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The Resource Market timing and moving averages : an empirical analysis of performance in asset allocation, Paskalis Glabadanidis

Market timing and moving averages : an empirical analysis of performance in asset allocation, Paskalis Glabadanidis

Label
Market timing and moving averages : an empirical analysis of performance in asset allocation
Title
Market timing and moving averages
Title remainder
an empirical analysis of performance in asset allocation
Statement of responsibility
Paskalis Glabadanidis
Creator
Subject
Language
eng
Summary
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.--
Assigning source
Provided by Publisher
Cataloging source
DLC
http://library.link/vocab/creatorName
Glabadanidis, Paskalis
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Technical analysis (Investment analysis)
  • Stock price indexes
  • Portfolio management
Label
Market timing and moving averages : an empirical analysis of performance in asset allocation, Paskalis Glabadanidis
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
Fundamental versus technical analysis -- Investment performance -- Performance drivers -- Performance sensitivity -- Individual securities -- Concluding remarks
Control code
FIEb17740228
Dimensions
23 cm.
Extent
xii, 175 pages
Isbn
9781137364685
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
(OCoLC)902141560
Label
Market timing and moving averages : an empirical analysis of performance in asset allocation, Paskalis Glabadanidis
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
Fundamental versus technical analysis -- Investment performance -- Performance drivers -- Performance sensitivity -- Individual securities -- Concluding remarks
Control code
FIEb17740228
Dimensions
23 cm.
Extent
xii, 175 pages
Isbn
9781137364685
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
(OCoLC)902141560

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