High Quality Bond Funds: Market Timing Ability and Performance

48 Pages Posted: 10 Mar 2005

See all articles by George Comer

George Comer

Georgetown University - Department of Finance

Vaneesha Boney

University of Denver

Lynne Kelly

Towson University

Date Written: April 20, 2005

Abstract

We examine the market timing performance of a sample of high quality corporate bond funds over the 1994-2003 time period. After establishing that the funds do engage in market timing activity, we find strong evidence of perverse market timing ability between cash and bonds and additional evidence of negative timing skill across bond maturities. A significant portion of the perverse timing ability that we detect across the fund sample is driven by the subset of funds with the highest expense ratios. Robustness tests suggest that our results reflect actual and not spurious timing ability. Overall, our results indicate that bond fund managers do not share the positive market timing ability of other groups of money managers that has been recently documented in the literature.

Keywords: bond mutual funds, market timing

JEL Classification: G20, G23, G11

Suggested Citation

Comer, George and Boney, Vaneesha and Kelly, Lynne, High Quality Bond Funds: Market Timing Ability and Performance (April 20, 2005). Available at SSRN: https://ssrn.com/abstract=680681 or http://dx.doi.org/10.2139/ssrn.680681

George Comer (Contact Author)

Georgetown University - Department of Finance ( email )

585 Hariri Building
Georgetown University
Washington, DC 20057
United States
202-687-0676 (Phone)

Vaneesha Boney

University of Denver ( email )

2101 S University Blvd
Denver, CO 80208
United States
303-871-2299 (Phone)

Lynne Kelly

Towson University ( email )

8000 York Road, ST 100A
Towson, MD 21204
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
473
Abstract Views
2,789
rank
64,156
PlumX Metrics