A trading approach to testing for predictability

被引：43
|
作者：
Anatolyev, S [1 ]
Gerko, A
机构：
[1] New Econ Sch, Moscow 117418, Russia
[2] Deutsch Bank, Moscow 127051, Russia
来源：
JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2005年 / 23卷 / 04期
关键词：
directional accuracy test; mean predictability; S&P500 index; trading strategy;
D O I：
10.1198/073500104000000640
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We propose a market timing test for conditional mean independence of financial returns. The new excess predictability (EP) test statistic has an interpretation of a properly normalized return of a certain trading strategy. We discuss similarities of the EP test to the popular directional accuracy (DA) test of Pesaran and Timmermann. Power properties of the EP test are advantageous, and size properties are comparable to those of the DA test. We illustrate application of the test using weekly data on the S&P500 index.
引用
收藏
页码：455 / 461
页数：7
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