Performance Drivers

Paskalis Glabadanidis

Chapter Chapter 3 in Market Timing and Moving Averages, 2015, pp 31-49 from Palgrave Macmillan

Abstract: Abstract In this chapter, I investigate whether the superior returns of the MAP portfolios are due to their ability to time the market. Furthermore, I control the MAP performance for economic expansions and contractions as well as other state contingencies like the sign of the lagged market return. Finally, I investigate the conditional performance of the MAP returns while controlling for two instrumental variables with documented predictive power over stock returns and an additional risk factor to control the possible presence of liquidity risks.

Keywords: Instrumental Variable; Market Return; Liquidity Risk; Investor Sentiment; Market Timing (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-35983-4_3

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DOI: 10.1057/9781137359834_3

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