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Chasing trends: recursive moving average trading rules and internet stocks

  • Fong, Wai Mun
  • Yong, Lawrence H. M.
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-4C0TMV1-1/2/b5fb00d0f89f9e7efe794a0d9e79c361
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 12 (2005)
    Issue (Month): 1 (January)
    Pages: 43-76

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    Handle: RePEc:eee:empfin:v:12:y:2005:i:1:p:43-76
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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    6. Glaser, Markus & Langer, Thomas & Weber, Martin, 2003. "On the trend recognition and forecasting ability of professional traders," Sonderforschungsbereich 504 Publications 03-06, Sonderforschungsbereich 504, Universit├Ąt Mannheim;Sonderforschungsbereich 504, University of Mannheim.
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    9. Spyros Skouras, 2001. "Risk Neutral Forecasting," Computing in Economics and Finance 2001 50, Society for Computational Economics.
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    11. Freedman, David A & Peters, Stephen C, 1984. "Bootstrapping an Econometric Model: Some Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(2), pages 150-58, April.
    12. Alok Kumar & Ravi Dhar, 2001. "A Non-Random Walk Down the Main Street: Impact of Price Trends on Trading Decisions of Individual Investors," Yale School of Management Working Papers ysm208, Yale School of Management.
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    24. Glaser, Markus & Langer, Thomas & Weber, Martin, 2003. "On the Trend Recognition and Forecasting Ability of Professional Traders," CEPR Discussion Papers 3904, C.E.P.R. Discussion Papers.
    25. Grundy, Bruce D. & Kim, Youngsoo, 2002. "Stock Market Volatility in a Heterogeneous Information Economy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(01), pages 1-27, March.
    26. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 283-330, August.
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