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Volumn 23, Issue 1, 1996, Pages 57-64

Tactical asset allocation: 1977-1994: The long-term performance of TAA

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Indexed keywords


EID: 0030640398     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.409576     Document Type: Article
Times cited : (9)

References (15)
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    • Breen, W.1    Glosten, L.R.2    Jagannathan, R.3
  • 2
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  • 3
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    • Testing for market timing ability: A framework for forecast evaluation
    • Cumby, Robert E., and David M. Modest. "Testing for Market Timing Ability: A Framework for Forecast Evaluation." Journal of Financial Economics, 1987, pp. 169-190.
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    • Cumby, R.E.1    Modest, D.M.2
  • 4
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    • Business conditions and expected returns on stocks and bonds
    • Fama, Eugene, and Kenneth French. "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics, 1989, pp. 23-49.
    • (1989) Journal of Financial Economics , pp. 23-49
    • Fama, E.1    French, K.2
  • 5
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    • Dividend yields and expected stock returns
    • -. "Dividend Yields and Expected Stock Returns." Journal of Financial Economics, 1988, pp. 3-25.
    • (1988) Journal of Financial Economics , pp. 3-25
  • 6
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    • On market timing and investment performance II: Statistical procedures for evaluating forecasting skills
    • Henriksson, Roy D., and Robert C. Merton. "On Market Timing and Investment Performance II: Statistical Procedures for Evaluating Forecasting Skills." Journal of Business, 1981, pp. 513-534.
    • (1981) Journal of Business , pp. 513-534
    • Henriksson, R.D.1    Merton, R.C.2
  • 7
    • 0001309575 scopus 로고
    • On market timing and investment performance I: An equilibrium theory of value for market forecasters
    • Merton, Robert. "On Market Timing and Investment Performance I: An Equilibrium Theory of Value for Market Forecasters." Journal of Business, 1981, pp. 363-406.
    • (1981) Journal of Business , pp. 363-406
    • Merton, R.1
  • 8
    • 0002962533 scopus 로고
    • Inflation, rational valuation and the market
    • March/April
    • Modigliani, Franco, and Richard Cohn. "Inflation, Rational Valuation and the Market." Financial Analysts Journal, March/April 1979, pp. 24-44.
    • (1979) Financial Analysts Journal , pp. 24-44
    • Modigliani, F.1    Cohn, R.2
  • 9
    • 38149143543 scopus 로고
    • A generalization of the non-parametric Henriksson-Merton test of market timing
    • Pesaran, Hashem M., and Allan Timmerman. "A Generalization of the Non-Parametric Henriksson-Merton Test of Market Timing." Economics Letters, 1994, pp. 1-7.
    • (1994) Economics Letters , pp. 1-7
    • Pesaran, H.M.1    Timmerman, A.2
  • 10
    • 21144477500 scopus 로고
    • A simple nonparametric test of predictive performance
    • October
    • -. "A Simple Nonparametric Test of Predictive Performance." Journal of Business and Economic Statistics, October 1992, pp. 461-465.
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  • 11
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    • Investor wealth measures and expected return
    • Charlottesville: Institute of Chartered Financial Analysts
    • Sharpe, William. "Investor Wealth Measures and Expected Return." In Quantifying the Market Risk Premium Phenomenon for Investment Decision Making. Charlottesville: Institute of Chartered Financial Analysts, 1990, pp. 29-37.
    • (1990) Quantifying the Market Risk Premium Phenomenon for Investment Decision Making , pp. 29-37
    • Sharpe, W.1
  • 13
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    • Theories of aggregate stock price movements
    • Winter
    • -. "Theories of Aggregate Stock Price Movements." Journal of Portfolio Management, Winter 1984, pp. 28-37.
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  • 14
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    • The performance of tactical asset allocation
    • September-October
    • Weigel, Eric. "The Performance of Tactical Asset Allocation." Financial Analysts Journal, September-October 1991, pp. 63-70.
    • (1991) Financial Analysts Journal , pp. 63-70
    • Weigel, E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.