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Publication - Professor Nick Taylor

    The Rise and Fall of Technical Trading Rule Success

    Citation

    Taylor, NJ, 2014, ‘The Rise and Fall of Technical Trading Rule Success’. Journal of Banking and Finance.

    Abstract

    The purpose of this paper is to examine the performance of an important set of momentum-based technical trading rules (TTRs) applied to all members of the Dow Jones Industrial Average (DJIA) stock index over the period 1928 to 2012. Using a set of econometric models that permit time-variation in risk-adjusted returns to TTR portfolios, the results reveal that profits evolve slowly over time, are confined to particular episodes primarily from the mid-1960s to mid-1980s, and rely on the ability of investors to short-sell stocks. These findings are demonstrated to be consistent with theoretical models that predict a relationship between TTR performance and market conditions.

    Full details in the University publications repository