Wei and Yang (2012), from the University of Toronto, Canada, examined momentum in a large sample of U.S. stocks from 1964 to 2009. At the beginning of each month, stocks were sorted quintiles based on their realized past returns. Equally…
Wei and Yang (2012), from the University of Toronto, Canada, examined momentum in a large sample of U.S. stocks from 1964 to 2009. At the beginning of each month, stocks were sorted quintiles based on their realized past returns. Equally…
Molchanov and Stork (2010), from Massey University in New Zealand, examined monthly returns, from 1992 through 2007, of 220 of the world’s largest and most liquid stocks. The stocks came from five regions: United States (Dow Jones Industrial Average, 30…
Menkhoff, Sarno, Schmeling, and Schrimpf (2012) – of Leibnitz University, Hanover, Germany, Singapore Management University, and the Bank for International Settlements in Basel, Switzerland – examined forex data from January 1976 to January 2010 in 48 different countries. They found…
Carol Osler (2003), of Brandeis University, documented clustering in currency stop-loss and take-profit orders, and used that clustering to explain two familiar predictions made by technical analysts: (1) trends tend to reverse course at predictable support and resistance levels, and…
Zhai, Hsu, and Halgamuge (2007), of the University of Melbourne, Australia, have developed a unique approach for analyzing news stories in combination with market price data using a type of machine learning known as a support vector machine. The research…
Leigh, Modani, Purvis and Roberts (2002) – from the University of Central Florida, Clemson University, South Carolina, and the University of Kansas – implemented a recognition algorithm for two versions of the “bull flag” technical charting pattern – signaling a…
Technical analysis (TA) is based on the startlingly simple idea that all relevant fundamental information about a tradable security is incorporated into the price. Therefore, all technical trading strategies are based on variations of price and volume. Technical analysis includes…
Green, Jame, Markov, and Subasi (2012) – from Emory University, Atlanta, Georgia, the University of New South Wales, Australia, the University of Texas, Dallas, and the University of Missouri – studied the effects of broker-hosted investor conferences on the informativeness…
Kadan, Madureira, Wang, and Zach (2012) – from Washington University, St. Louis, Missouri, Case Western University, Cleveland, Ohio, Singapore Management University, and Ohio State University, Columbus – studied sell-side analysts’ ability to rank industries relative to each other (across-industry expertise).…
Anna Scherbina (2008), then at the University of California, Davis, noted earlier research showing firms that performed badly were often reluctant to share negative news with investors. Frequently, the bad news was suppressed not only by firms but also by…