Electronic Resource
Oxford, UK
:
Blackwell Publishing Ltd
Journal of business finance & accounting
1 (1974), S. 0
ISSN:
1468-5957
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Most institutional fund managers attempt to adjust the stock-bond composition of portfolios over time in anticipation of stock market movements. Using quarterly data in 1962–72 for the United States, this paper demonstrates that ‘profitable’ strategies for timing portfolio composition in common stocks and Treasury bills are generally not attainable after transaction costs if one uses lagged observations of corporate profit, money supply and consumer sentiment to forecast the market return, as this information is largely reflected in current stock prices. By contrast, accurate forecasts of these aggregate variables lead to substantial market-timing profits relative to a buy-and-hold policy of remaining fully invested in common stocks.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1468-5957.1974.tb00860.x
|
Location |
Call Number |
Expected |
Availability |
