Simple Technical Trading Rules and the Stochastic Properties of Stock Returns Export

@article{citeulike:1325159, abstract = {This paper tests two of the simplest and most popular trading rules--moving average and trading range break-by utilizing the Dow Jones Index from 1897 to 1986. Standard statistical analysis is extended through the use of bootstrap techniques. Overall, our results provide strong support for the technical strategies. The returns obtained from these strategies are not consistent with four popular null models: the random walk, the AR(1), the GARCH-M, and the Exponential GARCH. Buy signals consistently generate higher returns than sell signals, and further, the returns following buy signals are less volatile than returns following sell signals, and further, the returns following buy signals are less volatile than returns following sell signals. Moreover, returns following sell signals are negative, which is not easily explained by any of the currently existing equilibrium models.}, author = {Brock, William and Lakonishok, Josef and Lebaron, Blake}, citeulike-article-id = {1325159}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/2328994}, citeulike-linkout-1 = {http://www.jstor.org/stable/2328994}, doi = {10.2307/2328994}, issn = {00221082}, journal = {The Journal of Finance}, keywords = {technicalanalysis, tradingstrategy}, number = {5}, pages = {1731--1764}, posted-at = {2009-10-08 21:03:30}, priority = {2}, publisher = {Blackwell Publishing for the American Finance Association}, title = {Simple Technical Trading Rules and the Stochastic Properties of Stock Returns}, url = {http://dx.doi.org/10.2307/2328994}, volume = {47}, year = {1992} }

TY - JOUR ID - citeulike:1325159 L3 - citeulike-article-id:1325159 N2 - This paper tests two of the simplest and most popular trading rules--moving average and trading range break-by utilizing the Dow Jones Index from 1897 to 1986. Standard statistical analysis is extended through the use of bootstrap techniques. Overall, our results provide strong support for the technical strategies. The returns obtained from these strategies are not consistent with four popular null models: the random walk, the AR(1), the GARCH-M, and the Exponential GARCH. Buy signals consistently generate higher returns than sell signals, and further, the returns following buy signals are less volatile than returns following sell signals, and further, the returns following buy signals are less volatile than returns following sell signals. Moreover, returns following sell signals are negative, which is not easily explained by any of the currently existing equilibrium models. IS - 5 JF - The Journal of Finance SN - 00221082 EP - 1764 TI - Simple Technical Trading Rules and the Stochastic Properties of Stock Returns PB - Blackwell Publishing for the American Finance Association VL - 47 SP - 1731 KW - technicalanalysis KW - tradingstrategy AU - Brock, William AU - Lakonishok, Josef AU - Lebaron, Blake PY - 1992/// UR - http://dx.doi.org/10.2307/2328994 ER -