The performance of technical trading rules in Socially Responsible Investments
Andrew Urquhart and
International Review of Economics & Finance, 2019, vol. 63, issue C, 397-411
This study is the first to examine the performance of technical trading in tradeable Socially Responsible Investment (SRI) indices. We employ a number of popular trend-following and mean-reverting technical trading rules and find that trend-following technical trading rules offer very little predictive power or significant returns to investors. However the mean-reverting technical trading rules do offer significant returns, even after controlling for data-snooping, risk, transaction costs and out-of-sample testing. Therefore our results add to the literature by showing that mean-reverting technical trading rules offer substantial predictive power in SRI indices, but traditional trend-following rules offer very little predictive power.
Keywords: Socially responsible investments; Technical analysis; Data-snooping (search for similar items in EconPapers)
JEL-codes: G1 G11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:63:y:2019:i:c:p:397-411
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