A nonparametric examination of market information: Application to technical trading rules

Goldbaum, D

A nonparametric examination of market information: Application to technical trading rules

Goldbaum, D

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Publication Type:: Journal Article
Citation:: Journal of Empirical Finance, 1999, 6 (1), pp. 59 - 85
Issue Date:: 1999-01-01

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Field	Value	Language
dc.contributor.author	Goldbaum, D https://orcid.org/0000-0002-4228-1408	en_US
dc.date.issued	1999-01-01	en_US
dc.identifier.citation	Journal of Empirical Finance, 1999, 6 (1), pp. 59 - 85	en_US
dc.identifier.issn	0927-5398	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14008
dc.description.abstract	This paper develops a nonparametric approach for testing whether an information set is useful for generating greater stock market returns. The approach is model free and thus the test of the information does not depend on the particular assumptions of an asset pricing model. Assuming No Arbitrage, a stochastic discount factor (SDF) is constructed from observed market assets. This SDF can be used as a pricing operator for examining dynamic portfolio returns to indicate the information content in the underlying trading strategy. Trading strategies based on technical trading rules are examined with the developed approach.	en_US
dc.relation.ispartof	Journal of Empirical Finance	en_US
dc.relation.isbasedon	10.1016/S0927-5398(98)00009-7	en_US
dc.subject.classification	Finance	en_US
dc.title	A nonparametric examination of market information: Application to technical trading rules	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	6	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	6	en_US

Abstract:

This paper develops a nonparametric approach for testing whether an information set is useful for generating greater stock market returns. The approach is model free and thus the test of the information does not depend on the particular assumptions of an asset pricing model. Assuming No Arbitrage, a stochastic discount factor (SDF) is constructed from observed market assets. This SDF can be used as a pricing operator for examining dynamic portfolio returns to indicate the information content in the underlying trading strategy. Trading strategies based on technical trading rules are examined with the developed approach.

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http://hdl.handle.net/10453/14008