Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility … model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function … used to estimate the parameters of a volatility model. We find support for the use of intraday data for estimating …

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

market volatility affects the hedge fund returns or not is one of the main questions that we ask in the article. Our results … reveal that stock and bond market volatility do not have a significant impact on fund returns for the most part, which is a … result that is robust to various measures of volatility. Among the four regions we examine, only the emerging market hedge …

: market return, market-wide volatility and aggregate liquidity. We propose a new specification to study market timing. Instead … mutual funds display return market timing abilities while this percentage amounts to respectively 13% and 14% for volatility … funds exhibit lower volatility and liquidity timing skills than live funds. …

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

This paper examines mutual fund managers' ability to time market-wide liquidity. Using the CRSP mutual fund database …, we find strong evidence that over the 1974–2009 period, mutual fund managers demonstrate the ability to time market …

We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through …

significantlypositive loading on the pairs trading return. The results suggest thatbefore 2003, time-varying illiquidity led to a time …