Three-Factor Market-Timing Models with Fama and French's Spread Variables
The traditional performance measurement literature has attempted to distinguish security selection, or stock-picking ability, from market-timing, or the ability to predict overall market returns. However, the literature finds that it is not easy to separate ability into such dichotomous categories....
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| Format: | Article |
| Language: | English |
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Wrocław University of Science and Technology
2010-01-01
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| Series: | Operations Research and Decisions |
| Online Access: | http://orduser.pwr.wroc.pl/DownloadFile.aspx?aid=164 |