This paper considers the optimal market entry timing of a firm facing price uncertainty and investment irreversibility. When the entry decision is made, the firm has to pay the necessary investment costs and from then onwards will receive the expected future cash-flows. The total expected income of the investment is given by the sum over time of the expected discounted future cash-flows. For th...

In this paper, we present a few simple market-timing strategies that appear to outperform the “buy-and-hold” strategy, with real-time data from 1970 to 2000. Our focus is on spreads between the E/P ratio of the S&P 500 index and interest rates. Extremely low spreads, as compared to their historical ranges, appear to predict higher frequencies of subsequent market downturns in monthly data. We c...

This statistical study refines and updates Sharpe’s empirical paper (1975, Financial Analysts Journal) on switching between US common stocks cash equivalents. According to the original conclusion, profitable market timing relies a representative portfolio manager who can correctly forecast next year at least 7 times out of 10. Four changes are made setting. The new data set begins ends with sim...

Conventionally, manufacturing firms determine the time to introduce a new product to the market long before launching the product. As the rate of technological innovation increases, product life cycles become shorter, and the timing for introducing a new product becomes more important. As a result, firms need to dynamically determine the market entry timing depending on the evolution of uncerta...

The investment performance of a portfolio manager who may engage in market timing behavior depends on market level and volatility timing as well as security selection. We develop new holdings-based performance measures that properly adjust for risk, accommodate all three components and avoid strong assumptions about managers’ behavior. Allowing for market level and volatility timing, there is n...