge fund returns and the correlation between hedge fund and mar...

We investigate the timing of open market share repurchases and the resultant impact on firm liquidity. Using Hong Kong’s unique disclosure environment, we identify the exact implementation dates for over 5,000 equity buybacks. We find that managers exhibit substantial timing ability. Consistent with the information-asymmetry hypothesis, bid-ask spreads widen and depths narrow during repurchase ...