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Ying Wang's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
352 |
Total
Citations
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1.
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Charles Cao
Pennsylvania State University Eric C. Chang
University of Hong Kong - School of Business Ying Wang
SUNY at Albany - School of Business
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10 Nov 08
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Last Revised:
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29 Jun 09
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168
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Abstract:
We study the dynamic relation between aggregate mutual fund flow and market-wide volatility. Using daily flow data and a VAR approach, we find that market volatility is negatively related to concurrent and lagged flow. A structural VAR impulse response analysis suggests that shock in flow has a negative impact on market volatility: An inflow (outflow) shock predicts a decline (an increase) in volatility. From the perspective of volatility-flow relation, we find evidence of volatility timing for recent period of 1998-2003. Finally, we document a differential impact of daily inflow versus outflow on intraday volatility. The relation between intraday volatility and inflow (outflow) becomes weaker (stronger) from morning to afternoon.
Mutual fund flow, Market volatility, Volatility timing, Fund inflow and fund outflow
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2.
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Jing-Zhi Huang
Pennsylvania State University - University Park - Department of Finance Ying Wang
SUNY at Albany - School of Business
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10 Nov 08
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Last Revised:
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29 Jun 09
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93
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Abstract:
This paper examines the ability of government bond fund managers to time the market, based on their holdings of Treasury securities during the period 1997-2006. We find that, on average, government bond fund managers exhibit significant and positive timing ability at the one-month horizon, under a holdings-based timing measure. In particular, fund managers specializing in Treasury securities are more likely to better time the market than general government bond fund managers. We also find that more successful market timers tend to have relatively higher Morningstar ratings, larger fund flows, lower expense ratios, higher Sharpe ratios, and higher concentrations of holdings of Treasury securities.
Market Timing, Government Bond Fund, Holdings-based Timing Measure
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3.
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Charles Cao
Pennsylvania State University Timothy T. Simin
Pennsylvania State University Ying Wang
SUNY at Albany - School of Business
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03 Jul 09
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Last Revised:
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03 Jul 09
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91
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Abstract:
We study whether mutual fund managers successfully time market liquidity. Using a model assuming that fund managers attempt to maximize fund shareholders’ utility by timing market exposure, we motivate liquidity timing from the fund manager’s perspective. Fund managers reduce market exposure in illiquid markets and increase market exposure in liquid markets. Liquidity timing is persistent and predicts the funds’ risk-adjusted performance in the next period. Successful liquidity timers tend to have longer history and higher turnover rate, and attract more flows from investors.
Market Liquidity, Liquidity Timing, Mutual Fund Performance, Fund Flow
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