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...

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...

Building on the work of Barras, Scaillet and Wermers (BSW, 2010), we propose a modified approach to inferring performance for a cross-section of investment funds. Our model assumes that funds belong to groups of different abnormal performance or alpha. Using the structure of the probability...