Mutual fund managers' timing abilities

This paper examines Chinese mutual fund managers' abilities to time market, market volatility, and market-wide liquidity. Using a sample of Chinese mutual funds, we employ both cross-sectional and bootstrap analyses and find strong evidence that, during 2001-2011, Chinese mutual fund managers demonstrated the ability to time market returns, volatility, and market liquidity. We also find top timers outperform bottom timers by 6-7% annually in out-of-sample tests, manifesting the practical meaning of timing ability. We then conduct robustness checks of our findings and the results are the same.