RT Journal Article
SR Electronic
T1 Market Timing with <em>Cay</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 70
OP 80
DO 10.3905/jpm.2006.611806
VO 32
IS 2
A1 Sandro C. Andrade
A1 Ilona Babenko
A1 Yuri Tserlukevich
YR 2006
UL https://pm-research.com/content/32/2/70.abstract
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