This study analyzes whether mutual fund managers possess skill in timing stock market misvaluation. We find that managers successfully increase their market exposure when there is more systematic underpricing. Managers in the top misvaluation timing decile outperform ones in the bottom decile by approximately 3% per year. These results remain robust in the subperiod and exclusion of crisis periods analyses. A fund characteristic analysis shows that younger and smaller funds, and funds with a high turnover ratio tend to increase fund exposure to the market when there is more aggregate misvaluation present in the stock market.

中文翻译：

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共同基金经理能否在股市错误估值中把握共性？

本研究分析了共同基金经理是否具有把握股市错误估值的技巧。我们发现，当存在更系统的抑价时，管理者成功地增加了他们的市场敞口。处于错误估值时间最高的十分之一的经理每年比处于底部十分之一的经理的表现高出大约 3%。这些结果在子时期和危机时期分析中保持稳健。一项基金特征分析表明，当股票市场存在更多的总体错误估值时，年轻、较小的基金和高周转率的基金往往会增加基金对市场的敞口。