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
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