Title: On Market Timing and Investment, Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (Classic Reprint)
Publisher: Forgotten Books
Publication Date: 2019
Language: English
ISBN 10: 0666187312
ISBN 13: 9780666187314
Binding: HRD
Condition: New
Weight: 273 grams

About this title

Synopsis

A practical guide to measuring market timing and its impact on portfolio performance, with clear tests you can trust.

This book explains how forecasters’ predictions can be used to separate the value of market timing from stock picking, using observable forecasts or return data alone. It combines nonparametric ideas with parametric tests to give a complete view of forecasting skill in investment management.

Learn how to frame timing ability as a measurable signal in up- and down-market conditions.
See how to use regression to separate microforecasting and macroforecasting contributions to returns.
Understand tests that work even when forecasts aren’t directly observed, including how to handle varying confidence over time.
Explore extensions for multiple forecast regions and more complex timing strategies.

Ideal for readers of investment performance research, portfolio management, and anyone evaluating a market-timing capability in a practical, data-driven way.

"About this title" may belong to another edition of this title.

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