haku: @indexterm TIME MANAGEMENT / yhteensä: 174
viite: 17 / 174
| Tekijä: | Resnick, B. G. Shoesmith, G. L. |
| Otsikko: | Using the Yield Curve to Time the Stock Market |
| Lehti: | Financial Analysts' Journal
2002 : MAY-JUN, VOL. 58:3, p. 82-90 |
| Asiasana: | TIME TIME MANAGEMENT STOCKS STOCK MARKETS ANALYTICAL REVIEW |
| Kieli: | eng |
| Tiivistelmä: | In the study reported here, the authors extended the probit model for forecasting an economic recession by using the yield-curve spread as the explanatory variable to forecast a bear stock market and tested market-timing strategies based on the model. The authors found that the value of the yield spread between the composite 10-year+ U.S. T- bond yield and the three-month T-bill yield holds important information about the probability of a bear stock market. The authors discuss the authors' out-of- sample market-timing tests at various probability screens of a forthcoming bear market in one month. The paper provides a substantial list of references on this subject. |
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