Abstract

FERRUZ, Luis; MUNOZ, Fernando  and  VARGAS, María. Sesgos en los modelos de sincronización tradicionales. El trimestre econ [online]. 2010, vol.77, n.308, pp.937-976. ISSN 2448-718X.

This paper represents, to the best of our knowledge, the first attempt to bring together all of the biases affecting traditional timing models that have been identified in the literature. These biases are the cause of spurious coefficients and our aim is to propose certain corrective measures. The biases analysed in this paper are related with volatility timing, as well as return timing; the incorporation of public information; the dynamic trading effect; the options implied in timing activities; infrequent trading and the variations in market conditions.

Keywords : sesgos en modelos de sincronización; efecto de la negociación dinámica; fondos de inversión; opciones; efecto de sincronización pasiva; información pública; efecto de estrechez del mercado; sincronización en volatilidad.