Market timers without timing skill suffer a penalty relative to buy-and-hold investors in the form of higher portfolio risk. With transactions costs, timers suffer lower expected returns as well. We derive the magnitude of this penalty for a timer randomly switching funds between two or more...

This paper investiga tes the extent to which nonsynchronous security trading explains observed autocorrelations in daily returns on stock market indices. The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is...

This paper reexamines the issue of common stock market risk stationarity by applying a newly available exact test for random-walk regression coefficients. For each eight-year subperiod tested in the 1951–1974 interval, betas for individual New York Stock Exchange-listed stocks appeared to be...