Mechanical trading rules seem to have more potential than previous tests found. Fama and Blume (1966), looking at the Dow 30 of the late 1950s, found no profits for the best ( 1982 for transactions costs obtainable by floor traders. The test used here assumes constant risk premia, or more generally, that risk premia are on average approximately the same on days as for the total period.
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Volume (Year): 23 (1988) Issue (Month): 03 (September) Pages: 285-300 Download reference. The following formats are available: HTML
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