Artikel
The odds of profitable market timing
This statistical study refines and updates Sharpe's empirical paper (1975, Financial Analysts Journal) on switching between US common stocks and cash equivalents. According to the original conclusion, profitable market timing relies on a representative portfolio manager who can correctly forecast the next year at least 7 times out of 10. Four changes are made to the original setting. The new data set begins and ends with similar price-earnings ratios; a more accurate approximation of commissions is given; the rationality of assumptions is examined; a prospective and basic Monte Carlo analysis is carried out so as to consider the heterogeneous performance of a number of portfolio managers with the same forecasting accuracy. Although the first three changes improve retrospectively the odds of profitable market timing, the original conclusion is corroborated once more.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 6 ; Pages: 1-14 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
commission
forecasting accuracy
market timing
Monte Carlo analysis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Buzzacchi, Luigi
Ghezzi, Luca
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
-
doi:10.3390/jrfm14060250
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Buzzacchi, Luigi
- Ghezzi, Luca
- MDPI
Entstanden
- 2021
Ähnliche Objekte (12)
VIX futures as a market timing indicator
Surviving black swans: The challenge of market timing systems
Selectivity and market timing ability of fund managers: Comparative analysis of Islamic and conventional HSBC Saudi mutual funds
A survey on efficiency and profitable trading opportunities in cryptocurrency markets
The market-timing ability of Chinese equity securities investment funds
Surviving Black Swans II: timing the 2020-2022 roller coaster
Overconfidence and timing of entry
Systematic positive expected returns in the UK fixed odds betting market: An analysis of the Fink Tank predictions
Do profitable banks make a positive contribution to the economy?
Factors affecting firm competitiveness: Evidence from an emerging market
Timing foreign exchange markets
Against all odds: Tentative steps toward efficient information sharing in groups
VIX futures as a market timing indicator
Surviving black swans: The challenge of market timing systems
Selectivity and market timing ability of fund managers: Comparative analysis of Islamic and conventional HSBC Saudi mutual funds
A survey on efficiency and profitable trading opportunities in cryptocurrency markets
The market-timing ability of Chinese equity securities investment funds
Surviving Black Swans II: timing the 2020-2022 roller coaster
Overconfidence and timing of entry
Systematic positive expected returns in the UK fixed odds betting market: An analysis of the Fink Tank predictions
Do profitable banks make a positive contribution to the economy?
Factors affecting firm competitiveness: Evidence from an emerging market
Timing foreign exchange markets
Against all odds: Tentative steps toward efficient information sharing in groups
VIX futures as a market timing indicator
Surviving black swans: The challenge of market timing systems
Selectivity and market timing ability of fund managers: Comparative analysis of Islamic and conventional HSBC Saudi mutual funds
A survey on efficiency and profitable trading opportunities in cryptocurrency markets
The market-timing ability of Chinese equity securities investment funds
Surviving Black Swans II: timing the 2020-2022 roller coaster
Overconfidence and timing of entry
Systematic positive expected returns in the UK fixed odds betting market: An analysis of the Fink Tank predictions
Do profitable banks make a positive contribution to the economy?
Factors affecting firm competitiveness: Evidence from an emerging market
Timing foreign exchange markets