We examine the market timing performance of a sample of high quality corporate bond funds over the 1994-2003 time period. After establishing that the funds do engage in market timing activity, we find strong evidence of perverse market timing ability between cash and bonds and additional...

Bond funds report both a distribution yield and a SEC yield, which are roughly analogous to the current yield and yield to maturity on an individual bond. We analyze the quarterly yields reported by municipal bond funds from September 1993 to September 2009. Despite substantial variation in the...