Data Snooping and Market-Timing Rule Performance
重新评估市场择时规则在控制数据窥探偏差后的表现，发现单独看很多规则跑赢买入持有，但纠正偏差后大多不显著；不过按月择时，最佳规则仍显著优于无风险利率。
We reassess the performance of market-timing rules when controlling for data-snooping biases. For the first time, a comprehensive set of simple and complex market-timing rules is examined and tested for statistical significance, using the White (2000) “Reality Check,” the Hansen (2005) SPA test, as well as their stepwise extensions by Romano and Wolf (2005) and Hsu, Hsu, and Kuan (2010). Even though individual market-timing rules significantly outperform a buy-and-hold strategy at both daily and monthly frequencies when considered in isolation, their outperformance, generally, does not remain significant after correcting for data snooping. Relative to the alternative of investing in the risk-free rate, however, we find significant outperformance of the best rules, even after data-snooping adjustment, when testing at a monthly timing frequency.