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...

A social pyramid is show to be the unique steady state social structure when agents gain utility from being early adopters of subsequently popular trends. The environment is related to a majority game, but introduces the importance of the timing of adoption. Utility derived from making a popular choice independent of timing is demonstrated as essential to support the hierarchy. The proposed env...

We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index risk-free asset. Optimal rules time-varying expected returns volatility are implemented with two Random Forest models. One model is employed in forecasting monthly excess macroeconomic factors including payout yields. The second used to estimate prevailing volat...

This paper seeks to examine the effect of mutual fund governance on stock selection and market timing abilities. This paper applies a Structural Equation Modelling technique to solve the potential endogeneity problem between internal governance measures and stock selection and market timing. The main conclusion of this paper is to provide evidence through robust statistical analysis around the ...

In Merton (1981; hereafter referred to as Part I), one of us developed a basic model of markettiming forecasts where the forecaster predicts when stocks will outperform bonds and when bonds will outperform stocks but does not predict the magnitude of the superior performance. In that analysis, it was shown that the pattern of returns from successful market timing has an isomorphic correspondenc...

Designing high-performance very large-scale integration (VLSI) chips has become more challenging than ever due to nanometer effects and accelerating time-to-market cycles. Due to the interconnect delay dominance, a small routing change in the design can increase coupling capacitances on its neighboring paths and significantly increase their path delays. This can cause new timing violations and ...