Timing the investment grade securities market: Evidence from high quality bond funds
We examine the ability of bond fund managers to shift assets between bonds and cash and across bonds of different maturities in order to capture the changes in their relative returns. As measured by estimated changes in portfolio allocations, we find strong evidence of perverse market timing ability between cash and investment grade securities, and our results indicate additional perverse timing across the bond maturity spectrum. Results are robust to an alternative performance metric. We present evidence that the survival of the majority of these funds despite their negative performance may reflect the value investors place on the portfolio diversification benefits of holding these funds.
Year of publication: |
2009
|
---|---|
Authors: | Boney, Vaneesha ; Comer, George ; Kelly, Lynne |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 16.2009, 1, p. 55-69
|
Publisher: |
Elsevier |
Keywords: | Portfolio evaluation Fixed income funds Market timing |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Timing the investment grade securities market : evidence from high quality bond funds
Boney, Vaneesha, (2009)
-
High Quality Bond Funds : Market Timing Ability and Performance
Comer, George, (2012)
-
Timing the investment grade securities market: Evidence from high quality bond funds
Boney, Vaneesha, (2009)
- More ...