Profits from Technical Trading Rules
I examine the predictability of daily returns for the Dow Jones Industrial Average by comparing the technical trading rules developed by Allen and Karjalainen (1999) with moving average rules studied by Brock, Lakonishok, and LeBaron (1992). I argue that this comparison lends support to the hypothesis that the apparent success (after transaction costs) of the Brock et al. (1992) moving average rules is a spurious result of data snooping. If it were reliable, investors would like to use technical analysis to improve their portfolio returns, and firms would like to use it to improve the timing of their security offerings. My results serve as a reminder that patterns in historical data, even though they appear very consistent, need not persist in the future.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 31 (2002)
Issue (Month): 3 (Fall)
|Contact details of provider:|| Postal: |
Web page: http://www.fma.org/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fma:fmanag:ready02. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Courtney Connors)The email address of this maintainer does not seem to be valid anymore. Please ask Courtney Connors to update the entry or send us the correct address
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.