A Nonparametric Examination of Market Information: application to technical trading rules

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dc.contributor.author Goldbaum, David en_US
dc.contributor.editor en_US
dc.date.accessioned 2011-02-07T06:26:49Z
dc.date.available 2011-02-07T06:26:49Z
dc.date.issued 1999 en_US
dc.identifier 2006011849 en_US
dc.identifier.citation Goldbaum, David 1999, 'A Nonparametric Examination of Market Information: application to technical trading rules', Journal of Empirical Finance, vol. 6, no. 1, pp. 59-85. en_US
dc.identifier.issn 0927-5398 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/14008
dc.description.abstract This paper develops a nonparametric approach for testing whether an information set is useful for generating greater stock market returns. The approach is model free and thus the test of the information does not depend on the particular assumptions of an asset pricing model. Assuming No Arbitrage, a stochastic discount factor (SDF) is constructed from observed market assets. This SDF can be used as a pricing operator for examining dynamic portfolio returns to indicate the information content in the underlying trading strategy. Trading strategies based on technical trading rules are examined with the developed approach. en_US
dc.language en_US
dc.publisher Elsevier Science B.V. en_US
dc.relation.hasversion Accepted Manuscript version en_US
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Empirical Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Empirical Finance Volume 6, Issue 1, January 1999, Pages 59–85 DOI#” http://dx.doi.org/10.1016/S0927-5398(98)00009-7 en_US
dc.title A Nonparametric Examination of Market Information: application to technical trading rules en_US
dc.parent Journal of Empirical Finance en_US
dc.journal.volume 6 en_US
dc.journal.number 1 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 59 en_US
dc.identifier.endpage 85 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150200 en_US
dc.personcode 100802 en_US
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Nonparametric; Asset pricing; Trading rules en_US
dc.staffid en_US
dc.staffid 100802 en_US

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