Perverse timing or biased coefficients?

摘要: The aim of this work is to examine the influence mutual fund flows on market timing models, thus providing unbiased coefficients. However, as control motivated by existing relationship between and returns, we first analyse relationship, considering previous concurrent returns. unlike studies, do not consider future since investors observe them when making investment decisions. Thus, feel it more appropriate expected We construct returns running an AR model available public information about macro-economy. analysed under different conditions, a variety flow measures, (or not) sensitivity positive negative also propose controls for traditional further reverse-c...