We investigate the profitability of the quantitative market timing technique of candlestick technical analysis in the U.S. equity market. Despite being used for centuries in Japan and now having a wide following amongst market practitioners globally, there is little research documenting its...

Quantitative market timing strategies are not consistently profitable when applied to 15 major commodity futures series. We conduct the most comprehensive study of quantitative trading rules in this market setting to date. We consider over 7,000 rules, apply them to 15 major commodity futures...

This paper considers the link between ruling political parties and stock, property, and bond returns in Australasia. Australia and New Zealand provide an ideal setting as their political systems allow a precise examination of the influences of political parties. We find higher inflation under...

We consider whether popular technical trading rules are profitable on a subset of U.S. stocks with certain size, liquidity, and industry characteristics. We find these rules are rarely profitable during the 1990 to 2004 period, however there is some evidence they are more profitable for smaller,...

We examine the motives for takeovers in New Zealand surrounding the 1987 stock market crash and compare with the U.S. findings of Gondhalekar and Bhagwat (2003). There are a number of structural differences between the New Zealand and U.S. markets that could impact on merger motives. Compared...

Over 5,000 popular technical trading rules are not consistently profitable in the 49 country indices that comprise the Morgan Stanley Capital Index once data snooping bias is accounted for. Each market has some rules that are profitable when considered in isolation but these profits are not...

Monthly stock market returns are predictable when we refine the observation intervals of the variables used to predict these returns. Contrary to other predictability studies we find high out-of-sample adjusted R2s of up to 7% using economically important commodity returns. Shorter intervals...

Time in the market substantially reduces the risk of loss resulting from holding both stocks and bonds. By focusing on a downside VaR risk proxy in 25 emerging and 24 developed markets we show that the downside risk of both stocks and bonds is greatly reduced as the investment horizon is...