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
收藏
页码：123 / 126
页数：4
相关论文
共 50 条
  • [21] The Market Timing and Selectivity of Investment Funds
    Zhong Tingyong
    An Ye
    Li Jiangna
    Li Yan
    PROCEEDINGS OF THE 5TH (2013) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS I AND II, 2013, : 739 - 744
  • [22] Timing the Market with a Combination of Moving Averages
    Glabadanidis, Paskalis
    INTERNATIONAL REVIEW OF FINANCE, 2017, 17 (03) : 353 - 394
  • [23] IPOs and SEOs, real investments, and market timing: Emerging market evidence
    Wadhwa, Kavita
    Reddy, V. Nagi
    Goyal, Abhinav
    Mohamed, Abdulkadir
    JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2016, 45 : 21 - 41
  • [24] Effects of market timing on primary share issues in the Brazilian capital market
    Gomes, Matheus da Costa
    Magnani, Vinicius Medeiros
    Albanez, Tatiana
    do Valle, Mauricio Ribeiro
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 49 : 361 - 377
  • [25] Market Timing Analysis of Turkish Pension Funds Using Smooth Transition Models
    Ozdincer, Begumhan
    Ozyildirim, Cenktan
    IKTISAT ISLETME VE FINANS, 2013, 28 (330): : 61 - 80
  • [26] American hedge funds industry, market timing and COVID-19 crisis
    Ben Khelife, Soumaya
    Urom, Christian
    Guesmi, Khaled
    Benkraiem, Ramzi
    JOURNAL OF ASSET MANAGEMENT, 2022, 23 (05) : 390 - 399
  • [27] Revisiting the Profitability of Market Timing with Moving Averages
    Zakamulin, Valeriy
    INTERNATIONAL REVIEW OF FINANCE, 2018, 18 (02) : 317 - 327
  • [28] Competition at home and foreign market entry timing
    Powell, K. Skylar
    MULTINATIONAL BUSINESS REVIEW, 2019, 27 (01) : 99 - 118
  • [29] The Performance of Market Timing Measures in a Simulated Environment
    Chretien, Stephane
    Coggins, Frank
    d'Amours, Felix
    REVIEW OF FINANCE, 2016, 20 (03) : 1153 - 1187
  • [30] Persistence and Market Timing Ability of Cryptocurrency Funds
    Conlon, Thomas
    De Mingo-Lopez, Diego Victor
    Urquhart, Andrew
    FINANCIAL MANAGEMENT, 2025,
12345