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The predictability of asset returns: an approach combining technical analysis and time series forecasts
16 references·9 citing·35 second hop
The predictability of asset returns: an approach combining technical analysis and time series forecasts (2002)The predictability of asset returns: an a…Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Foundations of Technical Anal…Using genetic algorithms to find technical trading rules (1999)Using genetic algorithms to f…Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? (1999)Implementing Statistical Crit…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesInstitutional 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…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …A Note on the Use of Moving Average Trading Rules to Test for Weak Form Efficiency in Capital Markets (2022)A Note on the Use of Moving A…Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns (2013)Decomposing the predictive pe…Mapping the Presidential Election Cycle in US stock markets (2009)Mapping the Presidential Elec…Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules (2008)Market efficiency of Brazilia…A Note on the Use of Moving Average Trading Rules to Test For Weak from Efficiency in Capital Markets (2008)A Note on the Use of Moving A…Non-linear forecasting of stock returns: Does volume help? (2007)Non-linear forecasting of sto…An alternative test for weak form efficiency based on technical analysis (2007)An alternative test for weak …Knowledge discovery in financial investment for forecasting and trading strategy through wavelet-based SOM networks (2006)Knowledge discovery in financ…The Profitability of Technical Analysis: A Review (2004)The Profitability of Technica…The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Econometrics of Financial Markets (1997)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)Forecasting Stock Returns (2013)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation1,118 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1999Using genetic algorithms to find technical trading rules855 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1999Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?

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533 cited
  • 1983Transaction costs and the small firm effect529 cited
  • Cited by

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    • 2007Non-linear forecasting of stock returns: Does volume help?44 cited
    • 2013Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns39 cited
    • 2008Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules37 cited
    • 2022A Note on the Use of Moving Average Trading Rules to Test for Weak Form Efficiency in Capital Markets25 cited
    • 2007An alternative test for weak form efficiency based on technical analysis23 cited
    • 2004The Profitability of Technical Analysis: A Review22 cited
    • 2008A Note on the Use of Moving Average Trading Rules to Test For Weak from Efficiency in Capital Markets21 cited