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The rise and fall of technical trading rule success

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  • Taylor, Nick

Abstract

The purpose of this paper is to examine the performance of an important set of momentum-based technical trading rules (TTRs) applied to all members of the Dow Jones Industrial Average (DJIA) stock index over the period 1928–2012. Using a set of econometric models that permit time-variation in risk-adjusted returns to TTR portfolios, the results reveal that profits evolve slowly over time, are confined to particular episodes primarily from the mid-1960s to mid-1980s, and rely on the ability of investors to short-sell stocks. These findings are demonstrated to be consistent with theoretical models that predict a relationship between TTR performance and market conditions.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 40 (2014)
Issue (Month): C ()
Pages: 286-302

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Handle: RePEc:eee:jbfina:v:40:y:2014:i:c:p:286-302

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Web page: http://www.elsevier.com/locate/jbf

Related research

Keywords: Technical trading rules; Short-selling; Market conditions;

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References

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