Short-term market timing using the Bond-Equity Yield Ratio
(2009) The European Journal of Finance — Vol. 15, n° 4, p. 365-384 (2009)
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- Authors
- Abstract
- This paper takes a new look at the market timing ability of the Bond-Equity Yield Ratio (BEYR). 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 sophisticated strategy relying on regime switches. In contrast to previous studies, we do not document any major international evidence that these dynamic strategies deliver significantly higher risk-adjusted returns than the buy-and-hold portfolios. Moreover, the profitability of these active strategies is not improved when the equity yield, instead of the BEYR, is used as criterion to time the market.
- Affiliations
Louvain School of Management Accounting & Finance FUCaM Sciences de gestion
Citations
Petitjean, M., & Giot, P. (2009). Short-term market timing using the Bond-Equity Yield Ratio. The European Journal of Finance, 15(4), 365-384. https://doi.org/10.1080/13518470802466097 (Original work published 2009)