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Article: Market timing with aggregate accruals

TitleMarket timing with aggregate accruals
Authors
KeywordsMarket-Timing Strategy
Stock Return Predictability
Value-Weighted Aggregate Accruals
Issue Date2009
PublisherPalgrave Macmillan Ltd. The Journal's web site is located at http://www.palgrave-journals.com/jam
Citation
Journal Of Asset Management, 2009, v. 10 n. 3, p. 170-180 How to Cite?
AbstractWe propose a market-timing strategy that aims to exploit aggregate accruals' return forecasting power. Using several performance measures of the aggregate accruals-based market-timing strategy, such as excess portfolio return, Sharpe ratio, and Jensen's alpha, we find robust evidence that, relative to the passive investment strategy of buying and holding the stock market, the market-timing strategy delivers superior performance that is both statistically and economically significant. Specifically, on average, the market-timing strategy beats the SP500 index by 6 to 22 percentage points (annualized) after controlling for transaction costs over the 1980-2004 period.© 2009 Palgrave Macmillan.
Persistent Identifierhttp://hdl.handle.net/10722/177768
ISSN
2015 SCImago Journal Rankings: 0.181
References

 

DC FieldValueLanguage
dc.contributor.authorKang, Qen_US
dc.contributor.authorLiu, Qen_US
dc.contributor.authorQi, Ren_US
dc.date.accessioned2012-12-19T09:39:51Z-
dc.date.available2012-12-19T09:39:51Z-
dc.date.issued2009en_US
dc.identifier.citationJournal Of Asset Management, 2009, v. 10 n. 3, p. 170-180en_US
dc.identifier.issn1470-8272en_US
dc.identifier.urihttp://hdl.handle.net/10722/177768-
dc.description.abstractWe propose a market-timing strategy that aims to exploit aggregate accruals' return forecasting power. Using several performance measures of the aggregate accruals-based market-timing strategy, such as excess portfolio return, Sharpe ratio, and Jensen's alpha, we find robust evidence that, relative to the passive investment strategy of buying and holding the stock market, the market-timing strategy delivers superior performance that is both statistically and economically significant. Specifically, on average, the market-timing strategy beats the SP500 index by 6 to 22 percentage points (annualized) after controlling for transaction costs over the 1980-2004 period.© 2009 Palgrave Macmillan.en_US
dc.languageengen_US
dc.publisherPalgrave Macmillan Ltd. The Journal's web site is located at http://www.palgrave-journals.com/jamen_US
dc.relation.ispartofJournal of Asset Managementen_US
dc.rightsThe Journal of Asset Management. Copyright © Palgrave Macmillan Ltd.-
dc.rightsThis is a post-peer-review, pre-copyedit version of an article published in Journal Of Asset Management. The definitive publisher-authenticated version Journal Of Asset Management, 2009, v. 10 n. 3, p. 170-180 is available online at: http://dx.doi.org/10.1057/jam.2009.5-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectMarket-Timing Strategyen_US
dc.subjectStock Return Predictabilityen_US
dc.subjectValue-Weighted Aggregate Accrualsen_US
dc.titleMarket timing with aggregate accrualsen_US
dc.typeArticleen_US
dc.identifier.emailLiu, Q: qliu@hku.hken_US
dc.identifier.authorityLiu, Q=rp01078en_US
dc.description.naturepostprinten_US
dc.identifier.doi10.1057/jam.2009.5en_US
dc.identifier.scopuseid_2-s2.0-68949107376en_US
dc.identifier.hkuros177114-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-68949107376&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume10en_US
dc.identifier.issue3en_US
dc.identifier.spage170en_US
dc.identifier.epage180en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridKang, Q=24484765900en_US
dc.identifier.scopusauthoridLiu, Q=55429572300en_US
dc.identifier.scopusauthoridQi, R=23091949700en_US
dc.identifier.citeulike5429091-

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