This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

This paper examines the relationships between flows and returns for five Exchange Traded Funds (ETF) in the U.S. energy sector. Four alternative hypotheses are tested, including the price pressure hypothesis, information (or price release) hypothesis, feedback trading hypothesis, and smoothing...

This paper investigates the volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used to estimate the...