Chang, Yung-Ho; Jong, Chia-Ching; Wang, Sin-Chong - In: International Journal of Managerial Finance 13 (2017) 4, pp. 475-494
Purpose The purpose of this paper is to evaluate the profitability of technical trading relative to buy-and-hold (BH) strategy at firm level, controlling for firm size and trading volume. Design/methodology/approach This paper applies variable-length moving averages (VMAs) thoroughly to each and...