Market timing ability and volatility implied in investment newsletters' asset allocation recommendations

• 成果类型: Article
• 署名作者: Graham, JR; Harvey, CR
• 署名单位: Duke University; Utah System of Higher Education; University of Utah; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(96)00878-1
• 发表日期: 1996
• 页码: 397-421
• 关键词: Market timing; investment newsletters; Performance evaluation

摘要

We analyze the advice contained in a sample of 237 investment newsletter strategies over 1980-1992. Each newsletter strategy recommends a mix of equity and cash. We find no evidence that letters systematically increase equity weights before market rises or decrease weights before market declines. While there is no information in the newsletter strategies about future market returns, we document that disagreement among the newsletters is correlated with future realized and implied volatility.