]> BibSonomy publications for /bibtex/1c21d67357b9b55399bc900eb824abdf5 http://www.bibsonomy.org/burst/bibtex/1c21d67357b9b55399bc900eb824abdf5 BibSonomy BuRST Feed for /bibtex/1c21d67357b9b55399bc900eb824abdf5 2008-07-27T03:09:40+02:00 Testing for market timing ability : A framework for forecast evaluation http://www.bibsonomy.org/bibtex/2bc747604cb8796adc54873443e3de47a/smicha smicha 2008-04-22T15:17:45+02:00 imported
Testing for market timing ability : A framework for forecast evaluation
Robert E. Cumby and David M. Modest Journal of Financial Economics 19 169--189 (1987)
to imported by smicha on 2008-04-22 15:17:45 ]]> Journal of Financial EconomicsSep1169--189Testing for market timing ability : A framework for forecast evaluation191987imported 2008-04-22 15:17:45.0 Testing for Market Timing Ability: A Framework for Forecast Evaluation http://www.bibsonomy.org/bibtex/21f204586cf10e01cecb0560631b30536/deepgorge deepgorge 2006-07-21T20:00:04+02:00 imported
Testing for Market Timing Ability: A Framework for Forecast Evaluation
Robert E. Cumby and David M. Modest 169-189 (1987)
to imported by deepgorge on 2006-07-21 20:00:04 ]]> January169-189Testing for Market Timing Ability: A Framework for Forecast Evaluation191987imported 2006-07-21 20:00:04.0In 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.