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, G15

中文翻译：

---

新兴市场的债券-股票收益率比率市场时机

本文从国际投资者的角度研究了债券—权益收益率（BEYR）的市场定时能力。合并新兴市场的数据，我们没有发现任何主要的国际证据表明，基于BEYR的投资策略（即极端价值，阈值和移动平均值）提供的风险调整后收益高于基准购买与持有投资组合。但是，我们通过引入美国债券这一相对于新兴市场股票和债券的安全投资来开发新的增强型BEYR指标。与传统的BEYR和“买入并持有”基准策略相比，基于我们增强的BEYR指标的动态策略可在风险调整后的收益中获得显着收益。JEL分类：G11，G12，G15