A Structural Model of Dynamic Market Timing
Review of Financial Studies
2013
This paper derives and analyzes dynamic timing strategies of a fund manager with private information. Endogenous timing strategies generated by various information structures and skills, and associated fund styles, are identified. Endogenous fund returns are characterized in the public information of an uninformed observer. Timing components are identified. The paper provides foundations for regression analyses of fund returns and tests of market timing.
- DOI
- 10.1093/rfs/hht028
- Volume
- 26 (10)
- Pages
- 2492-2547
- Language
- en
- Export
- BibTeX
- Sources
- openalex crossref