Technical trading rules and calendar anomalies -- Are they the same phenomena?
AbstractThe predictive ability of technical trading rules and the presence of calendar anomalies are well known, but theoretically anomalous, features of equity markets. We show that while some rules exploit calendar effects they are primarily being driven by other factors.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 106 (2010)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/locate/ecolet
Stocks Technical trading Calendar anomalies;
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- Viktor Manahov & Robert Hudson, 2013. "New Evidence of Technical Trading Profitability," Economics Bulletin, AccessEcon, vol. 33(4), pages 2493-2503.
- Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
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