A nonparametric examination of market information: Application to technical trading rules

Journal of Empirical Finance

Volumn 6, Issue 1, 1999, Pages 59-85

  Goldbaum, David ^a  

^a RUTGERS UNIVERSITY   (United States)

Author keywords

Asset pricing; G12; G14; Nonparametric; Trading rules

Indexed keywords

EID: 0042044444     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(98)00009-7     Document Type: Article

References (13)

1. Brock W., Lakonishok J., LeBaron B. Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance. 47:1992;1731-1764.
2. Chen N., Roll R., Ross S.A. Economic forces and the stock market: Testing the APT and alternative asset pricing theories. Journal of Business. 59:1986;383-403.
3. Chen, Z., Knez, P., 1995. Portfolio Performance Measurement: Theory and Applications. Working paper, University of Wisconsin School of Business.
4. Connor, G., Korajczyk, R.A., 1992. The Arbitrage Pricing Theory and Multi-factor Models of Asset Returns. Working paper #139, Northwestern University.
5. Cumby R.E., Modest D.M. Testing for market timing ability: A framework for forecast evaluation. Journal of Financial Economics. 19:1987;169-189.
6. Farnsworth, H., Ferson, W., Jackson, D., Todd, S., Yomtov, B., 1995. Conditional Performance Evaluation. Working Paper.
7. Ferson, W.E., Korajczyk, R.A., 1992. Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?. Working Paper, (January).
8. Hansen L.P., Jagannathan R. Implications of security market data for models of dynamic economies. Journal of Political Economy. 99:1991;225-262.
9. Hansen L.P., Richard S.F. The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica. 55:1987;587-613.
10. Hansen L.P., Singleton K.J. Generalized instrumental variables estimation in nonlinear rational expectations models. Econometrica. 50:1982;1269-1286.
11. Henriksson R.D., Merton R.C. On market timing and investment performance: II. Statistical procedures for evaluating forecasting skills. Journal of Business. 54:1981;513-533.
12. Kane A., Marks S.G. Performance evaluation of market timers: Theory and evidence. Journal of Financial and Quantitative Analysis. 23:1988;425-435.
13. Merton R.C. On market timing and investment performance: I. An equilibrium theory of value for market forecasts. Journal of Business. 54:1981;363-406.