Pitfalls in market timing test

被引：15

作者：

Chu, Chia-Shang ^{[1
]}

Lu, Liping ^{[1
]}

Shi, Zhentao ^{[1
]}

机构：

[1] Peking Univ, China Ctr Econ Res, Beijing 100871, Peoples R China

来源：

ECONOMICS LETTERS | 2009年 / 103卷 / 03期

关键词：

Market timing test; Markov regression; Spurious regression; FORECAST EVALUATION; PERFORMANCE; ACCURACY; ABILITY;

D O I：

10.1016/j.econlet.2009.01.034

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Henriksson and Merton's market timing test suffers nontrivial size distortion when the observations are serially dependent sequences. Potential danger of finding spurious timing ability can be avoided by implementing a Markov regression that includes the lagged dependent variables as additional explanatory variables. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：123 / 126

页数：4

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