@article{Cumb-Mode-1987,
title = {Testing for Market Timing Ability: A Framework for Forecast
Evaluation},
author = {Robert E. Cumby and David M. Modest},
month = {January},
pages = {169-189},
volume = {19},
year = {1987},
abstract = {In this paper, we examine the Henriksson-Merton test of market
timing and its potential usefulness in evaluating investment
advice. The paper proposes a natural extension of the test that
is valid under more general assumptions about the distribution of
asset returns. We show that the Henriksson-Merton test and its
more general counterpart are special cases of standard tests of
market rationality and efficiency. Both tests are applied to a
group of foreign exchange advisory.},
keywords = {imported }
}
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