Market timing with cay

Sandro C. Andrade, Ilona Babenka, Yuri Tserlukevich

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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 to use the estimated rather than true ratio and delays in availability of macroeconomic data cast doubt on the likelihood that the market can be timed using mechanistic strategies based on Cay. Further research will ascertain whether it is possible to implement successful timing strategies using such a ratio.

Original languageEnglish (US)
Pages (from-to)70-80
Number of pages11
JournalJournal of Portfolio Management
Volume32
Issue number2
StatePublished - Dec 2006
Externally publishedYes

Fingerprint

Market timing
Investment performance
Market returns
Time constraints
Deviation
Consumption-wealth ratio
Statistical tests
Macroeconomics

ASJC Scopus subject areas

  • Finance
  • Accounting
  • Economics and Econometrics
  • Business, Management and Accounting(all)

Cite this

Market timing with cay. / Andrade, Sandro C.; Babenka, Ilona; Tserlukevich, Yuri.

In: Journal of Portfolio Management, Vol. 32, No. 2, 12.2006, p. 70-80.

Research output: Contribution to journalArticle

Andrade, Sandro C. ; Babenka, Ilona ; Tserlukevich, Yuri. / Market timing with cay. In: Journal of Portfolio Management. 2006 ; Vol. 32, No. 2. pp. 70-80.
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