英文标题：
《Timing the market: the economic value of price extremes》
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作者：
Haibin Xie, Shouyang Wang
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最新提交年份：
2019
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英文摘要：
By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML. PML significantly contributed to forecasting PMG but not vice versa. We further explored the power of this asymmetry for predicting asset returns and found it could significantly improve asset return predictability in both in-sample and out-of-sample forecasting. Investors who incorporate this asymmetry into their investment decisions can get substantial utility gains. This asymmetry remains significant even when controlling for macroeconomic variables, technical indicators, market sentiment, and skewness. Moreover, this asymmetry was found to be quite general across different countries.
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中文摘要：
通过将资产收益分解为具有价格极值的潜在最大收益（PMG）和潜在最大损失（PML），本研究实证研究了PMG和PML之间的关系。我们发现PMG和PML之间存在显著的不对称性。PML对预测PMG有显著贡献，但反之亦然。我们进一步探讨了这种不对称性对预测资产收益的作用，发现它可以显著提高样本内和样本外预测的资产收益可预测性。将这种不对称性纳入投资决策的投资者可以获得可观的效用收益。即使在控制宏观经济变量、技术指标、市场情绪和偏度的情况下，这种不对称性仍然显著。此外，发现这种不对称在不同国家相当普遍。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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