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Market Timing and Moving Averages: An Empirical Analysis of Performance in Asset Allocation


Mega Sale! Save 25% on the Market Timing and Moving Averages: An Empirical Analysis of Performance in Asset Allocation by Paskalis Glabadanidis at HYIP Offer. MPN: 157 black & white tables, 65 figures. Hurry! Limited time offer. Offer valid only while supplies last. 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


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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.

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  • Market Timing and Moving Averages An Empirical Analysis of Performance in Asset Allocation

Additional Information

Manufacturer:Palgrave Macmillan
Brand:Paskalis Glabadanidis
Part Number:157 black & white tables, 65 figures
Publisher:Palgrave Macmillan
Studio:Palgrave Macmillan
MPN:157 black & white tables, 65 figures
EAN:9781137364685
Item Weight:1 pounds
Item Size:0.65 x 8.78 x 8.78 inches
Package Weight:0.1 pounds
Package Size:5.5 x 0.7 x 0.7 inches

Market Timing and Moving Averages: An Empirical Analysis of Performance in Asset Allocation by Paskalis Glabadanidis

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Market Timing and Moving Averages: An Empirical Analysis of Performance in Asset Allocation

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