Browsing by Author "Vaskikari, Valtteri"

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  • Arvopaperimarkkinoiden manipulointi
    (2017-05-05) Vaskikari, Valtteri
     Perustieteiden korkeakoulu | Bachelor's thesis
  • Identifying tactical asset allocation signals for US and European equities
    (2020-06-17) Vaskikari, Valtteri
     Perustieteiden korkeakoulu | Master's thesis
    Extensive research has been done to discover historically profitable tactical asset allocation strategies. Researchers have found a wide range of different market signals; valuation levels, company fundamentals, macroeconomic variables, sentiment indicators and seasonal patterns have been suggested to predict the market movements. However, it seems that most findings in published papers have been obtained with datamining. Especially multiple tests have been performed without adjusting the significance level appropriately. In a typical journal article, predictors have also been tested only on in-sample periods, i.e., with the same dataset that was used for fitting the model. The thesis re-evaluates the forecasting ability of the most potential stock market predictors found in the tactical asset allocation and equity market timing literature. The out-of-sample test results show that the equity premium has not been predictable in real-time after the turn of the millennium. The thesis thereby recommends the passive "buy and hold" strategy for both private and professional investors. However, if investors still want to try to "time the stock market" or actively adjust the strategic asset allocation mix, the inflation rate and ETF fund flows seem to be the most potential signals to follow.