Do Mutual Funds Time the Market? Evidence from Portfolio Holdings

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How researchers see this paper

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Do Market Timing Hedge Funds Time the Market (2007, neutral): “In addition, Jiang (2003) proposes a nonparametric market timing test for convexity by examining the probability that beta is higher in up markets than in down markets.”
Can Hedge Funds Time Market Liquidity (2012, neutral): “Getmansky, Lo, and Makarov (2004) show that hedge-fund returns often exhibit significant serial correlation.”
An Examination of Mutual Fund Timing Ability Using Monthly Holdings Data (2012, positive): “To overcome the estimation problem caused by the assumption of a specific form of timing, two recent studies (Jiang, Yao, and Yu, 2007, and Kaplan and Sensoy, 2008) estimated portfolio betas using portfolio holdings and security betas.”
Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance: Portfolio Disclosure, Liquidity, and Fund Performance (2014, neutral): “…Chen, Jegadeesh, and Wermers (2000), Cohen, Coval, and Pástor (2005), Kacperczyk, Sialm, and Zheng (2005, 2008), Alexander, Cici, and Gibson (2007), Jiang, Yao, and Yu (2007), Kacperczyk and Seru (2007), Cremers and Petajisto (2009), Baker et al. (2010), Ciccotello, Greene, and Rakowski (2011),…”