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Market Efficiency and the Returns to Technical Analysis
10 references·16 citing·51 second hop
Market Efficiency and the Returns to Technical Analysis (1998)Market Efficiency and the Returns to Tech…On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)On the Predictability of Stoc…The profitability of technical trading rules in the Asian stock markets (1995)The profitability of technica…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Dividend yields and expected stock returns (1988)Dividend yields and expected …Beating the Foreign Exchange Market (1986)Beating the Foreign Exchange …Transaction costs and the small firm effect (1983)Transaction costs and the sma…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…RANDOM WALKS AND TECHNICAL THEORIES: SOME ADDITIONAL EVIDENCE (1970)RANDOM WALKS AND TECHNICAL TH…Predicting bitcoin returns using high-dimensional technical indicators (2018)Predicting bitcoin returns us…Technical trading revisited: False discoveries, persistence tests, and transaction costs (2012)Technical trading revisited: …Predictive ability and profitability of simple technical trading rules: Recent evidence from Southeast Asian stock markets (2012)Predictive ability and profit…Performance of technical analysis in growth and small cap segments of the US equity market (2011)Performance of technical anal…Price trends and patterns in technical analysis: A theoretical and empirical examination (2009)Price trends and patterns in …Are the European carbon markets efficient (2008)Are the European carbon marke…Does intraday technical analysis in the U.S. equity market have value? (2007)Does intraday technical analy…Can commodity futures be profitably traded with quantitative market timing strategies? (2007)Can commodity futures be prof…Intelligent technical analysis based equivolume charting for stock trading using neural networks (2006)Intelligent technical analysi…Reexamining the Profitability of Technical Analysis with Data Snooping Checks (2005)Reexamining the Profitability…Informational Content of Option Volume Prior to Takeovers (2005)Informational Content of Opti…An analysis of trading strategies in eleven European stock markets (2005)An analysis of trading strate…Technical Analysis and Liquidity Provision (2004)Technical Analysis and Liquid…Forecasting the NYSE composite index with technical analysis, pattern recognizer, neural network, and genetic algorithm: a case study in romantic decision support (2002)Forecasting the NYSE composit…S&P futures returns and contrary sentiment indicators (2001)S&P futures returns and contr…Tests of technical trading strategies in the emerging equity markets of Latin America and Asia (1999)Tests of technical trading st…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings (1994)Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Bank involvement with SMEs: Beyond relationship lending (2010)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Permanent and Temporary Components of Stock Prices (1988)Efficient Capital Markets: II (1991)Generating trading rules on the stock markets with genetic programming (2003)Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias (2010)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Forward and spot exchange rates (1984)Technical trading rule profitability and foreign exchange intervention (1999)Agent-based computational finance: Suggested readings and early research (2000)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)The Behavior of Stock-Market Prices (1965)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)Equilibrium in a Capital Asset Market (1966)On The Dynamic Behavior of Prices in Disequilibrium (1980)Technical Analysis in Financial Markets (2004)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The arbitrage theory of capital asset pricing (1976)The theory and practice of econometrics (1986)Asset Pricing at the Millennium (2000)Optimal Portfolio Choice with Parameter Uncertainty (2007)Manager sentiment and stock returns (2018)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Inferring Trade Direction from Intraday Data (1991)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Optimal trading strategy and supply/demand dynamics (2012)
this work references cited by second hop

References

  • 1988Dividend yields and expected stock returns3,574 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective730 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1986Beating the Foreign Exchange Market450 cited
  • 1983Transaction costs and the small firm effect431 cited
  • 1970RANDOM WALKS AND TECHNICAL THEORIES: SOME ADDITIONAL EVIDENCE369 cited
  • 1995The profitability of technical trading rules in the Asian stock markets324 cited

Cited by

  • 2002Forecasting the NYSE composite index with technical analysis, pattern recognizer, neural network, and genetic algorithm: a case study in romantic decision support277 cited
  • 2012Technical trading revisited: False discoveries, persistence tests, and transaction costs252 cited
  • 1999Tests of technical trading strategies in the emerging equity markets of Latin America and Asia243 cited
  • 2005Reexamining the Profitability of Technical Analysis with Data Snooping Checks189 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2018Predicting bitcoin returns using high-dimensional technical indicators177 cited
  • 2005Informational Content of Option Volume Prior to Takeovers151 cited
  • 2001S&P futures returns and contrary sentiment indicators148 cited
  • 2004Technical Analysis and Liquidity Provision140 cited
  • 2008Are the European carbon markets efficient129 cited
  • 2006Intelligent technical analysis based equivolume charting for stock trading using neural networks125 cited
  • 2007Can commodity futures be profitably traded with quantitative market timing strategies?118 cited
  • 2011Performance of technical analysis in growth and small cap segments of the US equity market108 cited
  • 2007Does intraday technical analysis in the U.S. equity market have value?105 cited
  • 2012Predictive ability and profitability of simple technical trading rules: Recent evidence from Southeast Asian stock markets103 cited
  • 2009Price trends and patterns in technical analysis: A theoretical and empirical examination95 cited
  • 2005An analysis of trading strategies in eleven European stock markets91 cited