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Timing is everything: an evaluation and comparison of market timing strategies

Timing is everything: an evaluation and comparison of market timing strategies
Timing is everything: an evaluation and comparison of market timing strategies
Following early failures, more recent empirical evidence has suggested that timing entries to and exits from equity markets may be feasible. A number of approaches to this most basic form of dynamic asset allocation are available, but which works best? This study investigates the relative profitability of several different methodologies using a very long dataset on the S&P 500. In order to overcome the accusations of data snooping and arbitrary parameter choice that beset much previous work in this area, we carefully consider whether the rule performance is sensitive to the specified user-adjustable parameters. We find that all but one of the approaches are able to beat a buy-and-hold equities strategy in risk-adjusted terms, although a strategy based on the difference between the earnings-price ratio and short term Treasury yields works best
market timing rules, speculative bubbles, dynamic asset allocation, S&P500, stock index returns
Social Science Research Network
Brooks, Chris
2be5f663-66b8-43d2-903c-6f800e6e2385
Katsaris, Apostolos
5fafd133-1d7a-4ceb-ae97-45974cf5b950
Persand, Gita
d60c4b3f-fd3b-4b0a-892f-3c4eb992f15d
Brooks, Chris
2be5f663-66b8-43d2-903c-6f800e6e2385
Katsaris, Apostolos
5fafd133-1d7a-4ceb-ae97-45974cf5b950
Persand, Gita
d60c4b3f-fd3b-4b0a-892f-3c4eb992f15d

Brooks, Chris, Katsaris, Apostolos and Persand, Gita (1970) Timing is everything: an evaluation and comparison of market timing strategies Social Science Research Network

Record type: Monograph (Working Paper)

Abstract

Following early failures, more recent empirical evidence has suggested that timing entries to and exits from equity markets may be feasible. A number of approaches to this most basic form of dynamic asset allocation are available, but which works best? This study investigates the relative profitability of several different methodologies using a very long dataset on the S&P 500. In order to overcome the accusations of data snooping and arbitrary parameter choice that beset much previous work in this area, we carefully consider whether the rule performance is sensitive to the specified user-adjustable parameters. We find that all but one of the approaches are able to beat a buy-and-hold equities strategy in risk-adjusted terms, although a strategy based on the difference between the earnings-price ratio and short term Treasury yields works best

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More information

Published date: 1 January 1970
Additional Information: Each of SSRN's networks encourages the early distribution of research results by publishing submitted abstracts and by soliciting abstracts of top quality research papers around the world
Keywords: market timing rules, speculative bubbles, dynamic asset allocation, S&P500, stock index returns

Identifiers

Local EPrints ID: 37289
URI: http://eprints.soton.ac.uk/id/eprint/37289
PURE UUID: badb709d-94c5-40a7-a2d0-5ca5bf9ed0d8

Catalogue record

Date deposited: 11 Jul 2006
Last modified: 17 Jul 2017 15:42

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Contributors

Author: Chris Brooks
Author: Apostolos Katsaris
Author: Gita Persand

University divisions

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