MARKET TIMING OF INTERNATIONAL STOCK MARKETS USING THE YIELD SPREAD
使用概率模型预测美国及八个主要外国股票市场的熊市，发现美国收益率差比本国收益率差更能提供盈利的市场时机信息，采用该策略可获得高于买入并持有策略的复合年化收益。
Abstract We use probit modeling to forecast bear stock markets in the United States and in eight major foreign stock markets. In general, we find that the U.S. yield spread contains more important market‐timing information than does the home‐country yield spread for profitable market timing. At a 35% probability screen, our simulations show that the U.S. dollar (representative local currency) investor could earn a median compound annual return across eight foreign (non‐U.S.) stock markets of 15.75% (17.67%) by following a market‐timing strategy versus a median buy‐and‐hold return of 13.56% (16.55%).