This paper considers an environment where investors have limited knowledge of true systematic risks and therefore continuously re-estimate the forecasting model that they use to form expectations. Based on a parsimonious specification with learning and no conditioning information, I extract...

In the literature, there is a lack of empirical studies documenting the profitability of volume-based technical indicators. This paper evaluates the profitability of the On-Balance Volume (OBV) trading rule. Our result shows that the OBV trading rule is increasingly profitable and rewards...