Individual Securities

Paskalis Glabadanidis

Chapter Chapter 5 in Market Timing and Moving Averages, 2015, pp 157-168 from Palgrave Macmillan

Abstract: Abstract In this chapter, I investigate the performance of the MA strategy relative to the performance of the BH strategy using individual US stocks with various market capitalizations. Specifically, I pick the components of the S&P 500 index as of December 31, 2013, with sufficiendy long available price histories to be representative of large capitalization stocks. Similarly, I choose the components of the S&P 400 index as of December 31, 2013, to be representative of mid-cap stocks. Finally, I use the components of the S&P 600 index as representative of small-cap stocks. The historical price data with dividends reinvested is obtained from the Center for Research in Security Prices at the University of Chicago.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-35983-4_5

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DOI: 10.1057/9781137359834_5

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