We investigate the specification and power of intraday event study test statistics. Both the mean and market models generate well-specified return results for one- to thirty- minute intervals. Moreover, they detect return shocks equivalent to one spread in one- and five-minute interval data and...

Time-series momentum (TSMOM) and moving average (MA) trading rules are closely related; however there are important differences. TSMOM signals occur at points that coincide with a MA direction change, whereas MA buy (sell) signals only require price to move above (below) a MA. Our empirical...

We consider the effectiveness of trailing stop-loss rules which, unlike traditional stop-loss rules, involve the sell trigger price being moved higher to protect profits as prices rise. Our results indicate that while these rules have inferior mean returns to a simple buy-and-hold strategy, they...