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Market Timing and Moving Averages = An Empirical Analysis of Performance in Asset Allocation /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Market Timing and Moving Averages/ by P. Glabadanidis.
Reminder of title:	An Empirical Analysis of Performance in Asset Allocation /
Author:	Glabadanidis, P.
Description:	XV, 177 p.online resource. :
Contained By:	Springer Nature eBook
Subject:	Investment banking. -
Online resource:	https://doi.org/10.1057/9781137359834
ISBN:	9781137359834

Market Timing and Moving Averages = An Empirical Analysis of Performance in Asset Allocation /
Glabadanidis, P.

Market Timing and Moving AveragesAn Empirical Analysis of Performance in Asset Allocation /[electronic resource] :by P. Glabadanidis. - 1st ed. 2015. - XV, 177 p.online resource.

There is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.

ISBN: 9781137359834

Standard No.: 10.1057/9781137359834doiSubjects--Topical Terms:

596537
Investment banking.

LC Class. No.: HG4501-6051

Dewey Class. No.: 332.6

Market Timing and Moving Averages = An Empirical Analysis of Performance in Asset Allocation /
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