search query: @author Wang, P. / total: 18
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| Author: | Day, T.E. Wang, P. |
| Title: | Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average |
| Journal: | Journal of Empirical Finance
2002 : NOV, VOL. 9:4, p. 431-454 |
| Index terms: | Stock markets Trading Efficiency Pricing |
| Language: | eng |
| Abstract: | The informational efficiency of the Dow Jones Industrial Average is of particular interest given the role of the index in tracking movements in the stock market. Brock et al., in Journal of Finance 1992: 47, 1731, found that technical rules can be used to profitably trade the Dow Jones Industrial Average, suggesting that the prices of Dow components fail to fully reflect the information in past prices. This paper re-examines these findings by adjusting the daily returns from trading portfolios of Dow stocks for both dividends and the interest earned on the proceeds from short sales. This paper's results suggest that previous estimates of trading profits may be biased by the inclusion of nonsynchronous prices in the closing index levels. Among others, it is shown that estimates of trading profits based on the true closing levels of the index are not significantly different from buy and hold returns. |
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