Bond–Equity Yield Ratio Market Timing in Emerging Markets

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Dimic, Nebojsa

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Material type: Text

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In: GANGOPADHYAY, SHUBHASIS JOURNAL OF EMERGING MARKET FINANCESummary: 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.

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Item type	Current library	Call number	Vol info	Status	Notes	Date due	Barcode	Item holds
Journal Article	Main Library	Vol 18, No 1/55510428JA3 (Browse shelf(Opens below))		Available			55510428JA3
Journals and Periodicals	Main Library On Display	JOURNAL/FIN/Vol 18, No 1/55510428 (Browse shelf(Opens below))	Vol 18, No 1 (01/05/2019)	Not for loan	April, 2019		55510428

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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.

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Bond–Equity Yield Ratio Market Timing in Emerging Markets

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