Technical Trading Rules and the Size of the Risk Premium in Security Returns

Ramazan Gencay and Thanasis Stengos

Working Papers from University of Guelph, Department of Economics and Finance

Abstract: Among analysts, technical trading rules are widely used for forecasting security returns. Recent literature provides edivende that these rules may provide positive profits after accounting for transaction costs. This would be contrary to the theory of the efficient market hypothesis which states that security prices cannot be forecasted from their past values or other past variables.

Keywords: FINANCIAL MARKET; RISK; TRADE (search for similar items in EconPapers)
JEL-codes: F13 G14 (search for similar items in EconPapers)
Pages: 23 pages
Date: 1996
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Citations: View citations in EconPapers (3)

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Journal Article: Technical Trading Rules and the Size of the Risk Premium in Security Returns (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:gue:guelph:1996-11

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