Benos, Evangelos; Jochec, Marek; Nyekel, Victor - In: The Quarterly Review of Economics and Finance 50 (2010) 4, pp. 509-514
Using daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing...
