New study challenges traditional stock market timing strategies in Canada
The study looked at the relationship between stock risk and market returns in Canada. They used data from Canadian firms between 1975 and 2001. The researchers found that the positive trend in stock risk was only present over the entire time period, not in specific sub-periods. They also did not find a strong link between stock risk and market returns. When they included macro-economic variables in their models, the relationship between risk and return improved in-sample but not out-of-sample.