Market timing in equities
35 papers on market timing in equities as a systematic trading strategy. Market timing papers on single stocks and equity indices: 35 of the 80 in market timing and tactical asset allocation. 12 name a method, most often linear factor models (7). The most cited is A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013).
Papers352000–2026
Share of the family44 %35 of 80
| cited by | method | ||
|---|---|---|---|
| A New Anomaly: The Cross-Sectional Profitability of Technical Analysis by Han et al. | 226 | Linear factor models | 2013 |
| The Economic Value of Predicting Stock Index Returns and Volatility by Marquering and Verbeek | 94 | Linear factor models | 2000 |
| Sequential Optimal Portfolio Performance: Market and Volatility Timing by Johannes et al. | 83 | 2002 | |
| Modeling the Conditional Covariance between Stock and Bond Returns: A Multivariate GARCH Approach by Marquering and de Goeij | 31 | Classical time series | 2002 |
| The Market Timing Skills of Hedge Funds During the Financial Crisis by Cavé et al. | 30 | Linear factor models | 2011 |
| Performance Measurement with Market and Volatility Timing and Selectivity by Ferson | 16 | Linear factor models | 2012 |
| Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry by Cuthbertson and Nitzsche | 12 | Linear factor models | 2010 |
| Volatility-Managed Portfolio: Does It Really Work? by Liu et al. | 7 | 2018 | |
| The Use of Deep Reinforcement Learning in Tactical Asset Allocation by Katongo and Bhattacharyya | 6 | Neural networks | 2021 |
| A Value Investment Strategy that Combines Security Selection and Market Timing Signals by Mehta et al. | 6 | 2019 | |
| A Comprehensive Look at the Empirical Performance of Moving Average Trading Strategies by Zakamulin | 6 | 2015 | |
| The Intraday Performance of Market Timing Strategies and Trading Systems Based on Japanese Candlesticks by Duvinage et al. | 5 | 2012 | |
| Incentive Fees and Mutual Fund Volatility Timing by Giambona and Golec | 4 | 2005 | |
| Return Predictability, Market Timing and Volatility: Evidence from the Short Rate Revisited by Abhyankar and Davies | 4 | 2002 | |
| A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF) by Chu | 3 | 2007 | |
| Volatility-managed Portfolios in the Chinese Equity Market by Li and Wang | 2 | 2023 | |
| Do Institutional Investors Have Market Timing Skills? Evidence from ETFs by Adebambo et al. | 2 | 2009 | |
| A Multivariate Nonparametric Test for Return and Volatility Timing by Marquering and Verbeek | 2 | 2004 | |
| Performance of Funds of Funds (FOFs) in Brazil by Rochman and Eid | 1 | Linear factor models | 2024 |
| Relative Sentiment and Machine Learning for Tactical Asset Allocation by Micaletti | 1 | 2019 | |
| How Often Should You Take Tactical Asset Allocation Decisions? by An et al. | 1 | 2015 | |
| Tactical Asset Allocation Using Investors’ Sentiment by Kim and Kang | 1 | 2011 | |
| Tactical Asset Allocation on Market Neutral Hedge Fund by Padilla and Zebad | 1 | 2009 | |
| A Reconciliation Protocol for Tactical Asset Allocation: Forecasting, Exposure, and Economic Value in Relative-Performance Regimes by Tso and Shuang | 0 | 2026 | |
| Performance of Indian Mutual Funds: A Study on Market Timing and Stock Selection by Maheswari | 0 | 2025 | |
| Tactical Asset Allocations of Large Asset Managers by Ibert | 0 | Language models | 2025 |
| The Mechanical Virtue of Random Fourier Features and Model Complexity by Cartea and Shi | 0 | Mathematical derivation | 2025 |
| Identifying Risk Factor Regimes with Machine Learning: Implications for Tactical Asset Allocation by Sadik | 0 | State-space models | 2024 |
| Rethinking Tactical Asset Allocation: Using ETFs for Quantitative and Systematic Allocation Between Equity and Fixed-Income Sectors by Kaldor et al. | 0 | 2021 | |
| Taking the Stag out Stagflation by Rahelan | 0 | 2019 | |
| The Market Timing Skills of Long/Short Equity Hedge Fund Managers by Li and Shawky | 0 | 2013 | |
| Does Market Volatility Improve Predictability of Technical Analysis? by Chuang et al. | 0 | 2012 | |
| Combining Strategic and Tactical Asset Allocation by Antonacci | 0 | 2010 | |
| Anomaly Timing by Basu and Hung | 0 | Linear factor models | 2008 |
| Fund Manager Alpha in Tactical Asset Allocation by Lee | 2026 |
Papers on market timing in equities from other families
7 papers| filed under | ||
|---|---|---|
| Macroeconomic Factor Timing by Chiapparoli | Macro signals and regime strategies | 2025 |
| Volatility-Managed Portfolios of Mutual Funds by Gang et al. | Low-volatility anomaly | 2018 |
| Smart Beta, Smart Money by Qinhua and Chi | Factor investing | 2017 |
| Style Factor Timing: An Application to the Portfolio Holdings of U.S. Fund Managers by Gallagher et al. | Factor investing | 2013 |
| Buy-Write or Put-Write: An Active Index Writing Portfolio to Strike it Right by Yang | Options trading strategies | 2011 |
| The Performance of IPO Investment Strategies and Pseudo Market Timing - Evidence from Germany by Trauten et al. | Event-driven strategies | 2007 |
| The Real-Time Predictability of the Size and Value Premium in Japan by Bauer et al. | Value investing | 2002 |