We show that technical indicators deliver economic value in predicting the U.S. equity premium. A crucial element of this value stems from the stability of return predictability over the full sample period from 1950 to 2013. Results tentatively improve over time and beat alternatives over...

This research uses macro factors to explain four standard U.S. stock market risk premia, i.e. the market excess return (RM-RF), size (SMB), value (HML), and momentum (WML). We find in-sample predictive power of macro factors, in particular at a one-year horizon. Differentiating between bull and...

The effect of technical analyses on the performance of subsequent policies and actions in the foreign exchange markets is analysed using three cases. Results show that use of technical analyses is persistently profitable. Participants, however, tend to view short-term market risk as important...

The effect of technical analyses on the performance of subsequent policies and actions in the foreign exchange markets is analysed using three cases. Results show that use of technical analyses is persistently profitable. Participants, however, tend to view short-term market risk as important...

This paper examines the roles of order flow (reflecting private information) and news (reflecting public information) in explaining exchange rate volatility. Analyzing four months of a bank’s high frequency US dollar-euro trading, three different kinds of order flow are used in addition to...

Nonlinear modeling of adjustments to purchasing power parity has recently gained much attention. However, a huge body of the empirical literature applies ES- TAR models and neglects the existence of other competing nonlinear models. Among these, the Markov Switching AR model has a strong...

Although the use of technical analysis in foreign exchange markets is well known, enduring and possibly profitably used, it is not well understood. In this paper implications of the efficient market hypothesis for the use of technical currency analysis are examined by an evaluation of the...

A new survey of fund managers reveals home bias for these sophisticated investors in a setting being unrestricted by customer preferences or legal requirements. We confirm informational and behavioural determinants of home bias and find them to hold simultaneously. Further examinations of...

This article extends earlier studies on exchange-rate expectations' formation by using new data and adding information about forecasters' reliance on fundamental analysis for the first time. We replicate the conventional result of nonrational expectations. Moreover, biases in expectations are...