Revisiting the Fisher and Statman Study on Market Timing
AbstractValuation-based market timing demonstrates greater potential to improve risk-adjusted returns for conservative long-term investors than given credit by Fisher and Statman (2006). On a risk-adjusted basis, market-timing strategies provide comparable returns as a 100 percent stocks buy-and-hold strategy but with substantially less risk. Meanwhile, market timing provides comparable risks and the same average asset allocation as a 50/50 fixed allocation strategy, but with much higher returns. Also, defining market timing as either 100 percent stocks or 100 percent Treasury bills does not provide a hedge against the possibility that valuations may depart from their historical averages for extended periods.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 29448.
Date of creation: 09 Mar 2011
Date of revision:
market valuations; cyclically-adjusted price-earnings ratio; PE10; stock returns; market timing; long term; tactical asset allocation; buy and hold;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- N21 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: Pre-1913
- D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
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- Kenneth L. Fisher & Meir Statman, 2006. "Market Timing In Regressions And Reality," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 29(3), pages 293-304.
- Wade D. Pfau, 2009.
"Lifecycle Funds and Wealth Accumulation for Retirement: Evidence for a More Conservative Asset Allocation as Retirement Approaches,"
GRIPS Discussion Papers
10-10, National Graduate Institute for Policy Studies, revised Sep 2010.
- Wade D. Pfau, 2009. "Lifecycle Funds and Wealth Accumulation for Retirement:Evidence for a More Conservative Asset Allocation as Retirement Approaches," GRIPS Discussion Papers 09-15, National Graduate Institute for Policy Studies.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Retirement Planning, December 2011
by Wade Pfau in Pensions, Retirement Planning, and Economics Blog on 2011-12-02 05:54:00
- Role of Valuations for Long-Term Investors
by Wade Pfau in Pensions, Retirement Planning, and Economics Blog on 2011-09-29 04:33:00
- Long-Term Conservative Investors and Valuation-Based Asset Allocation Strategies
by Wade Pfau in Pensions, Retirement Planning, and Economics Blog on 2011-03-17 03:25:00
- Could Valuation-Based Asset Allocation Strategies Have Worked in Japan?
by Wade Pfau in Pensions, Retirement Planning, and Economics Blog on 2011-03-17 02:34:00
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