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OverviewThere is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages. Full Product DetailsAuthor: P. GlabadanidisPublisher: Palgrave Macmillan Imprint: Palgrave Macmillan Dimensions: Width: 14.00cm , Height: 1.30cm , Length: 21.60cm Weight: 3.501kg ISBN: 9781137364685ISBN 10: 1137364688 Pages: 177 Publication Date: 16 July 2015 Audience: Professional and scholarly , College/higher education , Professional & Vocational , Postgraduate, Research & Scholarly Format: Hardback Publisher's Status: Active Availability: In Print  This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us. Table of ContentsReviewsMarket Timing and Moving Averages is a rigorous investigation into the performance of a simple technical rule and its links to successful stock market timing. For a long time neglected by academics, technical analysis has been demeaned and has remained subjective and understudied. Glabadanidis's book takes a swipe at studying the historical performance of the simple moving average rule and finds that its success is largely driven by volatility and market timing. - Turan Bali, Robert Parker Chair Professor of Finance, McDonough School of Business, Georgetown University, USA For many years, technical analysis has been used not only by individual investors but also by many professional managers in the fund industry. This book links the traditional technical analysis to the recent developments in asset pricing research in market timing. The author does a great job in building a bridge for fund manages to help access the sophisticated cutting-edge research in the field. - Takeshi Yamada, Professor of Finance, Australia National University College of Business and Economics, Australian Author InformationPaskalis Glabadanidis is Senior Lecturer in Finance at the University of Adelaide. Tab Content 6Author Website:Countries AvailableAll regions |
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