The main purpose of this work is to decompose the predictive performance of the moving average (MA) trading rule and find out the portion that could be attributed to the possible exploitation of linear and non-linear dependencies in stock returns. Data from the General Index of the Athens Stock...

An alternative definition for market efficiency, based on statistical rather than financial arguments is suggested, which, though equivalent with the existing one, has some comparative advantages. Further, the implications that results from some statistical tests on return predictability may...