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【2015新书】 Market Timing and Moving Averages: An Empirical Analysis of Performance in Asset Allocation
Book 图书名称： Market Timing and Moving Averages: An Empirical Analysis of Performance in Asset Allocation
Author 作者： Paskalis Glabadanidis
Publisher 出版社： Palgrave Macmillan
Page 页数： 195
Publishing Date 出版时间： Jul 16, 2015
Language 语言： English
Size 大小： 22 MB
Format 格式： pdf 文字版
ISBN: 1137364688, 9781137364685
Edition: 第1版 搜索过论坛，没有该文档
There 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.
== Table of contents ==
1. Fundamental versus Technical Analysis
2. Investment Performance
3. Performance Drivers
4. Performance Sensitivity
5. Individual Securities
6. Concluding Remarks
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