This paper examines the performance of industry rotation using momentum strategy evidenced from the Stock Exchange of Thailand. The data is based on the industry total return index during 141-month period starting from January 2004 to September 2015. The most successful strategy is the strategy...

This paper aims to examine whether the market timing strategy with Gilt-Equity Yield Ratio or GEYR can create abnormal returns in Thai Stock market. The trading rules using GEYR are established and switching strategies between bonds and equities are implemented. The out-of-sample profitability...

One of the main cornerstones of traditional financial theory is the Efficient Market Hypothesis (EMH). However, several violations of EMH have been discovered to the contrary of explanation provided by traditional financial theory. One of the key discoveries was the over-reaction effect of...