Moving average distance as a predictor of equity returns

Autor:	Guy Kaplanski, Avanidhar Subrahmanyam, Doron Avramov
Rok vydání:	2020
Předmět:	Economics and Econometrics Moving average Technical analysis Economics Market efficiency Equity (finance) Econometrics Profitability index Predictability Finance
Zdroj:	Review of Financial Economics. 39:127-145
ISSN:	1873-5924 1058-3300
Popis:	The distance between short- and long-run moving averages of prices (MAD) predicts future equity returns in the cross-section. Annualized value-weighted alphas from the accompanying hedge portfolios are around 9%, and the predictability goes beyond momentum, 52-week highs, profitability, and other prominent anomalies. MAD-based investment payoffs survive reasonable trading costs faced by institutions, and are stronger on the long side relative to the short counterpart.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::cd537d2fc83b841c469831b3193fc373 https://doi.org/10.1002/rfe.1118 Zobrazit plný text záznamu Plný text