The market timing ability of bond mutual funds
| dc.contributor.author | Yin, Zhengnan | en |
| dc.contributor.author | O’Sullivan, Niall | en |
| dc.contributor.author | Sherman, Meadhbh | en |
| dc.date.accessioned | 2024-11-27T14:46:23Z | |
| dc.date.available | 2024-11-27T14:46:23Z | |
| dc.date.issued | 2024-09-17 | en |
| dc.description.abstract | We apply the nonparametric methodology of Jiang (Journal of Empirical Finance 10:399–425, 2003) to examine whether bond mutual funds can time the bond market by adjusting their portfolios' market exposure based on anticipated market movement. This approach offers several advantages over the widely used regression-based tests such as Treynor and Mazuy (Harvard Business Review 44(4):131–136, 1966) and Henriksson and Merton (The Journal of Business 54(4):513–533, 1981). In a comprehensive study covering the USA, UK, and China, we find some evidence of positive market timing of bond funds at the individual fund level. On average, bond funds show neutral to slightly negative market timing abilities. After controlling for public information, we find that a smaller number of bond funds successfully time the market based on private timing signals. In terms of categories, we find strong evidence of positive market timing for Government bond funds as a group, consistent with the findings of Huang and Wang (Management Science 60:2091–2109, 2014). | en |
| dc.description.status | Peer reviewed | en |
| dc.description.version | Published Version | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.citation | Yin, Z., O’Sullivan, N. and Sherman, M. (2024) 'The market timing ability of bond mutual funds', Journal of Asset Management, 25, pp. 508-527. https://doi.org/10.1057/s41260-024-00371-2 | en |
| dc.identifier.doi | https://doi.org/10.1057/s41260-024-00371-2 | en |
| dc.identifier.eissn | 1479-179X | en |
| dc.identifier.endpage | 527 | en |
| dc.identifier.issn | 1470-8272 | en |
| dc.identifier.journaltitle | Journal of Asset Management | en |
| dc.identifier.startpage | 508 | en |
| dc.identifier.uri | https://hdl.handle.net/10468/16682 | |
| dc.identifier.volume | 25 | en |
| dc.language.iso | en | en |
| dc.publisher | Springer Nature | en |
| dc.relation.ispartof | Journal of Asset Management | en |
| dc.rights | © 2024, the Authors. Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. | en |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | en |
| dc.subject | Mutual fund performance | en |
| dc.subject | Bond funds | en |
| dc.subject | Market timing | en |
| dc.subject | Nonparametric test | en |
| dc.title | The market timing ability of bond mutual funds | en |
| dc.type | Article (peer-reviewed) | en |
| oaire.citation.issue | 5 | en |
| oaire.citation.volume | 25 | en |
