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1.These figures are from A. Gary Shilling, 1992, “Market Timing: Better than a Buy-and-Hold Strategy,” Financial Analysts Journal, March–April, pp. 46–50.
2.William Breen, Lawrence R. Glosten, and Ravi Jagannathan, 1989, “Economic Significance of Predictable Variations in Stock Index Returns,” Journal of Finance, 44, pp. 1147–1189.
3.Wai Lee, 1997, “Market Timing and Short-Term Interest Rates,” Journal of Portfolio Management, Spring.
4.These figures are from Daniel Kadlec, 1996, “Fund MANAGERS PLAY WITH MARKET TIMING,” USA Today, May 10, p. 3B.
5.Chet Currier, 1996, “More Mutual Fund Managers Give Up Trying to Time the Market,” The Los Angeles Times, June 12, p. 3.
6.James F. Peltz, 1996, “Straits of Magellan: Results Lag at Fidelity Fund; Chief Feels Pinch,” The Los Angeles Times, May 11, p. 1.
7.Joseph Nocera, 1998, “Who's in Charge Here?” Money Magazine, November, pp. 87–89.
8.Jonathan Clements, 1995, “Getting Going: Market Timing Is a Poor Substitute for a Long-Term Investment Plan,” The Wall Street Journal, January 17, p. C1.
9.Manuel Schiffres, 1997, “The Lure of Market Timing,” Kiplinger's Personal Finance Magazine, July, pp. 36–43.
10.John R. Graham and Campbell R. Harvey, 1996, “Market Timing Ability and Volatility Implied in Investment Newsletters' Asset Allocation Recommendations,” Journal of Financial Economics, 42, pp. 397–421.
11.The information in this section can be found in Carol Marie Cropper, 2001, “It's Not All in the Timing,” Business Week, March 5, pp. 112–114.
12.Mary M. Bange, 2000, “Do the Portfolios of Small Investors Reflect Positive Feedback Trading?” Journal of Financial and Quantitative Analysis, 35(2), pp. 239–255.
13.James J. Choi, David Laibson, and Andrew Metrick, 2001, “How Does the Internet Affect Trading? Evidence from Investor Behavior in 401(k) Plans,” Journal of Financial Economics (in press).
14.Brad Barber and Terrance Odean, 2002, “Online Investors: Do the Slow Die First?” Review of Financial Studies, 15, pp. 455–487.
15.Don Moore, Terri Kurtzberg, Craig Fox, and Max Bazerman, 1999, “Positive Illusions and Forecasting Errors in Mutual Fund Investment Decisions,” Organizational Behavior and Human Decision Processes, 79(2), pp. 95–114.
16.Chet Currier, 1997, “Bond Fund Investors Show Lack of Timing: Have Knack for Picking Wrong Side of Market,” Boston Globe, September 28, p. D6.
17.This example is adapted from Paul A. Samuelson, 1989, “The Judgment of Economic Science on Rational Portfolio Management: Indexing, Timing, and Long-Horizon Effects,” Journal of Portfolio Management, Fall, pp. 4–12.



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