Journal of Banking & Finance Vol. 40 2014
The rise and fall of technical trading rule success
Abstract
The purpose of this paper is to examine the performance of an important set of momentum-based technical trading rules (TTRs) applied to all members of the Dow Jones Industrial Average (DJIA) stock index over the period 1928–2012. Using a set of econometric models that permit time-variation in risk-adjusted returns to TTR portfolios, the results reveal that profits evolve slowly over time, are confined to particular episodes primarily from the mid-1960s to mid-1980s, and rely on the ability of investors to short-sell stocks. These findings are demonstrated to be consistent with theoretical models that predict a relationship between TTR performance and market conditions.
- DOI
- 10.1016/j.jbankfin.2013.12.004
- Volume
- 40
- Pages
- 286-302
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref