2026-09-21T19:29:25Z https://www.ideals.illinois.edu/oai-pmh

oai:www.ideals.illinois.edu:2142/87441 2023-07-11 col_2142_5131 col_2142_17364 com_2142_5130 com_2142_17363 com_2142_9216

Zhi Jay Wang Jochec, Marek 2015-09-28T16:03:16Z 2015-09-28T16:03:16Z 10000-01-01 2009 2009 Finally, in the last chapter we use daily observations from 448 actively managed funds and employ the empirical strategy of Bollen and Busse (2001) to assess the ability of fund managers to time systematic risk factors. We construct synthetic portfolios to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. For the market factor in particular, we cannot reject the hypothesis that the actual and synthetic fund cross-sectional distributions are the same. We interpret this result as evidence that market timing ability does not persist over long time periods. Made available in DSpace on 2015-09-28T16:03:16Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 3392082.pdf: 1134747 bytes, checksum: 4c267d239ff00b5b355305ec642c47f5 (MD5) Previous issue date: 2009 Embargo set by: Seth Robbins for item 88722 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 70 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2009. http://hdl.handle.net/2142/87441 (MiAaPQ)AAI3392082 eng Economics, General Essays on Market Microstructure, Behavioral Finance, and Asset Management text Finance Finance University of Illinois at Urbana-Champaign Dissertation Ph.D.