recid:5234 - Suchergebnisse

Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability

Isakov, Dušan ; Marti, Didier

(Working Papers SES ; 421)

This paper extends the literature on the profitability of technical analysis in three directions. First, we investigate the performance of complex trading rules based on moving averages computed over longer periods than those usually considered. Different trading rules are simulated on daily prices of the Standard & Poor’s 500 index and we find that trading rules are more profitable when...

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Is beta still alive? : Conclusive evidence from the Swiss stock market

Isakov, Dušan

In: The European Journal of Finance

Recent evidence by Fama and French (1992,1996) and others shows that betas and returns are not related empirically. They interpret this as evidence against the validity of the capital asset pricing model and they conclude that the beta is not a good measure of risk. This paper claims that usual tests do not leave much opportunity for beta to appear as a useful variable capable of explaining...

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