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英文文献：Effects of asymmetric information on market timing in the mutual fund industry-信息不对称对基金业择时行为的影响
英文文献作者：Vanessa Tchamyou,Simplice Asongu,Jacinta Nwachukwu
英文文献摘要：
The paper investigates the effects of information asymmetry (between the realised return and the expected return) on market timing in the mutual fund industry. For the purpose, we use a panel of 1488 active open-end mutual funds for the period 2004-2013. We use fund-specific time-dynamic betas. Information asymmetry is measured as the standard deviation of idiosyncratic risk. The dataset is decomposed into five market fundamentals in order to emphasis the policy implications of our findings with respect to (i) equity, (ii) fixed income, (iii) allocation, (iv) alternative and (v) tax preferred mutual funds. The empirical evidence is based on endogeneity-robust Difference and System Generalised Method of Moments. The following findings are established. First, information asymmetry broadly follows the same trend as volatility, with a higher sensitivity to market risk exposure. Second, fund managers tend to raise (cutback) their risk exposure in time of high (low) market liquidity. Third, there is evidence of convergence in equity funds. We may therefore infer that equity funds with lower market risk exposure are catching-up with their counterparts with higher exposure to fluctuation in market conditions. The paper complements the scarce literature on market timing in the mutual fund industry with time-dynamic betas, information asymmetry and an endogeneity-robust empirical approach.
摘要本文研究了信息不对称(实现收益与预期收益之间的信息不对称)对共同基金市场时机选择的影响。为此，我们使用了一组2004-2013年期间的1488只主动型开放式共同基金。我们使用特定于基金的时间动态贝塔。信息不对称以特质风险的标准差来度量。该数据集被分解为5个市场基本面，以强调我们的研究结果在(i)股权、(ii)固定收益、(iii)配置、(iv)替代和(v)税收优先共同基金方面的政策含义。基于内生性稳健差和系统矩化方法的经验证据。下面的发现是确定的。首先，信息不对称与波动率大体遵循相同的趋势，对市场风险敞口具有更高的敏感性。其次，基金经理倾向于在市场流动性高(低)时增加(减少)他们的风险敞口。第三，有证据表明，股票基金正在趋同。因此，我们可以推断，市场风险敞口较小的股票型基金正在追赶市场环境中风险敞口较大的股票型基金。摘要本文利用时间动态贝塔分析、信息不对称和内生性稳健的实证方法，补充了基金市场择时研究的不足。
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