Simple technical trading rules and the stochastic properties of stock returns

Article 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. Moreover, returns following sell signals are negative, which is not easily explained by any of the currently existing equilibrium models. (Reprinted by permission of the publisher.)

Evaluation, Investment analysis, Securities analysis

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The behavior of stock prices around institutional trades

Article Abstract:

All trades executed by 37 large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire sequence ("package") of trades that we interpret as an order. We find that market impact and trading cost are related to firm capitalization, relative package size, and, most importantly, to the identity of the management firm behind the trade. Money managers with high demands for immediacy tend to be associated with larger market impact. (Reprinted by permission of the publisher.)

Investment advice, Securities Investment Advice, Investment advisers

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The weekend effect: trading patterns of individual and institutional investors

Article Abstract:

In this paper, we document regularities in trading patterns of individual and institutional investors related to the day of the week. We find a relative increase in trading activity by individuals on Mondays. In addition, there is a tendency for individuals to increase the number of sell transactions relative to buy transactions, which might explain at least part of the weekend effect. (Reprinted by permission of the publisher.)

Stock-exchange, Stock exchanges, Economic research, Cycles

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