Abstract

http://ssrn.com/abstract=834485
 
 

References (17)



 
 

Citations (2)



 


 



Timing is Everything: A Comparison and Evaluation of Market Timing Strategies


Chris Brooks


University of Reading - ICMA Centre

Apostolos Katsaris


Albourne Partners Limited

Gita Persand


University of Bristol - Department of Economics

October 2005


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.

Number of Pages in PDF File: 14

Keywords: market timing rules, speculative bubbles, dynamic asset allocation, S&P500, stock index returns

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Date posted: November 3, 2005  

Suggested Citation

Brooks, Chris and Katsaris, Apostolos and Persand, Gita, Timing is Everything: A Comparison and Evaluation of Market Timing Strategies (October 2005). Available at SSRN: http://ssrn.com/abstract=834485 or http://dx.doi.org/10.2139/ssrn.834485

Contact Information

Chris Brooks (Contact Author)
University of Reading - ICMA Centre ( email )
Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom
+44 118 931 82 39 (Phone)
+44 118 931 47 41 (Fax)
Apostolos Katsaris
Albourne Partners Limited ( email )
United States
Gita Persand
University of Bristol - Department of Economics ( email )
8 Woodland Road
Bristol BS8 ITN
United Kingdom
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