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Evaluating a stock market timing strategy: the case of RTE Asset Management

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  • Tezel, Ahmet
  • McManus, Ginette
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    File URL: http://www.sciencedirect.com/science/article/B6W4D-4602NS8-3/2/40aabc59e33d0a0deca1b7ff937a43ca
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    Bibliographic Info

    Article provided by Elsevier in its journal Financial Services Review.

    Volume (Year): 10 (2001)
    Issue (Month): 1-4 ()
    Pages: 173-186

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    Handle: RePEc:eee:finser:v:10:y:2001:i:1-4:p:173-186

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    Web page: http://www.rmi.gsu.edu/FSR/FSRhome.htm

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    1. Lee, Cheng Few & Rahman, Shafiqur, 1990. "Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 63(2), pages 261-78, April.
    2. Grinblatt, Mark & Titman, Sheridan, 1994. "A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(03), pages 419-444, September.
    3. John R. Graham & Campbell R. Harvey, 1997. "Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations," NBER Working Papers 4890, National Bureau of Economic Research, Inc.
    4. Pesaran, M.H. & Timmermann, A., 1990. "A Simple Non-Parametric Test Of Predictive Performance," Papers 29, California Los Angeles - Applied Econometrics.
    5. Alex Kane, 1991. "The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds," NBER Technical Working Papers 0075, National Bureau of Economic Research, Inc.
    6. Goetzmann, William N. & Ingersoll, Jonathan & Ivković, Zoran, 2000. "Monthly Measurement of Daily Timers," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 257-290, September.
    7. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June.
    8. Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers dp303, Financial Markets Group.
    9. Prather, Laurie & Bertin, William J., 1998. "The implication of discount rate changes for market timing," Review of Financial Economics, Elsevier, vol. 7(1), pages 21-33.
    10. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
    11. Rich, Steven P. & Reichenstein, William, 1993. "Market timing for the individual investor: Using the predictability of long-horizon stock returns to enhance portfolio performance," Financial Services Review, Elsevier, vol. 3(1), pages 29-43.
    12. Droms, William G & Walker, David A, 1994. "Investment Performance of International Mutual Funds," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 17(1), pages 1-14, Spring.
    13. Becker, Connie & Ferson, Wayne & Myers, David H. & Schill, Michael J., 1999. "Conditional market timing with benchmark investors," Journal of Financial Economics, Elsevier, vol. 52(1), pages 119-148, April.
    14. Pelaez, Rolando F, 1998. "Economically Significant Stock Market Forecasts," The Financial Review, Eastern Finance Association, vol. 33(1), pages 65-76, February.
    15. Cumby, Robert E & Glen, Jack D, 1990. " Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
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