On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

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A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, methodology): “Panel A is the Treynor and Mazuy (TM) (1966) quadratic regression with the squared market factor (βMKT2 ), and Panel B is the Henriksson and Merton (HM) (1981) regression with option-like returns on the market (γMKT), respectively.”
Macroeconomic Risk and Hedge Fund Returns (2014, positive): “ 10 Similar methodology is also used in a different context by Jagannathan and Korajczyk (1986), Chen and Liang (2007), Cao, Chen, Liang, and Lo (2012), and Caglayan and Ulutas (2013).”
On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, positive): “…Lehmann and Modest (1987) for mutual funds, and Chen and Liang (2007) for hedge funds) is to extend the single factor market model by including quadratic terms, or, as in Henriksson and Merton (1981), by interacting the market return with an indicator variable for the sign of the market return.”
Predictability of Currency Carry Trades and Asset Pricing Implications (2013, positive): “Further, we implement the nonparametric market-timing test of Henriksson and Merton (1981).”