Abstract
In this chapter, I investigate whether the superior returns of the MAP portfolios are due to their ability to time the market. Furthermore, I control the MAP performance for economic expansions and contractions as well as other state contingencies like the sign of the lagged market return. Finally, I investigate the conditional performance of the MAP returns while controlling for two instrumental variables with documented predictive power over stock returns and an additional risk factor to control the possible presence of liquidity risks.
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© 2015 Paskalis Glabadanidis
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Glabadanidis, P. (2015). Performance Drivers. In: Market Timing and Moving Averages. Palgrave Macmillan, New York. https://doi.org/10.1057/9781137359834_3
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DOI: https://doi.org/10.1057/9781137359834_3
Publisher Name: Palgrave Macmillan, New York
Print ISBN: 978-1-349-67617-0
Online ISBN: 978-1-137-35983-4
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)