When using daily mutual fund returns to study the market timing, heavy tails and heteroscedasticity significantly challenge the existing methods. We to accommodate them, we propose a new measure and an efficient test for market timing ability and find that the traditional test misclassifies...

We show that two prominent bootstrap tests for fund skill have distorted test sizes because many funds have short return records and skewed return residuals, and they lack test power to detect skilled funds when a substantial number of unskilled funds are present. We develop the theory for a...

We study the interdependencies between transaction costs, portfolio characteristics, and mutual fund performance. Using a novel dataset of actual mutual fund trades, we find that, controlling for investment style, larger funds realize lower percentage transaction costs than smaller funds. Larger...