investment philosophies(投资金融学方面的书籍)ch12.pdfVIP

1 CHAPTER 12 THE IMPOSSIBLE DREAM? TIMING THE MARKET It is every investor’s dream to time the market and this occurs for obvious reasons. A successful market timer does not have to any skill at picking stocks since market timing alone will deliver extraordinary returns. In fact, we will begin this chapter by looking at the immense payoff that can come from timing the market well. This payoff to timing the market makes all of us easy victims for the next market-timing strategy. In this chapter, we consider a range of market timing strategies ranging from technical indicators to fundamental indicators to societal indicators. We look at the assumptions underlying each indicator and why they sometimes help us predict market movements. In the final section of this chapter, we examine why market timing is so difficult to succeed at, relative to other investment philosophies. We also consider what allows market timing to succeed sometimes and whether we can replicate their success. Market Timing: Payoff and Costs The question of whether market timing has a big payoff and what its costs are arouses strong views from both practitioners and academics. While academics are fairly unified in their belief that market timing is not worth the time and resources that are expended on it, practitioners feel deeply on both sides of the issue. We will begin by looking at the payoffs to market timing and then consider the costs. The Payoff to Market Timing In a 1986 article, a group of researchers1 raised the shackles of many an active portfolio manager by esti