Essays on investing

Date Issued:: 2011
Summary:: The Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the is correlated with traditional market timing measures of the Treynor and Sharpe ratios over the 1995-2010 time period and how it affects widely used measures of regression based market timing models of Treynor- Mazuy and Henriksson-Merton. The Market Timing - Buy and Hold (MT-BH) metric can be applied to any equity market over any time period to condition the market timing skill of money managers in any equity market around the world. The final accomplishment of this dissertation is to determine if readily available finance and macro-economic variables can help investors determine which years are more favorable to pursue market timing strategies and which years favor buy and hold investing. When real GDP growth rates, inflation rates and PE ratios were low or negative and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1994-2008. These results were robust to country level of development, negative market return years and other control variables. The conditions for pursing market timing strategies were time variant and detectable with macro-economic and finance variables. The MT-BH metric allows investors and brokers to determine when to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables and helps to explain why market timing skill of managers is rarely found to be persistent.

Title:	Essays on investing.	110 views 35 downloads
Name(s):	Johnson, William Fount III College of Business Department of Finance
Type of Resource:	text
Genre:	Electronic Thesis Or Dissertation
Issuance:	monographic
Date Issued:	2011
Publisher:	Florida Atlantic University
Physical Form:	electronic
Extent:	vii, 139 p. : ill. (some col.)
Language(s):	English
Summary:	The Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the is correlated with traditional market timing measures of the Treynor and Sharpe ratios over the 1995-2010 time period and how it affects widely used measures of regression based market timing models of Treynor- Mazuy and Henriksson-Merton. The Market Timing - Buy and Hold (MT-BH) metric can be applied to any equity market over any time period to condition the market timing skill of money managers in any equity market around the world. The final accomplishment of this dissertation is to determine if readily available finance and macro-economic variables can help investors determine which years are more favorable to pursue market timing strategies and which years favor buy and hold investing. When real GDP growth rates, inflation rates and PE ratios were low or negative and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1994-2008. These results were robust to country level of development, negative market return years and other control variables. The conditions for pursing market timing strategies were time variant and detectable with macro-economic and finance variables. The MT-BH metric allows investors and brokers to determine when to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables and helps to explain why market timing skill of managers is rarely found to be persistent.
Identifier:	754912996 (oclc), 3183131 (digitool), FADT3183131 (IID), fau:3711 (fedora)
Note(s):	by William Fount Johnson, III. Thesis (Ph.D.)--Florida Atlantic University, 2011. Includes bibliography. Electronic reproduction. Boca Raton, Fla., 2011. Mode of access: World Wide Web.
Subject(s):	Investment analysis Stock options Portfolio management Finance, Personal Asset allocation Assets (Accounting) -- Prices -- Forecasting -- Econometric models
Held by:	FBoU FAUER
Persistent Link to This Record:	http://purl.flvc.org/FAU/3183131
Use and Reproduction:	http://rightsstatements.org/vocab/InC/1.0/
Host Institution:	FAU

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