Boney, Vaneesha; Comer, George; Kelly, Lynne - In: Journal of Empirical Finance 16 (2009) 1, pp. 55-69
We examine the ability of bond fund managers to shift assets between bonds and cash and across bonds of different maturities in order to capture the changes in their relative returns. As measured by estimated changes in portfolio allocations, we find strong evidence of perverse market timing...