Corrado, Charles J; Lee, Suk-Hun - In: Journal of Financial Research 15 (1992) 4, pp. 369-87
In this paper we examine the ability of filter rules to predict variation in expected daily returns for a sample of 120 Dow Jones and S&P 100 stocks from 1963 through 1989. Equally weighted portfolios of filter-rule-traded stocks consistently outperform a buy-and-hold portfolio of the same...