Who can time which market? Domestic and international timing across the return distribution of UK investment trusts

This paper examines domestic and international market timing across the return distribution of 311 UK investment trusts over January 1997-December 2025, using the method of moments panel quantile regression (MMQR) of Machado and Santos Silva (2019). We report three findings. Positive timing emerges at quantiles above approximately 70th percentile of the return distribution while most trusts exhibit statistically robust perverse timing in both markets. Conditional timing models reveal a novel asymmetry. We find that elevated uncertainty is associated with lower international market timing at the lower end of the return distribution and higher international market timing at the upper end, while narrowing the gap in domestic market timing across the distribution. We show that these results are less likely to be driven by mechanical sorting, instead suggesting distributional heterogeneity in timing behaviour that is invisible to mean-based estimation.