Timing Ability of Government Bond Fund Managers
What is it about?
This study examines the ability of government bond fund managers to time the bond market, based on their monthly or quarterly holdings of Treasury securities. The study finds that, on average, government bond funds exhibit significantly positive timing ability at the one-month horizon under an unconditional holdings-based timing measure. The results indicate that managers’ actions based on public information can explain the documented positive timing ability. Additionally, there is evidence that fund managers specializing in Treasury securities can better interpret public information than general government bond fund managers do.
The following have contributed to this page: Professor Jing-Zhi Huang
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