Technical Trading Rules and the Size of the Risk Premium in Security Returns
AbstractAmong analysts, technical trading rules are widely used for forecasting security returns. Recent literature provides edivende that these rules may provide positive profits after accounting for transaction costs. This would be contrary to the theory of the efficient market hypothesis which states that security prices cannot be forecasted from their past values or other past variables.
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Bibliographic InfoPaper provided by University of Guelph, Department of Economics and Finance in its series Working Papers with number 1996-11.
Length: 23 pages
Date of creation: 1996
Date of revision:
FINANCIAL MARKET; RISK; TRADE;
Other versions of this item:
- Gencay Ramazan & Stengos Thanasis, 1997. "Technical Trading Rules and the Size of the Risk Premium in Security Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(2), pages 1-14, July.
- F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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- Kwang-il Choe & Joshua Krausz & Kiseok Nam, 2011. "Technical trading rules for nonlinear dynamics of stock returns: evidence from the G-7 stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 323-353, April.
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