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A study of the predictve performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange : sensitivity analysis and impli...
Milionis, Alexandros E.; Papanagiotou, Evangelia - In: Applied financial economics 19 (2009) 13/15, pp. 1171-1186
This work examines the variation of the simple Moving Average (MA) trading rule performance as a function of the MA length in New York Stock Exchange (NYSE), Athens Stock Exchange (ASE) and Vienna Stock Exchange (VSE) using daily data from May 1993 to April 2005. Results show that changes of the...
Persistent link: https://www.econbiz.de/10003886017
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Market overreaction and underreaction : tests of the directional and magnitude effects
Fabozzi, Frank J.; Fung, Chun-yip; Lam, Kin; Wong, Wing … - In: Applied financial economics 23 (2013) 16/18, pp. 1469-1482
Persistent link: https://www.econbiz.de/10010259386
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Investor overreaction and unobservable portfolios : evidence from an emerging market
Farag, Hisham - In: Applied financial economics 24 (2014) 19/21, pp. 1313-1322
Persistent link: https://www.econbiz.de/10010460168
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The oil industry's response to new avenues in futures trading
Hunsader, Kenneth J.; Dickens, Ross N. - In: Applied financial economics 21 (2011) 4/6, pp. 401-413
Persistent link: https://www.econbiz.de/10009124542
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Evidence on the issuer effect in warrant overpricing
Loudon, Geoffrey F.; Nguyen, Kien T. - In: Applied financial economics 16 (2006) 3, pp. 223-232
Persistent link: https://www.econbiz.de/10003291881
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Do Spanish mutual fund managers use public and private information correctly? : use of information in mutual fund management
Ferruz Agudo, Luis; Nievas López, Javier; Vargas, María - In: Applied financial economics 18 (2008) 16/18, pp. 1319-1331
Persistent link: https://www.econbiz.de/10003779485
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Competitive investors, trade timing and price discovery
Lee, Jung-juei; Zu, Lon-ping; Wang, Ming-chang; Kuo, … - In: Applied financial economics 19 (2009) 19/21, pp. 1661-1674
This study develops a multiple-period, competitive rational expectations model for examining how competitive informed traders time their informed trading and how information is incorporated into prices. It is found that informed traders may choose either to trade early or late on their...
Persistent link: https://www.econbiz.de/10003904315
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Testing the performance of value strategies in the Athens Stock Exchange
Kyriazis, Dimitris; Diacogiannis, George P. - In: Applied financial economics 17 (2007) 16/18, pp. 1511-1528
Persistent link: https://www.econbiz.de/10003605861
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Highs and lows : a behavioural and technical analysis
Mizrach, Bruce Marshall; Weerts, Susan Zhang - In: Applied financial economics 19 (2009) 10/12, pp. 767-777
We find that turnover rises on n-day highs and lows and is an increasing function of n. We offer several explanations from the technical and behavioral finance literature for why traders might use these signals. Turnover is persistent following these events, and new lows provide abnormal returns...
Persistent link: https://www.econbiz.de/10003856628
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Behaviour finance and estimation risk in stochastic portfolio optimization
Fernandes, José Luiz Barros; Peña Sánchez de Rivera, … - In: Applied financial economics 20 (2010) 7/9, pp. 719-738
Persistent link: https://www.econbiz.de/10009009311