Open Access

Investment Strategies that Beat the Market. What Can We Squeeze from the Market?


Cite

Ackerman, C., McEnally, R., Ravenscraft, D. (1999). The Performance of Hedge Funds: Risk, Return and Incentives. Journal of Finance, 54(3), 833-874.10.1111/0022-1082.00129Search in Google Scholar

Banz, R. (1981). The Relationship Between Return and Market Value of Common Stocks. Journal of Financial Economics, 9(1), 3-18.10.1016/0304-405X(81)90018-0Search in Google Scholar

Basu, S. (1977). Investment Performance of Common Stocks in Relation to their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis. Journal of Finance, 32(3), 663-682.10.1111/j.1540-6261.1977.tb01979.xSearch in Google Scholar

Baturevich, B., Muradoglu, G. (2010). Would you follow MM or Profitable Trading Strategy? Frontiers in Finance and Economics, 7(2), 69-89.Search in Google Scholar

Bessembinder, H., Chan, K. (1998). Market Efficiency and the Returns to Technical Analysis. Financial Management, 27, 5–17.10.2307/3666289Search in Google Scholar

Bhandari, L.C. (1988). Debt/Equity Ratio and Expected Common Stocks Returns: Empirical Evidence. Journal of Finance, 43, 507-528.10.1111/j.1540-6261.1988.tb03952.xSearch in Google Scholar

Blume, L., Easley, D., O’Hara, M. (1994). Market Statistics and Technical Analysis: the Role of volume. Journal of Finance, 49, 153–181.10.1111/j.1540-6261.1994.tb04424.xSearch in Google Scholar

Brock, W., Lakonishock, J., LeBaron, B. (1992). Simple Technical Trading Rules and the Stochastic Properties of Stock Returns. Journal of Finance, 47, 1731–1764.10.1111/j.1540-6261.1992.tb04681.xSearch in Google Scholar

Brown, D.P., Jennings, R.H. (1989). On Technical Analysis. Review of Financial Studies, 2, 527–551.10.1093/rfs/2.4.527Search in Google Scholar

Campbell, J., Shiller, R. (1998). Valuation Ratios and the Long-run Stock Market Outlook. Journal of Portfolio Management, 24(2), 11-26.10.3905/jpm.24.2.11Search in Google Scholar

Capocci, D. (2004). An Analysis of Hedge Funds Performance. Journal of Empirical Finance, 11, 55-89.10.1016/j.jempfin.2002.12.002Search in Google Scholar

Carhart, M.M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, Vol. 52, No. 1, 57-82.10.1111/j.1540-6261.1997.tb03808.xSearch in Google Scholar

Chang, P.H.K., Osler, C.L. (1999). Methodical Madness: Technical Analysis and the Irrationality of Exchange-rate Forecasts. Economic Journal, 109, 636–661.10.1111/1468-0297.00466Search in Google Scholar

Chlistalla, M. (2011). High-frequency Trading. Deutsche Bank Research.Search in Google Scholar

Choi, H.S., Jayaraman, N. (2009). Is Reversal of Large Stock-Price Declines Caused by Overreaction or Information Asymmetry: Evidence from Stock and Option Markets. Journal of Futures Markets, 29(4), 348-376.10.1002/fut.20360Search in Google Scholar

Cornell, W.B., Dietrich, J.K. (1978). The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates. Review of Economics and Statistics, 60, 111–120.10.2307/1924339Search in Google Scholar

Coutts, J.A., Cheung, K. (2000). Trading Rules and Stock Returns: some Preliminary Short Run Evidence from the Hang Seng 1985–1997. Applied Financial Economics, 10, 579–586.10.1080/096031000437935Search in Google Scholar

Da, Z., Q., Liu, Schaumburg, E. (2010). Decomposing the Short-term Return Reversal. Working Paper. Retrieved from: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1551025.10.2139/ssrn.1926851Search in Google Scholar

Daniel, K., Titman, S. (1997). Evidence on the Characteristics of Cross Sectional Variation in Stock Returns. Journal of Finance, 52(1), 1-33.10.1111/j.1540-6261.1997.tb03806.xSearch in Google Scholar

Dooley, M.P., Shafer, J.R. (1983). Analysis of Short-run Exchange Rate Behavior: March 1973 to November 1981. In: D. Bigman, T. Taya (eds). Exchange Rate and Trade Instability: Causes, Consequences, and Remedies, (43–69). Cambridge, MA: Ballinger.Search in Google Scholar

Dunis, Ch.L., Laws, J., Rudy, J. (2010). Profitable Mean Reversion after Large Price Drops: A story of Day and Night in the S&P500, 400 Mid Cap and 600 Small Cap Indices. Liverpool John Moores University, Working Paper 2010.10.1057/jam.2011.15Search in Google Scholar

Eling, M. (2006). Autocorrelation, Bias and Fat Tails—Are Hedge Funds Really Attractive Investments? Derivatives Use. Trading and Regulation, 12(1), 28-47.10.1057/palgrave.dutr.1840041Search in Google Scholar

Fama, E.F., Blume, M.E. (1966). Filter Rules and Stock Market Trading. Journal of Business, 39, 226–241.10.1086/294849Search in Google Scholar

Fama, E., French, K. (1992). The Cross Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465.10.1111/j.1540-6261.1992.tb04398.xSearch in Google Scholar

Fama, E.F., French, K.R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56.10.1016/0304-405X(93)90023-5Search in Google Scholar

Forner, C., Marhuenda, J. (2003). Contrarian and Momentum Strategies in the Spanish Stock Market. European Financial Management, 9(1), 67-88.10.1111/1468-036X.00208Search in Google Scholar

Fung, W., Hsieh, D.A. (1997). The Information Content of Performance Track Records: Investment Style and Survivorship bias in the Historical Returns of Commodity Trading Advisors. Journal of Portfolio Management, 24, 30–41.10.3905/jpm.1997.409630Search in Google Scholar

Gehin, W. (2004). A Survey of the Literature on Hedge Fund Performance. Working paper 2004.10.2139/ssrn.626441Search in Google Scholar

Gehrig, T., Menkhoff, L. (2003). Technical Analysis in Foreign Exchange – the Workhorse Gains further Ground. Discussion paper, University of Hannover.Search in Google Scholar

Gehrig, T., Menkhoff, L. (2004). The Use of Flow Analysis in Foreign Exchange: Exploratory Evidence. Journal of International Money and Finance, 23, 573–594.10.1016/j.jimonfin.2003.12.006Search in Google Scholar

Gray, R.W., Nielsen, S.T. (1963). Rediscovery of Some Fundamental Price Behavior Characteristics. Paper presented at the meeting of the Econometric Society held in Cleveland, Ohio.Search in Google Scholar

Greer, T.V., Brorsen, B.W., Liu, S.M. (1992). Slippage Costs in Order Execution for a Public Futures Fund. Review of Agricultural Economics, 14, 281–288.10.2307/1349507Search in Google Scholar

Grundy, B.D., McNichols, M. (1989). Trade and the Revelation of Information through Prices and Direct Disclosure. Review of Financial Studies, 2, 495–526.10.1093/rfs/2.4.495Search in Google Scholar

Gunasekarage, A., Power, D.M. (2001). The Profitability of Moving Average Trading Rules in South Asian Stock Markets. Emerging Markets Review, 2, 17–33.10.1016/S1566-0141(00)00017-0Search in Google Scholar

Hameed, A., Huang, J., Mian, G.M. (2010). Industries and Stock Return Reversals. Retrieved from: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1570566.10.2139/ssrn.1570566Search in Google Scholar

Hellwig, M. (1982). Rational Expectations Equilibrium with Conditioning on Past Prices: a Mean–variance Example. Journal of Economic Theory, 26, 279–312.10.1016/0022-0531(82)90005-9Search in Google Scholar

Houthakker, H. (1961). Systematic and Random Elements in Short-term Price Movements. American Economic Review, 51, 164–172.Search in Google Scholar

Hull, R. (1999). Leverage Ratios, Industry Norms, and Stock Price Reaction: An Empirical Investigation of Stock-for-Debt Transactions. Financial Management, 28 (2), 32-45.10.2307/3666193Search in Google Scholar

Irwin, S.H., Uhrig, J.W. (1984). Do Technical Analysts Have Holes in their Shoes? Review of Research in Futures Markets, 3, 264–277.Search in Google Scholar

Ito, A. (1999). Profits on Technical Trading Rules and Time-varying Expected Returns: Evidence from Pacific-Basin Equity Markets. Pacific-Basin Finance Journal, 7, 283–330.10.1016/S0927-538X(99)00008-6Search in Google Scholar

Jagannathan, R., Wang, Z.Y. (1993). The CAPM is Alive and Well. Federal Reserve Bank of Minneapolis, Staff Report 165.10.21034/sr.165Search in Google Scholar

James, F.E. (1968). Monthly Moving Averages – an Effective Investment Tool? Journal of Financial and Quantitative Analysis, September, 315–326.10.2307/2329816Search in Google Scholar

Jegadeesh, N., (1990). Evidence of Predictable Behavior in Security Prices. Journal of Finance, 45, 881-898.10.1111/j.1540-6261.1990.tb05110.xSearch in Google Scholar

Jensen, M.C., Benington, G.A. (1970). Random Walks and Technical Theories: Some Additional Evidence. Journal of Finance, 25, 469–482.10.1111/j.1540-6261.1970.tb00671.xSearch in Google Scholar

Kavajecz, K.A., Odders-White, E.R. (2004). Technical Analysis and Liquidity Provision. Review of Financial Studies, 17, 1043–1071.10.1093/rfs/hhg057Search in Google Scholar

Kho, B. (1996). Time-varying Risk Premia, Volatility, and Technical Trading Rule Profits: Evidence from Foreign Currency Futures Markets. Journal of Financial Economics, 41, 249–290.10.1016/0304-405X(95)00861-8Search in Google Scholar

Kidd, W.V., Brorsen, B.W. (2004). Why Have the Returns to Technical Analysis Decreased? Journal of Economics and Business, 56, 159–176.10.1016/j.jeconbus.2003.08.001Search in Google Scholar

Korteweg, A. (2004). Financial Leverage and Expected Stock Returns: Evidence from Pure Exchange Offers. Retrieved from: http://ssrn.com/abstract=597922.10.2139/ssrn.597922Search in Google Scholar

LeBaron, B. (1999). Technical Trading Rule Profitability and Foreign Exchange Intervention. Journal of International Economics, 49, 125–143.10.1016/S0022-1996(98)00061-0Search in Google Scholar

Lehman, B. (1990). Fads, Martingales, and Market Efficiency. Quarterly Journal of Economics, 105, 1-28.10.2307/2937816Search in Google Scholar

Leung, W.K. (2009). Price Reversal and Firm Size in the U.S. Stock Markets, New Evidence. In Proceedings of International MultiConference of Engineers and Computer Scientists. London, 1396-1399.Search in Google Scholar

Leuthold, R.M. (1972). Random walk and price trends: the live cattle futures market. Journal of Finance, 27, 879–889.10.1111/j.1540-6261.1972.tb01318.xSearch in Google Scholar

Levich, R.M., Thomas, L.R. III (1993). The Significance of Technical Trading Rule Profits in the Foreign Exchange Market: a Bootstrap Approach. Journal of International Money and Finance, 12, 451–474.10.1016/0261-5606(93)90034-9Search in Google Scholar

Liang, B. (1999). On the Performance of Hedge Funds. Financial Analysts Journal, 55(4), 72-85.10.2469/faj.v55.n4.2287Search in Google Scholar

Lo, A. (2002). The Statistics of Sharpe Ratios. Financial Analysts Journal, 58, 36-50.10.2469/faj.v58.n4.2453Search in Google Scholar

Lo, A. and MacKinlay, A.C. (1990a). Data snooping biases in tests of financial asset pricing models. Review of Financial Studies, 3, 431–467.10.1093/rfs/3.3.431Search in Google Scholar

Lo, A. W. and Mackinlay, A. C. (1990b) When Are Contrarian Profits Due to Stock Market Overreaction? The Review of Financial Studies, 3(2), 175-205.10.1093/rfs/3.2.175Search in Google Scholar

Lukac, L.P. and Brorsen, B.W. (1990). A comprehensive test of futures market disequilibrium. Financial Review, 25, 593–622.10.1111/j.1540-6288.1990.tb01300.xSearch in Google Scholar

Lukac, L.P., Brorsen, B.W., Irwin, S.H. (1988). A Test of Futures Market Disequilibrium Using Twelve Different Technical Trading Systems. Applied Economics, 20, 623–639.10.1080/00036848800000113Search in Google Scholar

Mcinish, T.H., Ding, D.K., Pyun, C.S., Wongchoti, U. (2008). Short-Horizon Contrarian and Momentum Strategies in Asian Markets: An Integrated Analysis. International Review of Financial Analysis, 17(2), 312-329.10.1016/j.irfa.2006.03.001Search in Google Scholar

Mills, T.C. (1997). Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT30. International Journal of Finance and Economics, 2, 319–331.10.1002/(SICI)1099-1158(199710)2:4<319::AID-JFE53>3.0.CO;2-6Search in Google Scholar

Murphy, J. (1999). Technical Analysis of the Financial Markets. New York: Prentice Hall.Search in Google Scholar

Neely, C.J. (2002). The Temporal Pattern of Trading Rule Returns and Exchange Rate Intervention: Intervention does not Generate Technical Trading Profits. Journal of International Economics, 58, 211–232.10.1016/S0022-1996(01)00163-5Search in Google Scholar

Neely, C.J. (2003). Risk-adjusted, ex ante, Optimal Technical Trading Rules in Equity Markets. International Review of Economics and Finance, 12, 69–87.10.1016/S1059-0560(02)00129-6Search in Google Scholar

Neely, C.J., Weller, P.A. (2001). Technical Analysis and Central Bank Intervention. Journal of International Money and Finance, 20, 949–970.10.1016/S0261-5606(01)00033-XSearch in Google Scholar

Osler, C.L. (2003). Currency Orders and Exchange Rate Dynamics: an Explanation for the Predictive Success of Technical Analysis. Journal of Finance, 58, 1791–1819.10.1111/1540-6261.00588Search in Google Scholar

Olson, D. (2004). Have Trading Rule Profits in the Currency Markets Declined Over Time? Journal of Banking and Finance, 28, 85–105.10.1016/S0378-4266(02)00399-0Search in Google Scholar

Park, C.H., Irwin, S.H. (2007). What do We Know about the Profitability of Technical Analysis? Journal of Economic Surveys, 21(4), 786-826.10.1111/j.1467-6419.2007.00519.xSearch in Google Scholar

Park, J., Brown, S., Goetzmann, W. (1999). Performance Benchmarks and Survivorship Bias for Hedge Funds and Commodity Trading Advisors. Hedge Fund News.Search in Google Scholar

Raj, M., Thurston, D. (1996). Effectiveness of Simple Technical Trading Rules in the Hong Kong Futures Markets. Applied Economics Letters, 3, 33–36.10.1080/758525512Search in Google Scholar

Saacke, P. (2002). Technical Analysis and the Effectiveness of Central Bank Intervention. Journal of International Money and Finance, 21, 459–479.10.1016/S0261-5606(02)00009-8Search in Google Scholar

Sandvik, S.H., Frydenberg, S., Westgaard, S., Heitmann, R.K. (2011). Hedge Fund Performance in Bull and Bear Markets: Alpha Creation and Risk Exposure. The Journal of Investing, Spring 2011.10.3905/joi.2011.20.1.052Search in Google Scholar

Sapp, S. (2004). Are All Central Bank Interventions Created Equal? An Empirical Investigation. Journal of Banking and Finance, 28, 443–474.10.1016/S0378-4266(02)00410-7Search in Google Scholar

Schmidt, A.B. (2002). Why Technical Trading May be Successful? A Lesson from the Agent-based Modeling. Physica A, 303, 185–188.10.1016/S0378-4371(01)00432-0Search in Google Scholar

Serletis, A., Rosenberg, A.A. (2009). Mean Reversion in the U.S. Stock Market. Chaos, Solitons & Fractals, 40(4), 2007-2015.10.1016/j.chaos.2007.09.085Search in Google Scholar

Sharpe, W.F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19(3), 425-442.10.1111/j.1540-6261.1964.tb02865.xSearch in Google Scholar

Silber, W.L. (1994). Technical Trading: When It Works and When it Doesn’t. Journal of Derivatives, 1, 39–44.10.3905/jod.1994.407887Search in Google Scholar

Smidt, S. (1965a). A Test of Serial Independence of Price Changes in Soybean Futures. Food Research Institute Studies, 5, 117–136.Search in Google Scholar

Smidt, S. (1965b). Amateur Speculators. Ithaca, NY: Graduate School of Business and Public Administration, Cornell University.Search in Google Scholar

Sosvilla-Rivero, S., Andrada-Félix, J., Fernández-Rodriguez, F. (2002). Further Evidence on Technical Trade Profitability and Foreign Exchange Intervention. Applied Economics Letters, 9, 827–832.10.1080/13504850210137802Search in Google Scholar

Stengos, T. (1996). Nonparametric Forecasts of Gold Rates of Return. In: W.A. Barnett, A.P. Kirman, M. Salmon (eds), Nonlinear Dynamics and Economics: Proceedings of the Tenth International Symposium on Economic Theory and Econometrics (393–406). Cambridge: Cambridge University Press.Search in Google Scholar

Stevenson, R.A., Bear, R.M. (1970). Commodity Futures: Trends or Random Walks? Journal of Finance, 25, 65–81.10.1111/j.1540-6261.1970.tb00414.xSearch in Google Scholar

Sullivan, R., Timmermann, A., White, H. (1999). Data Snooping, Technical Trading Rule Performance, and the Bootstrap. Journal of Finance, 54, 1647–1691.10.1111/0022-1082.00163Search in Google Scholar

Sullivan, R., Timmermann, A., White, H. (2003). Forecast Evaluation with Shared Data Sets. International Journal of Forecasting, 19, 217–227.10.1016/S0169-2070(01)00140-6Search in Google Scholar

Sweeny, R.J. (1986). Beating the Foreign Exchange Market. Journal of Finance, 41, 163–182.10.1111/j.1540-6261.1986.tb04497.xSearch in Google Scholar

Szakmary, A.C., Mathur, I. (1997). Central Bank Intervention and Trading Rule Profits in Foreign Exchange Markets. Journal of International Money and Finance, 16, 513–535.10.1016/S0261-5606(97)00017-XSearch in Google Scholar

Ślepaczuk, R. (2006). Technical Trading Strategies and Market Efficiency. In: S. Motamen-Samadian: Global Stock Market and Portfolio Management. New York: Palgrave Macmillan.10.1057/9780230599338_7Search in Google Scholar

Ślepaczuk, R., Zakrzewski, G. (2009). High-frequency and Model-free Volatility Estimators. University of Warsaw, Faculty of Economic Sciences, Working Papers 13/2009 (23).10.2139/ssrn.2508648Search in Google Scholar

Taylor, S.J. (1986). Modelling Financial Time Series. Chichester: Wiley.Search in Google Scholar

Taylor, S.J. (1992). Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing? Economic Record, 68, 105–116.10.1111/j.1475-4932.1992.tb02298.xSearch in Google Scholar

Taylor, S.J. (1994). Trading Futures Using a Channel Rule: a Study of the Predictive Power of Technical Analysis with Currency Examples. Journal of Futures Markets, 14, 215–235.10.1002/fut.3990140207Search in Google Scholar

Taylor, S.J. (2000). Stock Index and Price Dynamics in the UK and the US: New Evidence from a Trading Rule and Statistical Analysis. European Journal of Finance, 6, 39–69.10.1080/135184700336955Search in Google Scholar

Taylor, S.J., Tari, A. (1989). Further Evidence against the Efficiency of Futures Markets. In: R.M.C., Guimaraes, B.G., Kingsman, S.J., Taylor (Eds.), A Reappraisal of the Efficiency of Financial Markets, 577–601, Berlin: Springer.10.1007/978-3-642-74741-0_36Search in Google Scholar

Van Horne, J.C., Parker, G.G.C. (1967). The Random-walk Theory: an Empirical Test. Financial Analysts Journal, 23, 87–92.10.2469/faj.v23.n6.87Search in Google Scholar

Van Horne, J.C., Parker, G.G.C. (1968). Technical Trading Rules: a Comment. Financial Analysts Journal, 24, 128–132.10.2469/faj.v24.n4.128Search in Google Scholar

Wang, J. (2000). Trading and Hedging in S&P 500 Spot and Futures Markets using Genetic Programming. Journal of Futures Markets, 20, 911–942.10.1002/1096-9934(200011)20:10<911::AID-FUT3>3.0.CO;2-KSearch in Google Scholar