Mamaysky, Harry; Spiegel, Matthew; Zhang, Hong - In: Review of Financial Studies 21 (2008) 1, pp. 233-264
This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false...