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A Tax Loss Trading Rule
In: The journal of business, Band 50, Heft 2, S. 198
ISSN: 1537-5374
Research and Development Activity and Profitability: A Distributed Lag Analysis
In: Journal of political economy, Band 82, Heft 5, S. 999-1011
ISSN: 1537-534X
Common Stock Performance and Inflation: An International Comparison
In: The journal of business, Band 47, Heft 1, S. 48
ISSN: 1537-5374
Book Review: Structure and Performance of the U. S. Communications Industry
In: The Antitrust bulletin: the journal of American and foreign antitrust and trade regulation, Band 17, Heft 3, S. 953-959
ISSN: 1930-7969
The bid-ask bias and the size effect: A test of the Blume-Stambaugh bid-ask bias effect hypothesis
In: The quarterly review of economics and finance, Band 38, Heft 1, S. 129-148
ISSN: 1062-9769
TACTICAL ASSET ALLOCATION: CAN IT WORK?
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 17, Heft 4, S. 465-479
ISSN: 1475-6803
AbstractMarket events of the past ten years have sparked an interest in tactical asset allocation. In the current study we develop and test a model that incorporates currently available information into the tactical asset allocation process. The model provides an estimate of the probabilities that the upcoming market period will be bullish or bearish. Logit analysis is employed to determine which of the various timely and readily available data significantly affect these probabilities. These estimated probabilities are used to suggest the optimal allocations of funds over time between the risk‐free asset and the market portfolio. Then, several timing strategies are compared with a buy‐and‐hold portfolio. An asset allocation strategy based on the probabilities assigned by the logit model appears to achieve greater terminal wealth with less variability of returns. Similar results are obtained for both an initial sample (1962–76 in our model) and a holdout sample (1977–88).
Concentration versus Market Share: Which Determines Performance and Why Does it Matter?
In: The Antitrust bulletin: the journal of American and foreign antitrust and trade regulation, Band 27, Heft 1, S. 83-105
ISSN: 1930-7969