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On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills

Citations

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Cited by:

  1. Linh Tran Dieu, 2015. "A Comparison of Bank and Non-bank Funds in the French Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(3), pages 273-294, June.
  2. Easaw, Joshy Z. & Garratt, Dean & Heravi, Saeed M., 2005. "Does consumer sentiment accurately forecast UK household consumption? Are there any comparisons to be made with the US?," Journal of Macroeconomics, Elsevier, vol. 27(3), pages 517-532, September.
  3. Frank, Murray Z. & Nezafat, Mahdi, 2019. "Testing the credit-market-timing hypothesis using counterfactual issuing dates," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 187-207.
  4. Charles Cao & Grant Farnsworth & Hong Zhang, 2021. "The Economics of Hedge Fund Startups: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 76(3), pages 1427-1469, June.
  5. Erik Theissen & Mario Greifzu, 1998. "Performance deutscher Rentenfonds," Schmalenbach Journal of Business Research, Springer, vol. 50(5), pages 436-461, May.
  6. Nicolosi, Gina & Peng, Liang & Zhu, Ning, 2009. "Do individual investors learn from their trading experience?," Journal of Financial Markets, Elsevier, vol. 12(2), pages 317-336, May.
  7. Gustavo Passarelli Giroud Joaquim & Marcelo Leite Moura, 2011. "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(4), pages 525-548.
  8. Marwa Zouaoui, 2019. "Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds," IJFS, MDPI, vol. 7(3), pages 1-19, September.
  9. Thonifho Pollen Muridili & Ruschelle Sgammini & Sune Ferreira-Schenk & John George Jansen van Rensburg & Daniel Mokatsanyane, 2022. "The Impact of Covid-19 on the Performance of Hedge Funds Compared to Mutual Funds in South Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 12(6), pages 133-144, November.
  10. Magdalena Homa & Monika Mościbrodzka, 2015. "Application of multifactorial markettiming models to assess risk and effectiveness of equity-linked insurance funds in Poland," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 16(2), pages 279-292, June.
  11. Kitamura, Yoshihiro, 2017. "Simple measures of market efficiency: A study in foreign exchange markets," Japan and the World Economy, Elsevier, vol. 41(C), pages 1-16.
  12. Andrew Clare & Mariana Clare, 2019. "An examination of ex ante fund performance: identifying indicators of future performance," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 175-195, May.
  13. Francis In & Sangbae Kim & Philip I Ji, 2014. "On timing ability in Australian managed funds," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 93-106, February.
  14. Michael Pinelis & David Ruppert, 2020. "Machine Learning Portfolio Allocation," Papers 2003.00656, arXiv.org, revised Nov 2021.
  15. Henriksson, Roy. & Lessard, Donald R., 1982. "The efficiency of the forward exchange market : a conditional nonparametric test of forecasting ability," Working papers 1337-82., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  16. Eduardo Roca & Victor Wong, 2008. "An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 583-597.
  17. Butt, Prof. Khursheed A & Pandow, Bilal Ahmad, 2013. "An analysis into the Stock Selectivity skill of Indian Fund Managers," MPRA Paper 83500, University Library of Munich, Germany, revised 2013.
  18. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
  19. Gallefoss, Kristoffer & Hansen, Helge Hoff & Haukaas, Eirik Solli & Molnár, Peter, 2015. "What daily data can tell us about mutual funds: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 117-129.
  20. Jung‐Soon Shin & Minki Kim & Dongjun Oh & Tong Suk Kim, 2019. "Do hedge funds time market tail risk? Evidence from option‐implied tail risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 205-237, February.
  21. Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi, 2012. "Measuring investor sentiment with mutual fund flows," Journal of Financial Economics, Elsevier, vol. 104(2), pages 363-382.
  22. Edda Claus, 2011. "Seven Leading Indexes of New Zealand Employment," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 76-89, March.
  23. Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  24. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
  25. Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2009. "Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53052, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  26. Georges Hübner, 2005. "The Generalized Treynor Ratio," Review of Finance, European Finance Association, vol. 9(3), pages 415-435.
  27. Dorfmann, Jeffrey & Karali, Berna, 2015. "A Nonparametric Search for Information Effects from USDA Reports," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 40(1), pages 1-20.
  28. Kee‐Hong Bae & Junesuh Yi, 2008. "The Impact of the Short‐Short Rule Repeal on the Timing Ability of Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 969-997, September.
  29. Mahfooz Alam & Valeed Ahmad Ansari, 2020. "Mutual fund managers’ market timing abilities: Indian evidence," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 342-354, July.
  30. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
  31. Tsuchiya, Yoichi, 2013. "Are government and IMF forecasts useful? An application of a new market-timing test," Economics Letters, Elsevier, vol. 118(1), pages 118-120.
  32. Pirgaip, Burak & Arslan-Ayaydin, Özgür & Karan, Mehmet Baha, 2021. "Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey," Global Finance Journal, Elsevier, vol. 50(C).
  33. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  34. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
  35. Daniel, Kent & Moskowitz, Tobias J., 2016. "Momentum crashes," Journal of Financial Economics, Elsevier, vol. 122(2), pages 221-247.
  36. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
  37. Subrata Roy, 2016. "Another Look in Conditioning Alphas on Economic Information: Indian Evidence," Global Business Review, International Management Institute, vol. 17(1), pages 191-213, February.
  38. Mustafa Onur Caglayan & Sevan Ulutas, 2014. "Emerging Market Exposures and the Predictability of Hedge Fund Returns," Financial Management, Financial Management Association International, vol. 43(1), pages 149-180, March.
  39. Jamila Abaidi Hasnaoui & Syed Kumail Abbas Rizvi & Krishna Reddy & Nawazish Mirza & Bushra Naqvi, 2021. "Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 360-375, September.
  40. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
  41. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
  42. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City.
  43. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September.
  44. Hui Hong & Fergal O'Brien & James Ryan, 2014. "Inflation And The Subsequent Timing Of The Chinese Stock Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 10(2), pages 13-35.
  45. Matallín-Sáez, Juan Carlos, 2015. "A note on market timing: Interim trading and the performance of holdings-based and return-based measures," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 90-99.
  46. Adrian E. Tschoegl, 2005. "The Key to Risk Management: Management," Springer Books, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel (ed.), Risk Management, edition 0, pages 721-739, Springer.
  47. Ding, Jing & Jiang, Lei & Liu, Xiaohui & Peng, Liang, 2023. "Nonparametric tests for market timing ability using daily mutual fund returns," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
  48. Ching-Chuan Tsong, 2009. "Assessing the Accuracy of Event Forecasts," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 219-240, July.
  49. Mark T. Leung & An‐Sing Chen & Ruben Mancha, 2009. "Making trading decisions for financial‐engineered derivatives: a novel ensemble of neural networks using information content," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(4), pages 257-277, October.
  50. Joanna Olbryś, 2010. "Three-factor market-timing models with Fama and French’s spread variables," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(2), pages 91-106.
  51. Foster, Kenneth A. & Havenner, Arthur M., 1999. "Cointegration And Settlement Of Commodity Futures Contracts," Macroeconomic Dynamics, Cambridge University Press, vol. 3(2), pages 226-242, June.
  52. IIZUKA Nobuo, 2013. "Predicting Business Cycle Phases by Professional Forecasters－ Are They Useful ?," ESRI Discussion paper series 305, Economic and Social Research Institute (ESRI).
  53. Lahiri, Kajal & Peng, Huaming & Zhao, Yongchen, 2015. "Testing the value of probability forecasts for calibrated combining," International Journal of Forecasting, Elsevier, vol. 31(1), pages 113-129.
  54. Benson, Karen L. & Faff, Robert W., 2003. "A performance analysis of Australian international equity trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 69-84, February.
  55. Giannikis, Dimitrios & Vrontos, Ioannis D., 2011. "A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1399-1414, June.
  56. Graham, John R. & Harvey, Campbell R., 1996. "Market timing ability and volatility implied in investment newsletters' asset allocation recommendations," Journal of Financial Economics, Elsevier, vol. 42(3), pages 397-421, November.
  57. Paolo Colla & José M. Marín, 2010. "Performance evaluation in competitive REE models," Working Papers 2010-21, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  58. Gianni Amisano & Roberto Savona, 2007. "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers 0706, University of Brescia, Department of Economics.
  59. Alain P. Chaboud & Owen F. Humpage, 2003. "An analysis of Japanese foreign exchange interventions, 1991-2002," Working Papers (Old Series) 0309, Federal Reserve Bank of Cleveland.
  60. Zheng, Yao & Osmer, Eric & Zhang, Ruiyi, 2018. "Sentiment hedging: How hedge funds adjust their exposure to market sentiment," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 147-160.
  61. Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
  62. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
  63. Isoé N. Schneider & Daniel Knebel Baggio & João S. Tusi da Silveira & Maria M. Baccin Brizolla, 2020. "Assessing Market Timing Performance of Brazilian Multi-Asset Pension Funds using the Battese and Coelli's Stochastic Frontier Model (1995)," Economics Bulletin, AccessEcon, vol. 40(1), pages 50-60.
  64. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
  65. Sadorsky, Perry, 2006. "Modeling and forecasting petroleum futures volatility," Energy Economics, Elsevier, vol. 28(4), pages 467-488, July.
  66. Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
  67. Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Econometric Institute Research Papers EI2018-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  68. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
  69. Subrata K. Mitra & Abhishek Rohit, 2020. "Momentum Trading with the ℓ1‐Filter: Are the Markets Efficient?," International Review of Finance, International Review of Finance Ltd., vol. 20(4), pages 827-856, December.
  70. Woodward, George & Brooks, Robert, 2009. "Do realized betas exhibit up/down market tendencies?," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 511-519, June.
  71. Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014. "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, vol. 183(2), pages 202-210.
  72. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019. "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 212-229.
  73. Richard Heaney & Terry Hallahan & Thomas Josev & Heather Mitchell, 2007. "Time-Changing Alpha? The Case of Australian International Mutual Funds," Australian Journal of Management, Australian School of Business, vol. 32(1), pages 95-112, June.
  74. Fritsche, Ulrich & Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2015. "Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding," International Journal of Forecasting, Elsevier, vol. 31(1), pages 130-139.
  75. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
  76. Bespalova, Olga, 2018. "Forecast Evaluation in Macroeconomics and International Finance. Ph.D. thesis, George Washington University, Washington, DC, USA," MPRA Paper 117706, University Library of Munich, Germany.
  77. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
  78. Charles Cao & Eric Ghysels & Frank Hatheway, 2001. "Derivatives Do Affect Mutual Funds Returns : How and When?," CIRANO Working Papers 2001s-62, CIRANO.
  79. Helmut Herwartz & Leonardo Morales-Arias, 2009. "In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors," The European Journal of Finance, Taylor & Francis Journals, vol. 15(1), pages 1-28.
  80. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, vol. 99(3), pages 546-559, March.
  81. Kee-Hong Bae & Junesuh Yi, 2008. "The Impact of the Short-Short Rule Repeal on the Timing Ability of Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7-8), pages 969-997.
  82. Norman R. Swanson & Halbert White, 1997. "A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 540-550, November.
  83. Edward Olszewski, 2001. "A strategy for trading the S&P 500 futures market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(1), pages 62-79, March.
  84. Caporin, Massimiliano & Lisi, Francesco, 2013. "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 236-249.
  85. Pankaj Topiwala & Wei Dai, 2022. "Surviving Black Swans: The Challenge of Market Timing Systems," JRFM, MDPI, vol. 15(7), pages 1-25, June.
  86. Olbryś Joanna, 2012. "Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds," Folia Oeconomica Stetinensia, Sciendo, vol. 10(2), pages 60-80, January.
  87. Ping-Huang Chou & Huimin Chung & Erh-Yin Sun, 2005. "Detecting mutual fund timing ability using the threshold model," Applied Economics Letters, Taylor & Francis Journals, vol. 12(13), pages 829-834.
  88. Tsuchiya, Yoichi, 2016. "Directional analysis of fiscal sustainability: Revisiting Domar's debt sustainability condition," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 189-201.
  89. Zheng, Yao & Osmer, Eric & Bai, Yidan, 2021. "Timing market confidence in the Chinese domestic security market," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 298-311.
  90. Stelios Bekiros & Dimitris Georgoutsos, 2008. "Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index," The European Journal of Finance, Taylor & Francis Journals, vol. 14(5), pages 397-408.
  91. Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003. "Market Timing : A Decomposition of Mutual Fund Returns," Discussion Paper 2003-95, Tilburg University, Center for Economic Research.
  92. Jonathan Ingersoll & Ivo Welch, 2007. "Portfolio Performance Manipulation and Manipulation-proof Performance Measures," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1503-1546, 2007 17.
  93. Yong Chen & Bing Han & Jing Pan, 2021. "Sentiment Trading and Hedge Fund Returns," Journal of Finance, American Finance Association, vol. 76(4), pages 2001-2033, August.
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  95. Laurens Swinkels & Liam Tjong-A-Tjoe, 2007. "Can mutual funds time investment styles?," Journal of Asset Management, Palgrave Macmillan, vol. 8(2), pages 123-132, July.
  96. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
  97. Rania HENTATI & Jean-Luc PRIGENT, 2010. "Structured Portfolio Analysis under SharpeOmega Ratio," EcoMod2010 259600073, EcoMod.
  98. Brahmadev Panda & Rudra Prasanna Mahapatra & Samson Moharana, 2015. "Myth of Equity Mutual Fund Performance," Vision, , vol. 19(3), pages 200-209, September.
  99. Anatolyev Stanislav, 2009. "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
  100. Mamdouh Medhat & Maik Schmeling, 2022. "Short-term Momentum," Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1480-1526.
  101. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
  102. Kalima, Bwalya & Gopane, Thabo, 2022. "Portfolio performance under dynamic systematic risk and conditional betas: The South African unit trust market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 85-98.
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  106. Seungho Baek & Mina Glambosky & Seok Hee Oh & Jeong Lee, 2020. "Machine Learning and Algorithmic Pairs Trading in Futures Markets," Sustainability, MDPI, vol. 12(17), pages 1-24, August.
  107. Tim Meyer, 2019. "On the Directional Accuracy of United States Housing Starts Forecasts: Evidence from Survey Data," The Journal of Real Estate Finance and Economics, Springer, vol. 58(3), pages 457-488, April.
  108. Markus Natter, 2018. "Options‐based benchmark indices—A review of performance and (in)appropriate measures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 271-288, February.
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  110. Karen Benson & Philip Gray & Egon Kalotay & Judy Qiu, 2008. "Portfolio Construction and Performance Measurement when Returns are Non-Normal," Australian Journal of Management, Australian School of Business, vol. 32(3), pages 445-461, March.
  111. Clare, Andrew & Sherman, Meadhbh Brid & Thomas, Steve, 2016. "Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada," Research in International Business and Finance, Elsevier, vol. 36(C), pages 212-221.
  112. Wang, Haoyu & Di, Junpeng & Yang, Zhaojun & Han, Qing, 2020. "Assessment of mutual fund performance based on Ensemble Empirical Mode Decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
  113. Aiken, Adam L. & Kilic, Osman & Reid, Sean, 2016. "Can hedge funds time global equity markets? Evidence from emerging markets," Review of Financial Economics, Elsevier, vol. 29(C), pages 2-11.
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  115. Keith Cuthbertson & Simon Hayley & Dirk Nitzsche, 2016. "Market and Style Timing: German Equity and Bond Funds," European Financial Management, European Financial Management Association, vol. 22(4), pages 667-696, September.
  116. Clements, Michael P & Smith, Jeremy, 1999. "A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 123-141, March-Apr.
  117. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.
  118. Sanaullah & Muhammad Shahbaz Khan & Dr. Amna Noor & Salleh Khan, 2021. "An Investigation of Market Timing Ability of Mutual Fund Managers in Pakistan," iRASD Journal of Management, International Research Alliance for Sustainable Development (iRASD), vol. 3(1), pages 56-68, june.
  119. Asif, Raheel & Frömmel, Michael & Mende, Alexander, 2022. "The crisis alpha of managed futures: Myth or reality?," International Review of Financial Analysis, Elsevier, vol. 80(C).
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  121. Jamie Alcock & Philip Gray, 2005. "Forecasting Stock Returns Using Model‐Selection Criteria," The Economic Record, The Economic Society of Australia, vol. 81(253), pages 135-151, June.
  122. Hamid Baghestani, 2010. "Evaluating Blue Chip forecasts of the trade-weighted dollar exchange rate," Applied Financial Economics, Taylor & Francis Journals, vol. 20(24), pages 1879-1889.
  123. Martin T. Bohl, Judith Lischewski and Svitlana Voronkova, 2008. "Does Regulation Hurt Pension Funds' Performance? Evidence from Strongly Regulated Pension Fund Industries," The Institute for International Integration Studies Discussion Paper Series iiisdp247, IIIS.
  124. William N. Goetzmann & Jonathan E. Ingersoll, Jr. & Matthew I. Spiegel & Ivo Welch, 2002. "Sharpening Sharpe Ratios," Yale School of Management Working Papers ysm29, Yale School of Management.
  125. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013. "Common factors and the exchange rate: results from the Brazilian case," Insper Working Papers wpe_318, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  126. Fang, Jiali & Jacobsen, Ben & Qin, Yafeng, 2014. "Predictability of the simple technical trading rules: An out-of-sample test," Review of Financial Economics, Elsevier, vol. 23(1), pages 30-45.
  127. Wolfgang Bessler & Thomas Conlon & Diego Víctor de Mingo‐López & Juan Carlos Matallín‐Sáez, 2022. "Mutual fund performance and changes in factor exposure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(1), pages 17-52, March.
  128. Blaskowitz, Oliver & Herwartz, Helmut, 2014. "Testing the value of directional forecasts in the presence of serial correlation," International Journal of Forecasting, Elsevier, vol. 30(1), pages 30-42.
  129. Sherrill, D. Eli & Shirley, Sara E. & Stark, Jeffrey R., 2017. "Actively managed mutual funds holding passive investments: What do ETF positions tell us about mutual fund ability?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 48-64.
  130. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
  131. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
  132. S. Pavithra & Parthajit Kayal, 2023. "A Study of Investment Style Timing of Mutual Funds in India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 49-72, March.
  133. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
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