TY  - JOUR
AU  - Becker,Connie
AU  - Ferson,Wayne
AU  - Myers,David
AU  - Schill,Michael
TI  - Conditional Market Timing with Benchmark Investors
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6434
PY  - 1998
Y2  - February 1998
UR  - http://www.nber.org/papers/w6434
L1  - http://www.nber.org/papers/w6434.pdf
N1  - Author contact info:
Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu
AB  - This paper tests models of mutual fund market timing that (1) allow the manager's utility function to depend on returns in excess of a benchmark; (2) distinguish timing based on lagged, publicly available information variables from timing based on finer information; and (3) simultaneously estimate the parameters which describe the public information environment, the risk aversion and the precision of the fund's market timing signal. Using a sample of more than 400 U.S. mutual funds for 1976-94, the estimates imply that mutual funds behave as risk averse, benchmark investors.  Conditioning on public information variables improves the model specification, and after controlling for the public information we find no evidence that funds have significant market timing ability.
ER  -