The 2008 financial crisis exemplifies significant uncertainties in corporate financing conditions. We develop a unified dynamic q-theoretic framework where firms have both a precautionary-savings motive and a market-timing motive for external financing and payout decisions, induced by stochastic financing conditions. The model predicts (1) cuts in investment and payouts in bad times and equity ...

The investment performance of a portfolio manager who may engage in market timing behavior depends on market level and volatility timing as well as security selection. We develop new holdings-based performance measures that properly adjust for risk, accommodate all three components and avoid strong assumptions about managers’ behavior. Allowing for market level and volatility timing, there is n...

Investor sentiment index based on actual trader positions is useful for forecasting S&P 500 index futures returns. We find that large speculator sentiment is a price continuation indicator, whereas large hedger sentiment is a weak contrary indicator. Small trader sentiment does not forecast returns. We show that extreme levels and the combination of extreme levels of sentiments of the two types...

A lot of research has been done to predict economic development. The problem studied here is about the stock prediction for use of investors. More specifically, the stock market’s movements will be analyzed and predicted. We wish to retrieve knowledge that could guide investors on when to buy and sell. Through a detailed case study on trading S&P 500 index, rough sets is shown to be an applicab...

This paper derives and analyzes dynamic timing strategies of a fund manager with private information. Endogenous timing strategies generated by various information structures and skills, and associated fund styles, are identified. Endogenous fund returns are characterized in the public information of an uninformed observer. Timing components are identified. The paper provides foundations for re...