Financial market forecasts and rates of return based on leading index signals

This report describes and analyzes a practical system which will assist financial analysts and portfolio managers to maximize the annual rate of return in their asset-allocation program when choosing between stocks, short-term bills and long-term bonds. The level and stability of the total rates of...

Full description

Saved in:
Bibliographic Details
Published in:International journal of forecasting 1991-11, Vol.7 (3), p.357-374
Main Authors: Boehm, Ernst A., Moore, Geoffrey H.
Format: Article
Language:English
Subjects:
Annual rate of return
Bear markets
Bull markets
Capital gain (loss)
Comparative studies
Forecasting techniques
Investment policy
Investment strategies
Leading inflation index
Long-leading index
Long-term bonds
Manycountries
Market timing
Rates of return
Short-term bills
Signalled bull- and bear-market periods
Statistical analysis
Stock prices
Stocks
Treasury bills
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This report describes and analyzes a practical system which will assist financial analysts and portfolio managers to maximize the annual rate of return in their asset-allocation program when choosing between stocks, short-term bills and long-term bonds. The level and stability of the total rates of return (from capital gain or loss and dividends or interest) are compared for various investment strategies. Our objective is achieved by developing, with the aid of new long-leading indexes, a method of forecasting the beginning and end of major bull markets in stock prices. During bear-market periods the choice between short-term bills and long-term bonds is governed by signals from a leading index of inflation. The paper reports the findings for Australia, Japan, the United Kingdom, the United States and West Germany.
ISSN:0169-2070
1872-8200
DOI:10.1016/0169-2070(91)90010-S