RT Journal Article SR Electronic T1 Market Timing with Aggregate and Idiosyncratic Stock Volatilities JF The Journal of Portfolio Management FD Institutional Investor Journals SP 26 OP 32 DO 10.3905/jpm.2007.690603 VO 33 IS 4 A1 Hui Guo A1 Jason Higbee YR 2007 UL https://pm-research.com/content/33/4/26.abstract 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