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-  2019 

Bond–Equity Yield Ratio Market Timing in Emerging Markets

DOI: 10.1177/0972652719831536

Keywords: BEYR,emerging markets,market timing

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Abstract:

This article investigates the market timing ability of the bond–equity 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

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