Conditional market timing with benchmark investors

Article Abstract:

Models of mutual fund market timing that allow the manager's payoff function to depend on returns in excess of a benchmark were tested. In addition, distinction between timing based on public information from timing based on finer information was taken into account. Parameters such as the precision of the fund's market timing signal, the public information environment and a manager's risk aversion were included. The results showed that conditioning on public information improved model specification while no evidence was found that funds had marked timing ability after controlling information.

Portfolio Management, Other Financial Vehicles, Investment offices, not elsewhere classified, Mutual Funds (Closed End), Econometrics & Model Building, Models, Economic aspects, Econometrics, Mutual funds, Closed end mutual funds, Business models

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Discriminatory versus uniform Treasury auctions: evidence from when-issued transactions

Article Abstract:

Transactions data were used to clear two issues that pertain to the auctions theory. These focus on the markups for three-month and six-month discriminatory auctions which were different from zero and the uniform price auctions for two-year notes that reflect a decreasing volatility pattern. When-issued trading was found to be more active for uniform price auctions in comparison with discriminatory auctions.

Research, Markets (Economics), Securities, Auctions, Uncertainty (Information theory), United States. Department of the Treasury

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