Chen, Yong; Ferson, Wayne; Peters, Helen - In: Journal of Financial Economics 98 (2010) 1, pp. 72-89
This paper evaluates the ability of bond funds to "market time" nine common factors related to bond markets. Timing ability generates nonlinearity in fund returns as a function of common factors, but there are several non-timing-related sources of nonlinearity. Controlling for the...
