Journal of Financial and Quantitative Analysis Vol. 14 No. 2 1979
A General Test of a Filter Effect
Abstract
This paper develops an exact theoretical test of the presence or absence of a filter effect for a portfolio of securities and a general number of different filter sizes. It is a natural development from Praetz [8], which obtained exact expressions for the mean and variance of rates of return of the investment strategies under filter tests assuming the underlying stochastic process is a random walk. These expressions showed that expected returns from filter strategies are, in fact, less than the return from a buy-andhold alternative with which filter returns are usually compared.
- DOI
- 10.2307/2330510
- Volume
- 14
- Issue
- 2
- Pages
- 385
- Sources
- crossref openalex