haku: @journal_id 1385 / yhteensä: 458
viite: 5 / 458
| Tekijä: | Nam, K. Washer, K.M. Chu, Q.C. |
| Otsikko: | Asymmetric return dynamics and technical trading strategies |
| Lehti: | Journal of Banking and Finance
2005 : FEB, VOL. 29:2, p. 391-418 |
| Asiasana: | Strategy Trading Stock returns Models |
| Kieli: | eng |
| Tiivistelmä: | The paper investigates the profitability of technical trading strategies (hereafter as: trad-strs.) based on an asymmetric reverting property of stock returns. There is identified an asymmetry in return dynamics (here as: ret-dyns.) for daily returns on the S&P 500 index. Ret-dyns. evolve along a positive (negative) unconditional mean after a prior positive (negative) return. The trad-strs. based on this asymmetry generate a positive return for buy signals, a negative return for sell signals, and a positive return for the spread btw. buy and sell signals. The results imply that the observed asymmetry in ret-dyns. is the main source of profitability for the implied strs., thereby corroborating arguments for the usefulness of technical trading strategies. |
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