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On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills
Abstract
Roy D. Henriksson, Robert C. Merton, On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills, The Journal of Business, Vol. 54, No. 4 (Oct., 1981), pp. 513-533
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Cited by
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Bergstresser, D., Chalmers, J. M. R., & Tufano, P. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp022 · Cited by 604
Measuring investor sentiment with mutual fund flows
Ben-Rephael, A., Kandel, S., & Wohl, A. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2010.08.018 · Cited by 358
Koijen, R. S. J., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2017.11.002 · Cited by 286
A new anomaly: the cross-sectional profitability of technical analysis
Han, Y., Yang, K., & Zhou, G. (2013) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109013000586 · Cited by 231
Metadata
- Authors
- Henriksson, R. D., & Merton, R. C.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 1981-01
- Volume
- 54
- Issue
- 4
- Pages
- 513
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W4243840727
- Cited by
- 1,321
- References
- 0
- FWCI
- 3.15
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. https://app.cochat.ai/papers/10.1086/296144
- The paper
- Henriksson, R. D., & Merton, R. C. (1981). On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. The Journal of Business. https://doi.org/10.1086/296144
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
