This paper investigates hedge funds’ ability to time industry-specific returns and shows that funds’ timing ability in the manufacturing industry improves their future performance, probability of survival, and ability to attract more capital. The results indicate that the best industry-timing hedge funds in the manufacturing sector have the highest return exposure to earnings surprises. This, together with persistently sticky earnings surprises, transparent information environment in regards to earnings releases, and large post-earnings-announcement drift in the manufacturing industry, explain to a great extent why best-timing hedge funds can generate significantly larger future returns compared to worst-timing hedge funds.

中文翻译：

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对冲基金的行业择时能力能否预测其未来的业绩、生存和资金流向？

本文研究了对冲基金对特定行业回报的计时能力，并表明基金在制造业中的计时能力提高了它们的未来业绩、生存概率和吸引更多资本的能力。结果表明，制造业中最好的行业时机对冲基金具有最高的收益意外风险敞口。这一点，再加上持续的盈利意外、盈利发布方面的透明信息环境以及制造业在盈利公布后的大幅波动，在很大程度上解释了为什么最佳时机的对冲基金可以产生显着更大的未来回报。最差时机的对冲基金。