Market Timing and Moving Averages

Beschreibung

There is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.

Autor*in

P. Glabadanidis

Themen in »Market Timing and Moving Averages«

Market timing moving averages investments asset allocation Investment Investments investments and securities

Stimmen zu »Market Timing and Moving Averages«

"Market Timing and Moving Averages is a rigorous investigation into the performance of a simple technical rule and its links to successful stock market timing. For a long time neglected by academics, technical analysis has been demeaned and has remained subjective and understudied. Glabadanidis's book takes a swipe at studying the historical performance of the simple moving average rule and finds that its success is largely driven by volatility and market timing." - Turan Bali, Robert Parker Chair Professor of Finance, McDonough School of Business, Georgetown University, USA

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