IDEAS home Printed from https://ideas.repec.org/a/oup/jfinec/v9y2011i3p550-587.html
   My bibliography  Save this article

Data Snooping and Market-Timing Rule Performance

Author

Listed:
  • Andreas Neuhierl
  • Bernd Schlusche

Abstract

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. (JEL: G11, G14) Copyright The Author 2011. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Suggested Citation

  • Andreas Neuhierl & Bernd Schlusche, 2011. "Data Snooping and Market-Timing Rule Performance," Journal of Financial Econometrics, Oxford University Press, vol. 9(3), pages 550-587, Summer.
    • Handle: RePEc:oup:jfinec:v:9:y:2011:i:3:p:550-587
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/jjfinec/nbq032
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
    2. Andriosopoulos, Kostas & Doumpos, Michael & Papapostolou, Nikos C. & Pouliasis, Panos K., 2013. "Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 16-34.
    3. Damian Pastor & Pavel Kisela & Viliam Kovac & Tomas Sabol & Viliam Vajda, 2015. "Application Of Market Valuation Models In Portfolio Management," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, vol. 12(1), pages 154-165, DEcember.
    4. Stefan Feuerriegel & Helmut Prendinger, 2018. "News-based trading strategies," Papers 1807.06824, arXiv.org.
    5. Dichtl, Hubert & Drobetz, Wolfgang & Neuhierl, Andreas & Wendt, Viktoria-Sophie, 2021. "Data snooping in equity premium prediction," International Journal of Forecasting, Elsevier, vol. 37(1), pages 72-94.
    6. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
    7. Flavio Ivo Riedlinger & João Nicolau, 2020. "The Profitability in the FTSE 100 Index: A New Markov Chain Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 61-81, March.
    8. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:9:y:2011:i:3:p:550-587. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sofieea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.