%0 Journal Article
%T Bond¨CEquity Yield Ratio Market Timing in Emerging Markets
%A Janne £¿ij£¿
%A Nebojsa Dimic
%A Vitaly Orlov
%J Journal of Emerging Market Finance
%@ 0973-0710
%D 2019
%R 10.1177/0972652719831536
%X This article investigates the market timing ability of the bond¨Cequity 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. JEL Classifications: G11, G12, G1
%K BEYR
%K emerging markets
%K market timing
%U https://journals.sagepub.com/doi/full/10.1177/0972652719831536