Matches in SemOpenAlex for { <https://semopenalex.org/work/W2013984039> ?p ?o ?g. }
Showing items 1 to 68 of
68
with 100 items per page.
- W2013984039 abstract "In this paper, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial advantages over their passive counterparts (see, for example, the paper by M. Faber (2007) A Quantitative Approach to Tactical Asset Allocation published in the Journal of Wealth Management). However, the ``too good to be true reported performance of these market timing rules raises a legitimate concern as to whether this performance is realistic and whether investors can expect that future performance will be the same as the documented historical performance. We argue that the reported performance of market timing strategies usually contains a considerable data-mining bias and ignores important market frictions. To address these issues, we perform out-of-sample tests of these two timing models in which we account for realistic transaction costs. Our findings reveal that the performance of market timing strategies is highly overstated, to say the least." @default.
- W2013984039 created "2016-06-24" @default.
- W2013984039 creator A5039511180 @default.
- W2013984039 date "2013-01-01" @default.
- W2013984039 modified "2023-10-16" @default.
- W2013984039 title "Fooled by Data-Mining: The Real-Life Performance of Market Timing with Moving Averages" @default.
- W2013984039 cites W1977673367 @default.
- W2013984039 cites W2003694666 @default.
- W2013984039 cites W2006182495 @default.
- W2013984039 cites W2066330232 @default.
- W2013984039 cites W2081979521 @default.
- W2013984039 cites W2092282852 @default.
- W2013984039 cites W2098348739 @default.
- W2013984039 cites W2099060645 @default.
- W2013984039 cites W2101053063 @default.
- W2013984039 cites W2134658143 @default.
- W2013984039 cites W2136727510 @default.
- W2013984039 cites W2145411351 @default.
- W2013984039 cites W2148004727 @default.
- W2013984039 cites W2148654185 @default.
- W2013984039 cites W2171899525 @default.
- W2013984039 cites W3121476898 @default.
- W2013984039 cites W3124280487 @default.
- W2013984039 cites W3124295619 @default.
- W2013984039 cites W3125339892 @default.
- W2013984039 cites W3125956629 @default.
- W2013984039 doi "https://doi.org/10.2139/ssrn.2242795" @default.
- W2013984039 hasPublicationYear "2013" @default.
- W2013984039 type Work @default.
- W2013984039 sameAs 2013984039 @default.
- W2013984039 citedByCount "6" @default.
- W2013984039 countsByYear W20139840392013 @default.
- W2013984039 countsByYear W20139840392015 @default.
- W2013984039 countsByYear W20139840392017 @default.
- W2013984039 countsByYear W20139840392018 @default.
- W2013984039 crossrefType "journal-article" @default.
- W2013984039 hasAuthorship W2013984039A5039511180 @default.
- W2013984039 hasConcept C124101348 @default.
- W2013984039 hasConcept C149782125 @default.
- W2013984039 hasConcept C154945302 @default.
- W2013984039 hasConcept C162324750 @default.
- W2013984039 hasConcept C175706884 @default.
- W2013984039 hasConcept C31972630 @default.
- W2013984039 hasConcept C41008148 @default.
- W2013984039 hasConceptScore W2013984039C124101348 @default.
- W2013984039 hasConceptScore W2013984039C149782125 @default.
- W2013984039 hasConceptScore W2013984039C154945302 @default.
- W2013984039 hasConceptScore W2013984039C162324750 @default.
- W2013984039 hasConceptScore W2013984039C175706884 @default.
- W2013984039 hasConceptScore W2013984039C31972630 @default.
- W2013984039 hasConceptScore W2013984039C41008148 @default.
- W2013984039 hasLocation W20139840391 @default.
- W2013984039 hasOpenAccess W2013984039 @default.
- W2013984039 hasPrimaryLocation W20139840391 @default.
- W2013984039 hasRelatedWork W2347219288 @default.
- W2013984039 hasRelatedWork W2348097614 @default.
- W2013984039 hasRelatedWork W2354822586 @default.
- W2013984039 hasRelatedWork W2356351104 @default.
- W2013984039 hasRelatedWork W2358841807 @default.
- W2013984039 hasRelatedWork W2366221835 @default.
- W2013984039 hasRelatedWork W3107474891 @default.
- W2013984039 hasRelatedWork W3130257129 @default.
- W2013984039 hasRelatedWork W3149424243 @default.
- W2013984039 hasRelatedWork W4247202353 @default.
- W2013984039 isParatext "false" @default.
- W2013984039 isRetracted "false" @default.
- W2013984039 magId "2013984039" @default.
- W2013984039 workType "article" @default.