Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/102306
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Type: Journal article
Title: Timing the Market with a Combination of Moving Averages
Author: Glabadanidis, P.
Citation: International Review of Finance, 2017; 17(3):353-394
Publisher: John Wiley and Sons
Issue Date: 2017
ISSN: 1468-2443
1468-2443
Statement of
Responsibility: 
Paskalis Glabadanidis
Abstract: A combination of simple moving average trading strategies with several window lengths delivers a greater average return and skewness as well as a lower variance and kurtosis compared with buying and holding the underlying asset using daily returns of value-weighted US decile portfolios sorted by market size, book-to-market, momentum, and standard deviation as well as more than 1000 individual US stocks. The combination moving average (CMA) strategy generates risk-adjusted returns of 2% to 16% per year before transaction costs. The performance of the CMA strategy is driven largely by the volatility of stock returns and resembles the payoffs of an at-the-money protective put on the underlying buy-and-hold return. Conditional factor models with macroeconomic variables, especially the market dividend yield, short-term interest rates, and market conditions, can explain some of the abnormal returns. Standard market timing tests reveal ample evidence regarding the timing ability of the CMA strategy.
Description: First published 10 October 2016
Rights: © 2016 International Review of Finance Ltd. 2016
DOI: 10.1111/irfi.12107
Published version: http://dx.doi.org/10.1111/irfi.12107
Appears in Collections:Aurora harvest 3
Business School publications

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