Recent studies have documented the importance of asymmetry and tail-fatness of returns on portfolio-choice, asset-pricing, value-at-risk and option-valuation models. This article explores the nature of skewness and elongation in daily Exchange-traded Fund (ETF) return distributions using g, h...

We consider whether popular moving average and trading range breakout technical trading rules are profitable on a subset of the US stocks with certain size, liquidity and industry characteristics. We find these rules are rarely profitable during the period 1990 to 2004, however there is some...