PT  - JOURNAL ARTICLE
AU  - Hui Guo
AU  - Jason Higbee
TI  - Market Timing with Aggregate and Idiosyncratic Stock Volatilities
AID  - 10.3905/jpm.2007.690603
DP  - 2007 Jul 31
TA  - The Journal of Portfolio Management
PG  - 26--32
VI  - 33
IP  - 4
4099  - https://pm-research.com/content/33/4/26.short
4100  - https://pm-research.com/content/33/4/26.full
AB  - There is some evidence that aggregate stock market volatility and average idiosyncratic stock volatility jointly forecast stock returns. Is this result economically significant? Evaluation of the performance of a mean-variance manager who tries to time the market using those two variables. over 1968–2004 indicates the resulting market timing strategy outperforms the buy-and-hold strategy. The difference is statistically and economically significant.TOPICS: Volatility measures, statistical methods