Market timing: Recent development and a new test |
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| Authors: | Cheng ChouChia-Shang J Chu |
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| Institution: | National School of Development, China Center for Economic Research, Peking University, Beijing, China |
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| Abstract: | Henriksson-Merton's market timing test suffers nontrivial size distortion when the event forecast is autocorrelated. A new test is suggested to detect the dependence of two autocorrelated binary time series. It complements the existing tests due to better test power. |
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| Keywords: | C12 C35 C53 |
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