' predictivity. However, owning stocks only during the day or night is a market timing strategy. Using the non-linear factors … proposed by Merton (1981) and Goetzmann et al. (2000), we show that the close-to-open strategy has negative market timing …

) and ability to forecast systematic risk premiums and adjust portfolio exposures accordingly (market, or factor, timing … factor returns, obtaining a clear separation between asset selection and market timing is difficult. Additionally …, predictability of risk premiums causes a confounding of timing based on public information versus true skill. However, disaggregating …

.e. repurchases and issues). Following the market timing framework, we develop a two-factor asset pricing model comprising a “market …, loser (undervalued) portfolios provide a premium when market timing succeeds while winner (overvalued) portfolios provide a … hedge under bad states of the world when market timing fails. The two factors contain important information regarding the …

Sharpe ratio. Returns, volatility and skewness are predictable. Market timing – i.e., trading more (less) aggressively when … market timing, is costly. Understanding and quantifying these costs is important when considering constraints in asset …

We document significant persistence in the market timing performance of active individual investors, suggesting that … some investors are skilled at timing. Using data on all trades by active Finnish individual investors over almost 15 years …

component that captures the manager's timing ability across a range of time horizons. Our framework can be universally applied …