Economics at your fingertips  

Evaluating active investing with generic trading reactions

Adrian Zoicas‐Ienciu

International Journal of Finance & Economics, 2021, vol. 26, issue 1, 1018-1036

Abstract: We evaluate the performance of rules using past information to generate daily trading signals. Assuming generic trading reactions to buy and sell signals, we derive an analytic excess return that isolates commissions, interests, the impact of trading timing, and that of the benchmark's choice. The result is useful in dealing with data snooping through leverage and benchmark tweaking. We illustrate the empirical implications by examining trend‐following performance across Dow Jones Industrial Average (1927–2016) and an international sample of major equity indexes and blue‐chip stocks (1980–2016). The results show substantial, fading, non‐persistent and highly methodology‐sensitive excess returns.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2021-05-12
Handle: RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1018-1036