@article {Guo26, author = {Hui Guo and Jason Higbee}, title = {Market Timing with Aggregate and Idiosyncratic Stock Volatilities}, volume = {33}, number = {4}, pages = {26--32}, year = {2007}, doi = {10.3905/jpm.2007.690603}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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{\textendash}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}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/33/4/26}, eprint = {https://jpm.pm-research.com/content/33/4/26.full.pdf}, journal = {The Journal of Portfolio Management} }