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

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dc.contributor.author Goldbaum, D
dc.date.accessioned 2011-02-07T06:26:49Z
dc.date.issued 1999-01
dc.identifier.citation Journal of Empirical Finance, 1999, 6 (1), pp. 59 - 85
dc.identifier.issn 0927-5398
dc.identifier.other C1UNSUBMIT 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.
dc.language eng
dc.relation.hasversion Accepted Manuscript version en_US
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Empirical Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Empirical Finance Volume 6, Issue 1, January 1999, Pages 59–85 DOI#” http://dx.doi.org/10.1016/S0927-5398(98)00009-7 en_US
dc.subject Asset pricing, G12, G14, Nonparametric, Trading rules, Nonparametric, Asset pricing, Trading rules, Finance
dc.subject Asset pricing; G12; G14; Nonparametric; Trading rules; Nonparametric; Asset pricing; Trading rules; Finance
dc.title A nonparametric examination of market information: Application to technical trading rules
dc.type Journal Article
dc.parent Journal of Empirical Finance
dc.journal.volume 1
dc.journal.volume 6
dc.journal.number 1 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 59 en_US
dc.identifier.endpage 85 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.personcode 100802 en_US
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Nonparametric; Asset pricing; Trading rules en_US
dc.description.keywords Nonparametric
dc.description.keywords Asset pricing
dc.description.keywords Trading rules
dc.description.keywords Asset pricing
dc.description.keywords G12
dc.description.keywords G14
dc.description.keywords Nonparametric
dc.description.keywords Trading rules
dc.staffid en_US
dc.staffid 100802 en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Study of Choice

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