新兴市场债券-股票收益率市场时机

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2019-03-28 DOI:10.1177/0972652719831536

Nebojsa Dimic, Vitaly Orlov, Janne Äijö

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引用次数: 0

摘要

本文从国际投资者的角度研究了债券权益收益率（BEYR）的市场时机能力。综合新兴市场的数据，我们没有记录到主要的国际证据表明，基于BEYR的投资策略，即极值、阈值和移动平均线，比基准买入和持有投资组合提供更高的风险调整回报。然而，我们通过引入美国债券作为相对于新兴市场股票和债券的安全投资的概念，开发了新的增强BEYR指标。与传统的BEYR和买入持有基准策略相比，基于我们增强的BEYR指标的动态策略在风险调整回报方面产生了显著的收益。JEL分类：G11、G12、G15

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Bond–Equity Yield Ratio Market Timing in Emerging Markets

This article investigates the market timing ability of the bond–equity yield ratio (BEYR) from an international investor perspective. Consolidating data on emerging markets, we document no major international evidence that BEYR-based investing strategies, namely extreme values, thresholds and moving averages, provide higher risk-adjusted returns than benchmark buy-and-hold portfolios. However, we develop new augmented BEYR indicators by introducing the notion of US bonds as a safe investment relative to emerging market stocks and bonds. Dynamic strategies based on our augmented BEYR indicators produce significant gains in risk-adjusted returns compared with traditional BEYR and buy-and-hold benchmark strategies. JEL Classifications: G11, G12, G15

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.