Essays on Market Microstructure, Behavioral Finance, and Asset Management

70 p.Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2009.Finally, in the last chapter we use daily observations from 448 actively managed funds and employ the empirical strategy of Bollen and Busse (2001) to assess the ability of fund managers to time systematic risk factors. We construct synthetic portfolios to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. For the market factor in particular, we cannot reject the hypothesis that the actual and synthetic fund cross-sectional distributions are the same. We interpret this result as evidence that market timing ability does not persist over long time periods.U of I OnlyRestricted to the U of I community idenfinitely during batch ingest of legacy ETD