Market Timing with Aggregate and Idiosyncratic Stock Volatilities
研究发现总体股市波动率和平均个股波动率能联合预测股票收益，基于此构建的市场择时策略在1968-2004年间显著优于买入持有策略，对量化投资者有参考价值。
There is some evidence that aggregate stock market volatility and average idiosyncratic stock volatility jointly forecast stock returns. Is this result economically significant? Evaluation of the performance of a mean-variance manager who tries to time the market using those two variables. over 1968–2004 indicates the resulting market timing strategy outperforms the buy-and-hold strategy. The difference is statistically and economically significant. <bold>TOPICS:</bold> <ext-link>Volatility measures</ext-link>, <ext-link>statistical methods</ext-link>