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Abstract:
Technical analysis is not consistently profitable in the 49 countries that comprise the Morgan Stanley Capital Index once data snooping bias is accounted for. There is some evidence that technical trading rules perform better in emerging markets than developed markets, which is consistent with the finding of previous studies that these markets are less efficient, but this result is not strong. While we cannot rule out the possibility that technical analysis compliments other market timing techniques or that trading rules we do not test are profitable, we do show that over 5,000 trading rules do not add value beyond what may be expected by chance when used in isolation.

Technical Analysis, Quantitative, Market Timing

Abstract:
We investigate the profitability of the quantitative market timing technique of candlestick technical analysis in the U.S. equity market. Despite being used for centuries in Japan and now having a wide following amongst market practitioners globally, there is little research documenting its profitability or otherwise. We find that these strategies are not generally profitable when applied to large U.S. stocks. Basing trading decisions solely on these techniques does not seem sensible but we cannot rule out the possibility that they compliment some other market timing techniques.

Market Timing, Candlesticks, Technical Analysis, Quantitative Investment

Abstract:
Monthly stock market returns are predictable when we refine the observation intervals of the variables used to predict these returns. Contrary to other predictability studies we find high out-of-sample adjusted R2s of up to 7% using economically important commodity returns. Shorter intervals reveal predictability consistent with near efficient markets based on price changes in industrial metals. More historical intervals expose predictability consistent with gradual information diffusion based on energy series. This predictability is robust to data mining adjustment, the inclusion of control (including economic) variables, and unrelated to time-varying risk. Inflation explains part of this predictability, but not all.

observation interval, return predictability tests, market efficiency, gradual information diffusion, market timing, quantitative investment techniques, commodity

Abstract:
Quantitative market timing strategies are not consistently profitable when applied to 15 major commodity futures series. We conduct the most comprehensive study of quantitative trading rules in this market setting to date. We consider over 7,000 rules, apply them to 15 major commodity futures contracts, employ two alternative bootstrapping methodologies, account for data snooping bias, and consider different time periods. While we cannot rule out the possibility that technical trading rules compliment some other trading strategy, we do conclusively show that they are not profitable when used in isolation, despite their wide following.

Commodity, Futures, Technical Analysis, Quantitative, Market Timing

Abstract:
We consider whether popular technical trading rules are profitable on a subset of U.S. stocks with certain size, liquidity, and industry characteristics. We find these rules are rarely profitable during the 1990 to 2004 period, however there is some evidence they are more profitable for smaller, less liquid stocks. When a rule does produce statistically significant profits on a stock they tend to be considerably higher than reasonable estimates of transactions costs. This may explain why these rules are so popular in spite of their overall underperformance.

Technical Analysis, Size, Liquidity

Abstract:
The Other January Effect (OJE), which suggests positive (negative) equity market returns in January predict positive (negative) returns in the following 11 months of the year, is not economically significant. It cannot be profitably implemented and is therefore not evidence against market efficiency. The OJE suffers from being out of the market in January and gives inaccurate short signals. When the OJE is tested with a method that is consistent with investor experience it is clear the OJE is no more profitable than an 11-month strategy that uses December as the conditioning month.

Other January Effect, January Barometer, Quantitative, Return Predictability

Abstract:
We examine the motives for takeovers in New Zealand surrounding the 1987 stock market crash and compare with the U.S. findings of Gondhalekar and Bhagwat (2003). There are a number of structural differences between the New Zealand and U.S. markets that could impact on merger motives. Compared with the U.S., New Zealand is a small capital market; with weak takeover regulation and the affect of the 1987 stock market crash was much more persistent. Consistent with U.S. research, we find evidence of synergy and hubris motivations in New Zealand takeovers although we find the synergy motivation is stronger. Contrary to expectations we find no evidence of agency motivated takeovers.

Mergers and Acquisitions Motives, Regulation, Stock Market Crash

Abstract:
Time in the market substantially reduces the risk of loss resulting from holding both stocks and bonds. By focusing on a downside VaR risk proxy in 25 emerging and 24 developed markets we show that the downside risk of both stocks and bonds is greatly reduced as the investment horizon is increased beyond 10 years, but the risk reduction is more pronounced in stocks. We also show that emerging markets have substantially greater downside risk than developed markets. The results suggest that investors should be very aware of their investment horizon when making asset allocation decisions, particularly into stocks in emerging markets.

stocks, bonds, value at risk, VaR, investment horizon, time diversification, time in the market, emerging markets

Abstract:
This paper considers the link between ruling political parties and stock, property, and bond returns in Australasia. Australia and New Zealand provide an ideal setting as their political systems allow a precise examination of the influences of political parties. We find higher inflation under left-leaning governments and this flows through to higher property returns during their terms. Stock markets tend to do better during right-leaning governments when inflation is lower. While there is no clear political cycle in total bond returns we find bond capital losses during terms governed by the left and capital gains are evident under right-wing governments.

presidential puzzle, political cycle, investment returns, stock market, real estate market, property returns, bond market