Moving Average Distance as a Predictor of Equity Returns

The distance between short- and long-run moving averages of prices (MAD) predicts future equity returns in the cross-section. Annualized value-weighted alphas from the accompanying hedge portfolios are around 9%, and the predictability goes beyond momentum, 52-week highs, profitability, and other prominent anomalies. MAD-based investment payoffs survive reasonable trading costs faced by institutions, and are stronger on the long side relative to the short counterpart

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Year of publication:	2020
Authors:	Avramov, Doron
Other Persons:	Kaplanski, Guy (contributor) ; Subrahmanyam, Avanidhar (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Kapitaleinkommen \| Capital income \| Prognoseverfahren \| Forecasting model \| Kapitalmarktrendite \| Capital market returns \| Aktienmarkt \| Stock market \| Geographische Entfernung \| Geographic distance \| Schätzung \| Estimation \| CAPM

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Extent:	1 Online-Ressource (40 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Review of Financial Economics, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 22, 2018 erstellt
Other identifiers:	10.2139/ssrn.3111334 [DOI]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012853004