Market Timing and Moving Averages [electronic resource] : An Empirical Analysis of Performance in Asset Allocation /
Glabadanidis, P.author.
There is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.
Description based upon print version of record.
""Cover""; ""Title""; ""Copyright""; ""Dedication""; ""Contents""; ""List of Figures                      ""; ""List of Tables                     ""; ""Acknowledgments                      ""; ""1 Fundamental Versus Technical Analysis                                              ""; ""2 Investment Performance                               ""; ""2.1 Profitability of MA Portfolios                                         ""; ""2.2 Performance                      ""; ""2.3 Abnormal Returns                           ""; ""2.4 Discussion                     ""
""2.5 Explanation                      """"3 Performance Drivers                            ""; ""3.1 Market Timing                        ""; ""3.2 Business Cycles and Market States                                            ""; ""3.3 Conditional Models with Macroeconomic Variables                                                          ""; ""4 Performance Sensitivity                                ""; ""4.1 Alternative Set-Ups                              ""; ""4.1.1 Subperiods                       ""; ""4.1.2 Alternative Lag Lengths                                    ""
""4.1.3 Statistical Significance, Trading Intensity, and BETC                                                                  """"4.2 Short-Selling                        ""; ""4.3 Skipping a Period                            ""; ""4.4 Zero Cash Rate                         ""; ""5 Individual Securities                              ""; ""5.1 Large-Cap US Stocks                              ""; ""5.2 Mid-Cap US Stocks                            ""; ""5.3 Small-Cap US Stocks                              ""; ""5.4 Summary for US Stocks                                ""
""6 Concluding Remarks                           """"Notes            ""; ""Bibliography                   ""; ""Index            ""
Includes bibliographical references and index.
There is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.
Investment banking.
Securities.
Risk management.
Operations research.
Decision making.
Business enterprises-Finance.
Economics.
Management science.
Investments and Securities.
Risk Management.
Operations Research/Decision Theory.
Business Finance.
Economics, general.