A Trading Approach to Testing for Predictability
提出一种新的超额可预测性检验统计量，可解释为某种交易策略的标准化收益，用于检验金融收益的条件均值独立性，对S&P500指数周数据进行了实证。
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.