PT  - JOURNAL ARTICLE
AU  - Sandro C. Andrade
AU  - Ilona Babenko
AU  - Yuri Tserlukevich
TI  - Market Timing with <em>Cay</em>
AID  - 10.3905/jpm.2006.611806
DP  - 2006 Jan 31
TA  - The Journal of Portfolio Management
PG  - 70--80
VI  - 32
IP  - 2
4099  - https://pm-research.com/content/32/2/70.short
4100  - https://pm-research.com/content/32/2/70.full
AB  - 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.TOPICS: Portfolio construction, quantitative methods, performance measurement