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Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average
16 references·12 citing·41 second hop
Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average (2002)Dividends, nonsynchronous prices, and the…Inference in Long‐Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings (2000)Inference in Long‐Horizon Eve…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Some New Filter Rule Tests: Methods and Results (1988)Some New Filter Rule Tests: M…Forecasting Economic Time Series (1986)Forecasting Economic Time Ser…Beating the Foreign Exchange Market (1986)Beating the Foreign Exchange …Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Forecasting Economic Time Series (1979)Forecasting Economic Time Ser…A Random Walk Down Wall Street (1973)A Random Walk Down Wall StreetRANDOM WALKS AND TECHNICAL THEORIES: SOME ADDITIONAL EVIDENCE (1970)RANDOM WALKS AND TECHNICAL TH…The Random-Walk Theory: An Empirical Test (1967)The Random-Walk Theory: An Em…RELATIVE STRENGTH AS A CRITERION FOR INVESTMENT SELECTION (1967)RELATIVE STRENGTH AS A CRITER…Filter Rules and Stock-Market Trading (1966)Filter Rules and Stock-Market…Price Movements in Speculative Markets : Trends or Random Walks (1961)Price Movements in Speculativ…Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries (2018)Do Stock Markets Lead or Lag …The Impact of Technical Analysis on Stock Returns in an Emerging Capital Markets (ECM’s) Country: Theoretical and Empirical Study (2017)The Impact of Technical Analy…Does intraday technical trading have predictive power in precious metal markets? (2017)Does intraday technical tradi…The predictive power of Japanese candlestick charting in Chinese stock market (2016)The predictive power of Japan…Predictability in bond returns using technical trading rules (2016)Predictability in bond return…MA trading rules, herding behaviors, and stock market overreaction (2015)MA trading rules, herding beh…Performance of moving average trading strategies over varying stock market conditions: the Finnish evidence (2014)Performance of moving average…The profitability of candlestick charting in the Taiwan stock market (2013)The profitability of candlest…Drivers of technical trend-following rules' profitability in world stock markets (2013)Drivers of technical trend-fo…Technical trading rules and calendar anomalies — Are they the same phenomena? (2009)Technical trading rules and c…Is Technical Analysis Profitable on U.S. Stocks With Certain Size, Liquidity or Industry Characteristics? (2007)Is Technical Analysis Profita…The Profitability of Technical Analysis: A Review (2004)The Profitability of Technica…The Behavior of Stock-Market Prices (1965)An Anatomy of Trading Strategies (1998)Using genetic algorithms to find technical trading rules (1999)The illusory nature of momentum profits (2003)A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Trading Volume and Serial Correlation in Stock Returns (1993)Comparing Predictive Accuracy (1994)Asymptotics for out of sample tests of Granger causality (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Norm theory: Comparing reality to its alternatives. (1986)Investor Sentiment and the Closed‐End Fund Puzzle (1991)An Engine, Not a Camera (2006)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Generalized autoregressive conditional heteroskedasticity (1986)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)Forecasting Stock Returns (2013)Rational Theory of Warrant Pricing (2015)Forecasting the behavior of multivariate time series using neural networks (1992)The Effectiveness of Antiterrorism Policies: A Vector-Autoregression-Intervention Analysis (1993)Economic and statistical measures of forecast accuracy (2000)
this work references cited by second hop

References

  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1973A Random Walk Down Wall Street1,743 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 1979Forecasting Economic Time Series1,004 cited
  • 1966Filter Rules and Stock-Market Trading832 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1986Forecasting Economic Time Series714 cited
  • 1961Price Movements in Speculative Markets : Trends or Random Walks645 cited
  • 1986Beating the Foreign Exchange Market450 cited
  • 1970RANDOM WALKS AND TECHNICAL THEORIES: SOME ADDITIONAL EVIDENCE369 cited
  • 2000Inference in Long‐Horizon Event Studies: A Bayesian Approach with Application to Initial Public Offerings261 cited
  • 1988Some New Filter Rule Tests: Methods and Results240 cited
  • 1967RELATIVE STRENGTH AS A CRITERION FOR INVESTMENT SELECTION220 cited

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  • 1967The Random-Walk Theory: An Empirical Test156 cited
  • Cited by

    • 2018Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries65 cited
    • 2015MA trading rules, herding behaviors, and stock market overreaction52 cited
    • 2014Performance of moving average trading strategies over varying stock market conditions: the Finnish evidence40 cited
    • 2013The profitability of candlestick charting in the Taiwan stock market37 cited
    • 2016Predictability in bond returns using technical trading rules37 cited
    • 2013Drivers of technical trend-following rules' profitability in world stock markets36 cited
    • 2016The predictive power of Japanese candlestick charting in Chinese stock market34 cited
    • 2007Is Technical Analysis Profitable on U.S. Stocks With Certain Size, Liquidity or Industry Characteristics?32 cited
    • 2017The Impact of Technical Analysis on Stock Returns in an Emerging Capital Markets (ECM’s) Country: Theoretical and Empirical Study28 cited
    • 2017Does intraday technical trading have predictive power in precious metal markets?25 cited
    • 2009Technical trading rules and calendar anomalies — Are they the same phenomena?23 cited
    • 2004The Profitability of Technical Analysis: A Review22 cited