Timing ability of government bond fund managers

Evidence from portfolio holdings

Jingzhi Huang, Ying Wang

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

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 during the 1997-2006 period. We find that, on average, government bond funds exhibit significantly positive timing ability at the one-month horizon under an unconditional holdings-based timing measure. However, our results indicate that managers' actions based on public information can explain the documented positive timing ability-namely, the average government bond fund has neutral or even slightly negative conditional market timing ability once public information is controlled for. Nonetheless, we find evidence that fund managers specializing in Treasury securities can better interpret public information than general government bond fund managers do.

Original languageEnglish (US)
Pages (from-to)2091-2109
Number of pages19
JournalManagement Science
Volume60
Issue number8
DOIs
StatePublished - Jan 1 2014

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Government bonds
Fund managers
Public information
Treasury securities
Market timing
Bond market
Managers

All Science Journal Classification (ASJC) codes

  • Strategy and Management
  • Management Science and Operations Research

Cite this

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Timing ability of government bond fund managers : Evidence from portfolio holdings. / Huang, Jingzhi; Wang, Ying.

In: Management Science, Vol. 60, No. 8, 01.01.2014, p. 2091-2109.

Research output: Contribution to journalArticle

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