We generalize a model of timing behavior in the factor model, developed by Admati et al. (1986) and show that, in the generalized model, some universal statements made by these authors no longer hold. The more generalized model contains, as special cases, the original model and an efficient market model. Its most general case is probably more empirically realistic than either special case. Some important causes and consequences of information asymmetry are not, however, addressed by either the original or the generalized model.
timing; selectivity; portfolio management; performance evaluation
