TY - JOUR T1 - Market Timing with Aggregate and Idiosyncratic Stock Volatilities JF - The Journal of Portfolio Management SP - 26 LP - 32 DO - 10.3905/jpm.2007.690603 VL - 33 IS - 4 AU - Hui Guo AU - Jason Higbee Y1 - 2007/07/31 UR - https://pm-research.com/content/33/4/26.abstract N2 - 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 ER -