Market timing with aggregate and idiosyncratic stock volatilities

Guo and Savickas [2005] show that aggregate stock market volatility and average idiosyncratic stock volatility jointly forecast stock returns. In this paper, we quantify the economic significance of their results from the perspective of a portfolio manager. That is, we evaluate the performance, e.g., the Sharpe ratio and Jensen's alpha, of a mean-variance manager who tries to time the market based on those two variables. We find that, over the period 1968-2004, the associated market-timing strategy outperforms the buy-and-hold strategy, and the difference is statistically and economically significant.Stock exchanges

Rule of law and economic growth

Public policy

Rent Receipt, March 1934

Payment documentation: Receipt on Burbridge & Higbee paper amount paid, owner, and address on receipt. Owne

Tenants and Rent List, Burbridge and Higbee- Mrs. R.H. Walker, Aug 31, 1934

Payment documentation: Accounting of payments sent to Mrs. R.H. Walker from Burbridge and Higbee - Real Estate, Rents and Fire Insurance. Tenant list includes residences, rents due month, due dates, amounts paid, and outstanding balances

Insurance Invoice, February 5, 1935

Document: Bill and payment documentation sent to Mr. Thomas H.B. Walker from Burbridge & Higbee Dr. listing payment due