English, Article edition: Short-term market timing using the bond-equity yield ratio Pierre Giot; Mikael Petitjean

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Bookmark: http://trove.nla.gov.au/version/49458
Physical Description
  • article
Language
  • English

Edition details

Title
  • Short-term market timing using the bond-equity yield ratio
Author
  • Pierre Giot
  • Mikael Petitjean
Physical Description
  • article
Notes
  • This paper takes a new look at the market-timing ability of the bond-equity yield ratio (BEYR). We compare the short-term profitability of a naive strategy based on the extreme values of the BEYR to the short-term profitability of a sophisticated strategy relying on regime switches. In contrast to previous studies, we do not document any major international evidence that these dynamic strategies deliver significantly higher risk-adjusted returns than the buy-and-hold portfolios. Moreover, the profitability of these active strategies is not improved when the equity yield, instead of the BEYR, is used as a criterion to time the market.
  • valuation ratio, switching, regime, market timing,
  • RePEc:taf:eurjfi:v:15:y:2009:i:4:p:365-384
Language
  • English
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