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- W3124231656 abstract "The Bond-Equity Yield Ratio (BEYR) has recently become a popular relative pricing tool favored by market practitioners. In this paper we compare the short-term profitability of a naive strategy based on the extreme values of the BEYR to the short-term profitability of a more sophisticated strategy relying on regime switches. Although the latter seems to perform better than the former, there is no overwhelming international evidence that these dynamic strategies deliver significantly higher risk-adjusted returns than the buy-and-hold portfolios. In addition, the profitability of these active strategies does not appear to be significantly different when the equity yield, instead of the BEYR, is used as criterion to time the market." @default.
- W3124231656 created "2021-02-01" @default.
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- W3124231656 date "2006-01-01" @default.
- W3124231656 modified "2023-09-24" @default.
- W3124231656 title "Short-Term Market Timing Using the Bond-Equity Yield Ratio" @default.
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- W3124231656 doi "https://doi.org/10.2139/ssrn.949710" @default.
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