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Journal Article

On Timing and Selectivity

Anat R. Admati, Sudipto Bhattacharya, Paul Pfleiderer and Stephen A. Ross
The Journal of Finance
Vol. 41, No. 3, Papers and Proceedings of the Forty-Fourth Annual Meeting of the America Finance Association, New York, New York, December 28-30, 1985 (Jul., 1986), pp. 715-730
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328504
Stable URL: http://www.jstor.org/stable/2328504
Page Count: 16
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On Timing and Selectivity
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Abstract

The dichotomy between timing ability and the ability to select individual assets has been widely used in discussing investment performance measurement. This paper discusses the conceptual and econometric problems associated with defining and measuring timing and selectively. In defining these notions we attempt to capture their intuitive interpretation. We offer two basic modeling approaches, which we term the portfolio approach and the factor approach. We show how the quality of timing and selectivity information can be identified statistically in a number of simple models, and discuss some of the econometric issues associated with these models. In particular, a simple quadratic regression is shown to be valid in measuring timing information.

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