On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts

By R. C. Merton. 2015

199 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/7d85898d3c0943eafdb9a399ebde352711f30e6b

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In Finance

1. Roy. Henriksson
2. R. C. Merton
3. Michael J. Brennan
4. Petter N. Kolm
5. Gordon Ritter
6. E. S. Schwartz

Citations in the corpus

• A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, unknown): “The second approach is the regression of Henriksson and Merton (1981): MAPjt,L = αj + βj,mktrmkt,t + γj,mktrmkt,tIrmkt>0 + ǫjt, j = 1, . . . , 10, (8) where Irmkt>0 is the indicator function taking the value of one when the market excess return is above zero, otherwise taking the value of zero.”
• On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015, methodology): “Although the test specification in Section III assumes a CAPM framework, it can easily be adopted to a multi-factor pricing model as described in Merton (1973) and Ross (1976) .”