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...

A large universe of technical trading rules applied to a set of technology industry and small cap sector portfolios over the 1995–2010 period yields superior predictability after adjusting for data snooping bias in the first half of the sample period and delivers statistically significant...

Existing studies on time-series predictability in equity returns base their analysis on the usage of a broad market index or individual stocks showing that trend chasing trading rules have largely been futile. This paper shows that trend continuation is predominantly an intra-industry rather...