MARKET TIMING IN REGRESSIONS AND REALITY
We compare price-to-earnings ratios and dividend yields, which are indirect measures of sentiment, with the bullish sentiment index, which is a direct measure. We find that the sentiment index does better as a market-timing tool than do P/E ratios and dividend yields, but none is very reliable. We do not argue that market timing is impossible. Rather, we observe that stock prices reflect both sentiment and value, both of which are difficult to measure and neither of which is perfectly known in foresight. Successful market timing requires insights into future sentiment and value, insights beyond those that are reflected in widely available measures. 2006 The Southern Finance Association and the Southwestern Finance Association.
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|Authors:||Fisher, Kenneth L. ; Statman, Meir|
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 29.2006, 3, p. 293-304
Southern Finance Association - SFA
Southwestern Finance Association - SWFA
|Type of publication:||Article|