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- W2023201425 abstract "We 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 S&P500 index by 6 to 22 percentage points (annualized) after controlling for transaction costs over the 1980–2004 period." @default.
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- W2023201425 date "2009-08-01" @default.
- W2023201425 modified "2023-10-10" @default.
- W2023201425 title "Market timing with aggregate accruals" @default.
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- W2023201425 doi "https://doi.org/10.1057/jam.2009.5" @default.
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