Filter Rules : Follow the Trend, or Take the Contrarian Approach?

This paper compares a trending approach to the filter trading rule against a contrarian approach. It is found that, after adjusting for transaction costs, the contrarian approach consistently outperforms the trending approach, and is able to earn returns in excess of the buy-and-hold trading strategy. The significance and robustness of the results are supported by a bootstrap simulation and sub-period analysis, respectively

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Year of publication:	2010
Authors:	Kozyra, James
Other Persons:	Lento, Camillo (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Wertpapierhandel \| Securities trading \| Finanzanalyse \| Financial analysis \| Rentabilität \| Profitability \| Strategie \| Strategy

Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 27, 2010 erstellt
Other identifiers:	10.2139/ssrn.1703176 [DOI]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G19 - General Financial Markets. Other ; N22 - U.S.; Canada: 1913-
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013136365