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...

This paper aims to examine the importance of macroeconomic factors to determine the performance in stock market. The regression analysis is used to examine this relationship. The result shows macroeconomic variables can explain stock return significantly after adjusting for lags of data...