Groenewold, Nicolaas; Tang, Kan; Hak, Sam; Wu, Yanrui - In: International Review of Financial Analysis 17 (2008) 2, pp. 411-430
This paper uses daily Shanghai A share data to evaluate the profitability of trading rules based on the predictability found in the return series. We find that the value of the trading-rule-based portfolio at the end of our sample is between 2 and 11 times that of an equity-buy-and-hold...