Timing versus Buy and Hold: A Model for Determining Predictive Accuracy Required for Superior Performance

In this application, we develop a model to simulate the decisions of a trader whose subjective distribution of returns may be correlated with realized stock returns. Using empirically estimated parameters from stocks in the CRSP database, we obtain performance data on a number of measures, including...

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Veröffentlicht in:	The Financial review (Buffalo, N.Y.) N.Y.), 2011-11, Vol.46 (4), p.595-620
Hauptverfasser:	Hilliard, Jimmy E., Hilliard, Jitka
Format:	Artikel
Sprache:	eng
Schlagworte:	buy and hold Correlation analysis Decision making models G11 G14 G17 market timing Parameter estimation Rates of return Securities trading Studies timer model
Online-Zugang:	Volltext
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