This study shows that 14 widely documented technical indicators explain cross-sectional stock expected returns. The technical indicators have lower estimation errors than the three-factor Fama-French model and the historical mean. The long-short portfolios based on the cross-sectional estimated...

This study shows that 14 widely documented technical indicators explain cross-sectional stock expected returns. The technical indicators have lower estimation errors than the three-factor Fama-French model and the historical mean. The long-short portfolios based on the cross-sectional estimated...

Time-series momentum (TSMOM) and moving average (MA) trading rules are closely related; however there are important differences. TSMOM signals occur at points that coincide with a MA direction change, whereas MA buy (sell) signals only require price to move above (below) a MA. Our empirical...

This study shows that 14 widely documented technical indicators explain cross-sectional stock expected returns. The technical indicators have lower estimation errors than the three factor Fama-French model and the historical mean. The long-short portfolios based on the cross-sectional estimated...