On Market Timing and Investment, Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (Classic Reprint) - Softcover
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Excerpt from On Market Timing and Investment, Performance Part II: Statistical Procedures for Evaluating Forecasting Skills
In Part I, one of usl/ developed a basic model of market timing forecasts where the forecaster predicts when stocks will outperform bonds and when bonds will outperform stocks but he does not predict the magnitude of the superior performance. In that analysis, it was shown that the pattern of returns from successful market timing has an isomorphic correspondence to the pattern of returns from following certain option investment strategies where the implicit prices paid for the options are less than their fair or market values. This isomorphic correspondence was used to derive an equilibrium theory of value for market timing forecasting skills. By analyzing how investors would use the market timer's forecast to modify their probability beliefs about stock returns, it was shown that the conditional probabilities of a correct forecast (conditional on the return on the market) provide both necessary and sufficient conditions for such forecasts to have a positive value.
In the analysis presented here, we use the basic model of market timing derived in Part I to develop both parametric and nonparametric statistical procedures to test for superior forecasting skills.
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On Market Timing and Investment, Performance Part II (Classic Reprint)
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Paperback. Zustand: New. Print on Demand. This book presents a statistical framework to evaluate the skill of market timers and security analysts. The author argues that forecasts can have positive value even if they are not perfectly accurate. The book first establishes a basic model of market timing to explore how patterns of returns correspond to the patterns of returns from following certain option investment strategies. This isomorphic correspondence is then used as a basis to develop both parametric and nonparametric statistical procedures to test for superior forecasting skills. The author shows that it is possible to measure the contributions to portfolio performance from market timing and security analysis and that these measurements do not depend on any assumptions about the distribution of returns on securities. The book concludes that while the efficient markets theory and the random walk hypothesis have been soundly criticized and even refuted, there may in fact be exploitable opportunities in the market for above-average returns. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Bestandsnummer des Verkäufers 9781332273102_0
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On Market Timing and Investment, Performance Part II Statistical Procedures for Evaluating Forecasting Skills Classic Reprint
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PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000. Bestandsnummer des Verkäufers LW-9781332273102
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On Market Timing and Investment, Performance Part II Statistical Procedures for Evaluating Forecasting Skills Classic Reprint
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PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000. Bestandsnummer des Verkäufers LW-9781332273102
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On Market Timing and Investment, Performance Part II : Statistical Procedures for Evaluating Forecasting Skills (Classic Reprint)
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Zustand: Hervorragend. Zustand: Hervorragend | Seiten: 48 | Sprache: Englisch | Produktart: Bücher | Keine Beschreibung verfügbar. Bestandsnummer des Verkäufers 26070010/1
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