haku: @journal_id 33 / yhteensä: 575
viite: 9 / 575
| Tekijä: | Ready, M. J. |
| Otsikko: | Profits from technical trading rules |
| Lehti: | Financial Management
2002 : AUTUMN, VOL. 31:3, p. 43-61 |
| Asiasana: | Technology Trade agreements |
| Kieli: | eng |
| Tiivistelmä: | The author examines the predictability of daily returns for the Dow Jones Industrial Average by comparing the technical trading rules developed by Allen and Karjalainen (J. of Financial Economics 1999) with moving average rules studied by Brock, Lakonishok, and LeBaron (J. of Finance 1992). He argues that this comparison lends support to the hypothesis that the apparent success of the Brock et al. moving average rules is a spurious result of data snooping. If it were reliable, investors would like to use technical analysis to improve their portfolio returns, and firms would like to use it to improve the timing of their security offerings. |
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