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A Structural Model of Dynamic Market Timing

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  • Jérome Detemple
  • Marcel Rindisbacher

Abstract

This paper derives and analyzes dynamic timing strategies of a fund manager with private information. Endogenous timing strategies generated by various information structures and skills, and associated fund styles, are identified. Endogenous fund returns are characterized in the public information of an uninformed observer. Timing components are identified. The paper provides foundations for regression analyses of fund returns and tests of market timing. The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.

Suggested Citation

  • Jérome Detemple & Marcel Rindisbacher, 2013. "A Structural Model of Dynamic Market Timing," The Review of Financial Studies, Society for Financial Studies, vol. 26(10), pages 2492-2547.
    • Handle: RePEc:oup:rfinst:v:26:y:2013:i:10:p:2492-2547
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    File URL: http://hdl.handle.net/10.1093/rfs/hht028
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