Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average

Journal of Empirical Finance

Volumn 9, Issue 4, 2002, Pages 431-454

  Day, Theodore E ^a   Wang, Pingying ^b  

^a UNIVERSITY OF TEXAS AT DALLAS   (United States)

^b One Lincoln Centre   (United States)

Author keywords

Market efficiency; Technical trading rules

Indexed keywords

EID: 0036840398     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(02)00004-X     Document Type: Article

References (19)

1. Alexander, S., 1961. Price movements in speculative markets: trends or random walks. Industrial Management Review 2, 7-26.
2. Beveridge, S., Nelson, C.R., 1981. A new approach to decomposition of economic time series into permanent and trasitory components with particular attention to measurement of the business cycle. Journal of Monetary Economics 7, 151-174.
3. Brav, A., 2000. Inference in long horizon event studies: a Bayesian approach with application to initial public offerings. Journal of Finance 55, 1979-2016.
4. Brock, W., Lakonishok, J., LeBaron, B., 1992. Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance 47, 1731-1764.
5. Chase, D.C., 1995. Chase investment performance digest. Chase Global Data and Research Concord, MA.
6. Elton, E.J., Gruber, M.J., 1995. Modern Portfolio Theory and Investment Analysis, 5th edn. Wiley, New York.
7. Fama, E.F., Blume, M.E., 1966. Filter rules and stock-market trading. Journal of Business 39, 226-241.
8. Granger, C.W.J., Newbold, P., 1986. Forecasting Economic Time Series, 2nd edn. Academic Press, Orlando.
9. Jensen, M.C., Bennington, G., 1970. Random walks and technical theories: some additional evidence. Journal of Finance 25, 469-482.
10. Jokivuolle, E., 1995. Measuring true stock index value in the presence of infrequent trading. Journal of Financial and Quantitative Analysis 30, 455-464.
11. Levy, R.A., 1967. Relative strength as a criterion for investment selection. Journal of Finance 22, 595-610.
12. Malkiel, B.G., 1996. A Random Walk Down Wall Street, 6th edn. W.W. Norton & Company, New York.
13. Praetz, R.A., 1976. Rates of return on filter tests. Journal of Finance 31, 71-75.
14. Stoll, H.R., Whaley, R.E., 1990. The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis 25, 441-468.
15. Sullivan, R., Timmermann, A., White, H., 1999. Data-snooping, technical trading rule performance, and the bootstrap. Journal of Finance 54, 1647-1691.
16. Sweeney, R.J., 1986. Beating the foreign exchange market. Journal of Finance 41, 163-182.
17. Sweeney, R.J., 1988. Some new filter rule tests: methods and results. Journal of Financial and Quantitative Analysis 23, 285-300.
18. Van Horne, J.C., Parker, G.C., 1967. The random walk theory: an empirical test. Financial Analysts Journal 23, 87-92.
19. White, H., 1997. A reality check for data snooping, Technical report, NRDA, San Diego, CA.