PORTFOLIO STRATEGIES - Market Timing with Cay - Market timing strategies using deviations from the long-run log consumption-wealth ratio (Cay) are tested to evaluate whether such strategies deliver superior investment performance. Several statistical tests indicate that true Cay embeds economically significant information about future market returns. At the same time, constraints such as the need ...
| Year of publication: |
2006
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| Authors: | Andrade, Sandro C. ; Babenko, Ilona ; Tserlukevich, Yuri |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 32.2006, 2, p. 70-80
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