Results 291 to 300 of about 662,387 (353)
Journal of Empirical Finance, 2012 Abstract Ane and Geman (2000) observed that market returns appear to follow a conditional Gaussian distribution where the conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and absolute value of market returns is a ‘stylized fact’ and researchers have interpreted this to ...
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Do Market Timing Hedge Funds Time the Market?
Journal of Financial and Quantitative Analysis, 2007AbstractThis paper examines whether self-described market timing hedge funds have the ability to time the U.S. equity market. We propose a new measure for timing return and volatility jointly that relates fund returns to the squared Sharpe ratio of the market portfolio.
Yong Chen, Bing Liang
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Market Timing: Testing Market Timing Ability in the Egyptian Stock Market
SSRN Electronic Journal, 2007This research is dedicated to test the market timing ability in the Egyptian stock market. Any investor is always making a decision of whether to follow an active strategy or a passive one. Active strategists implicitly believe that the market is not efficient and that stock prices follow patterns that can be identified enabling them to achieve ...
Yasmin H. Abdel Razek, Said T. Ebeid
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Market Timing Strategies That Worked [PDF]
The Journal of Portfolio Management, 2003 There is evidence that a few simple market timing strategies appear to have outperformed a buy-and-hold strategy in the 1970–2000 period. The example here is based on spreads between the E/P ratio of the S&P 500 index and interest rates. Extremely narrow spreads compared to historical ranges appear to predict more frequent market downturns to come.
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Market Timing and Time Frequency
SSRN Electronic Journal, 2019This paper shows the usefulness of selecting the appropriate time frequency to examine mutual fund market timing. Using a sample of daily returns for the UK, we find evidence of the benefit to increase the temporal frequency of the observations to estimate market timing as results present a greater significance when we use daily data in the analysis ...
Javier Vidal-García, Marta Vidal
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Manufacturing Engineer, 1993
Japanese competition has made European companies look again at their time to market strategies. John Bauly and Dick van den Bergh consider the things that the best practice companies have in common and look at some barriers to change.
John Bauly, Dick van den Bergh
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Japanese competition has made European companies look again at their time to market strategies. John Bauly and Dick van den Bergh consider the things that the best practice companies have in common and look at some barriers to change.
John Bauly, Dick van den Bergh
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“MARKET TIMING AND PORTFOLIO MANAGEMENT”
The Journal of Finance, 1978Previous literature relating to market timing includes a brief discussion by Jensen [10], of the implications of market timing for his measure of portfolio performance. In a second study, Jensen [12] has expanded on his earlier work and we will discuss parts of the second paper below. Campanella [4] has considered the influence of timing upon portfolio
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Investment Analysts Journal, 1992
ABSTRACTThis paper updates a 1987 study on market timing on the JSE. It shows that the crash of October 1987 had little impact on the probability of successfully using a timing strategy to “beat the market”. It was also found that there was little difference in the potential for timing between an investment in the All-Share Index and one in the gold ...
A Firer, M Sandler, M Ward
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ABSTRACTThis paper updates a 1987 study on market timing on the JSE. It shows that the crash of October 1987 had little impact on the probability of successfully using a timing strategy to “beat the market”. It was also found that there was little difference in the potential for timing between an investment in the All-Share Index and one in the gold ...
A Firer, M Sandler, M Ward
openaire +1 more source