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Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average

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  • Day, Theodore E.
  • Wang, Pingying

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  • Day, Theodore E. & Wang, Pingying, 2002. "Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 431-454, November.
  • Handle: RePEc:eee:empfin:v:9:y:2002:i:4:p:431-454
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    References listed on IDEAS

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    1. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
    2. Robert A. Levy, 1967. "Relative Strength As A Criterion For Investment Selection," Journal of Finance, American Finance Association, vol. 22(4), pages 595-610, December.
    3. Ryan Sullivan & Allan Timmermann & Halbert White, 1999. "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October.
    4. Alon Brav, 2000. "Inference in Long-Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings," Journal of Finance, American Finance Association, vol. 55(5), pages 1979-2016, October.
    5. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December.
    6. Jokivuolle, Esa, 1995. "Measuring True Stock Index Value in the Presence of Infrequent Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 455-464, September.
    7. Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 285-300, September.
    8. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
    9. Praetz, Peter D, 1976. "Rates of Return on Filter Tests," Journal of Finance, American Finance Association, vol. 31(1), pages 71-75, March.
    10. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, vol. 25(2), pages 469-482, May.
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    Citations

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    Cited by:

    1. Mohamed Masry, 2017. "The Impact of Technical Analysis on Stock Returns in an Emerging Capital Markets (ECM¡¯s) Country: Theoretical and Empirical Study," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 91-107, March.
    2. Cheol-Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    3. Ülkü, Numan & Prodan, Eugeniu, 2013. "Drivers of technical trend-following rules' profitability in world stock markets," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 214-229.
    4. Shynkevich, Andrei, 2013. "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, vol. 69(C), pages 64-85.
    5. Camilleri, Silvio John, 2005. "Can a Stock Index Be Less Efficient Than Underlying Shares? An Analysis Using Malta Stock Exchange Data," MPRA Paper 84574, University Library of Munich, Germany.
    6. Tsung-Hsun Lu & Jun-De Lee, 2016. "Is Abnormally Large Volume a Clue?," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(9), pages 226-233, September.
    7. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, November.
    8. repec:eee:reveco:v:53:y:2018:i:c:p:168-184 is not listed on IDEAS
    9. Marshall, Ben R. & Young, Martin R. & Rose, Lawrence C., 2006. "Candlestick technical trading strategies: Can they create value for investors?," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2303-2323, August.
    10. repec:eee:intfin:v:52:y:2018:i:c:p:102-113 is not listed on IDEAS
    11. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Does intraday technical analysis in the U.S. equity market have value?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 199-210, March.
    12. 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.
    13. Shynkevich, Andrei, 2016. "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 55-69.
    14. Urquhart, Andrew & Gebka, Bartosz & Hudson, Robert, 2015. "How exactly do markets adapt? Evidence from the moving average rule in three developed markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 127-147.
    15. repec:eee:ecofin:v:43:y:2018:i:c:p:169-205 is not listed on IDEAS
    16. Atanasova, Christina V. & Hudson, Robert S., 2010. "Technical trading rules and calendar anomalies -- Are they the same phenomena?," Economics Letters, Elsevier, vol. 106(2), pages 128-130, February.
    17. Chen, Shi & Bao, Si & Zhou, Yu, 2016. "The predictive power of Japanese candlestick charting in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 148-165.
    18. Lu, Tsung-Hsun, 2014. "The profitability of candlestick charting in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 65-78.
    19. Ni, Yensen & Liao, Yi-Ching & Huang, Paoyu, 2015. "MA trading rules, herding behaviors, and stock market overreaction," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 253-265.

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