英文文献：Conditional Market Timing in the Mutual Fund Industry-共同基金行业的有条件的市场时机选择
英文文献作者：Vanessa Tchamyou,Simplice Asongu
英文文献摘要：
This study complements the scarce literature on conditional market timing in the mutual fund industry by assessing determinants of market timing throughout the distribution of market exposure. It builds on the intuition that the degree of responsiveness by fund managers to investigated factors (aggregate liquidity, information asymmetry, volatility and market excess return) is contingent on their levels of market exposure. To this end, we use a panel of 1467 active open-end mutual funds for the period 2004-2013. Fund-specific time-dynamic beta is employed and we avail room for more policy implications by disaggregating the dataset into market fundamentals of: equity, fixed income, allocation and tax preferred. The empirical evidence is based on Quantile regressions. The following findings are established. First, there is consistent positive threshold evidence of volatility and market return in market timing, with the slim exception of allocation funds for which the pattern of volatility is either U- or S-shaped. Second, the effect of volatility and market return are consistently positive and negative respectively in the bottom and top quintiles of market exposure, but for allocation funds. Third, the effects of information asymmetry and aggregate liquidity are positive and negative, contingent on specifications, level of market exposure and market fundamentals. The findings broadly suggest that blanket responses of market exposures to investigated factors are unlikely to represent feasible strategies for fund managers unless they are contingent on initial levels of market exposure and tailored differently across ‘highly exposed’-fund managers and ‘lowly exposed’-fund managers. Implications for investors and fund managers are discussed.

本研究通过评估市场敞口分布中市场时机的决定因素，补充了有关共同基金行业条件时机的稀缺文献。它建立在这样一种直觉之上，即基金经理对调查因素(总流动性、信息不对称、波动性和市场超额回报)的反应程度取决于他们的市场敞口水平。为此，我们使用了一组2004-2013年期间的1467只活跃开放式共同基金。采用了特定于基金的时间动态贝塔系数，我们通过将数据集分解为:股票、固定收益、配置和税收优惠的市场基本面，为更多的政策影响留出空间。经验证据是基于分位数回归的。下面的发现是确定的。首先，市场择时的波动性和市场回报具有一致的正阈值证据，只有配置基金的波动性模式为U型或s型的极小例外。第二，在市场敞口的底部五分位和顶部五分位中，波动率和市场回报的效应始终分别为正和负，但配置基金的情况不同。第三，信息不对称和总流动性的影响是正的和负的，取决于市场敞口的规格、水平和市场基本面。调查结果大致表明，对市场敞口对所调查因素的全面反应不太可能代表基金经理的可行策略，除非它们取决于市场敞口的初始水平，并根据“高敞口”基金经理和“低敞口”基金经理的不同程度量身定制。讨论了对投资者和基金经理的影响。