On Market Timing and Investment Performance, Vol. 1

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Excerpt from On Market Timing and Investment Performance, Vol. 1: An Equilibrium Theory of Value for Market ForecastsOur study of market timing is broken into two parts. In the first part which is presented here, we develop the basic model and analyze the theoretical structure of the pattern of returns from market timing. From this analysis, we derive an equilibrium theory of value for market timing forecasting skills. In the second part to be presented in a subsequent paper, we use the structure derived here to develop both parametric and non parametric statistical procedures to test for superior fore casting skills. These tests of investment performance will distinguish market timing from individual stock selection skills.About the PublisherForgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.comThis book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully, any imperfections that remain are intentionally left to preserve the state of such historical works.