Title: Market timing and predictable profitability

Authors: Sophia Tarani; Foteini Kyriazi

Addresses: Department of Business Administration, National and Kapodistrian University of Athens, Athens, Greece ' Department of Agribusiness and Supply Chain Management, Agricultural University of Athens, Athens, Greece

Abstract: We revisit the concept of market timing and offer some suggestive evidence that one can obtain predictable profitability via forecast-based trading. Using a minimal set of simple models and forecast combinations, we show how these models perform statistically with respect to one another and how their corresponding forecasts can lead to increased, predictable profitability vs. the passive buy and hold benchmark. Our results imply that, on the basis of trading performance, there is no reason that an investor should not consider model-based forecasts, even of the simplest kind.

Keywords: autoregression; constant model; forecasting; market timing; trading strategies.

DOI: 10.1504/IJPAM.2024.137851

International Journal of Portfolio Analysis and Management, 2024 Vol.2 No.4, pp.379 - 393

Received: 13 Jul 2023
Accepted: 18 Sep 2023
Published online: 05 Apr 2024 *

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