If prices of assets are not aligned to their net present value, a trading strategy may be implemented when actual prices revert to fundamentals. This hypothesis is informally tested in real-time using a trading strategy which consists of identifying whether the equity index is over or under-...

Signi�cant cumulative above the market returns can be made by diversifying wealth between equity and bond assets over time. The main premise of the trading rule model is to identify when should assets be held in the bond and equity markets in real time. The model involves comparing the net...

We contribute to the debate over whether forecastable stock returns reflect an unexploited profit opportunity or rationally reflect risk differentials. We test whether agents could earn excess returns by selecting stocks which have a low market price compared to an estimate of the fundamental...

We contribute to the debate over whether forecastable stock returns reflect an unexploited profit opportunity or rationally reflect risk differentials. We test whether agents could earn excess returns by selecting stocks which have a low market price compared to an estimate of the fundamental...

The weekend effect is described as the tendency for Monday security returns to be low (or negative) compared to other days of the week. The weekend effect may not be exploited by trading individual stocks because of transactions costs. However, the institutional characteristics of the US-based...

This paper examines the potential profit of bull flag trading rules in the Shanghai Stock Exchange Composite Index (SSE) using a template matching technique based on price pattern recognition. This paper fills a gap in the literature by applying a template matching technique for the recognition...

This paper presents two computational techniques and shows that these techniques can improve tests for market efficiency based on profit of trading rules. The two techniques focus on interval estimates for expected profit per trade, in contrast to the standard approach that emphasizes point...

This study uses daily return data on 20 portfolios split along two dimensions, growth/value and market size, over the period of four decades and employs over 12,000 trading rules to investigate the short-term predictability of portfolio returns. It shows that, historically, portfolios of small...

The paper presents a financial approach to monetary analysis that links the credit and state theories of money. A premise of the functional approach to money is that "money is what money does." In this approach, monetary and mercantile mechanics are conflated, which leads to the conclusion that...

The paper presents a financial approach to monetary analysis that links the credit and state theories of money. A premise of the functional approach to money is that "money is what money does." In this approach, monetary and mercantile mechanics are conflated, which leads to the conclusion that...