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Abstract:
The model of Technical Analysis goes against the fulfillment of the weak form of the Hypothesis of Efficient Market raised by Fama (1970). Nevertheless, recently some studies provide evidence with probable prediction of the expected returns based on the past returns. In particular, the investigation of Brock, Lakonishok, and LeBaron (1992) is important because it is one of the few academic investigations that have been able to document a strategy of successful investment based on the Technical Analysis. In the present investigation: The continuation of the past returns in the short term is confirmed. This continuation stays strong statistically at least until the last twelve months, but it is losing force as the terms increase. To the 36 months, certain evidence would exist towards a reversion to the average, but in any case this is extremely weak from a statistical point of view. With respect to the indicators of Technical Analysis, positive but smaller returns compared to those of the indexing are generated. This is due to the incapacity of the Technical Analysis to generate satisfactory results in periods of declining stock markets. More even, the problem of the greater costs of transaction due to the high number of transactions made exists. Therefore, it is not conclusive that the Technical Analysis generates better results than a simple strategy of "to buy and to maintain". Thus, the investor would be better indexing his portfolio than following the strategies raised by the Technical Analysis.

Technical analysis, investment strategies, Spain, USA, stocks

Abstract:
This paper explain, analyze and apply in an example the original paper developed by Kopprasch, Boyce, Koenigsberg, Tatevossian, and Yampol (1987) from The Salomon Brothers Inc. Bond Portfolio Analysis Group. Please, be aware. This paper is for educational issues only. There is a Spanish version in EconWPA.

Salomon Brothers, bond portfolio, duration and convexity, effective duration, valuation, callable and non callable bond

Abstract:
Several trading rules are analyzed using all daily returns on every Ibex future contracts, since market data from MEFF was available on April 20th, 1992 till March 31st, 2000. The analyses are: calendar anomalies and technical indicators based on moving averages. In an informal test, results are contrasted with the return of a simple of buy-and-hold strategy. Results show that if the investor follows the analyzed trading strategies, he or she will get a better return than the index in a up-market but a significant worst return in a down-market. So, finally, indexing is the best option compared with these trading strategies. In a formal test, signals from these rules are included in an OLS model trying to explain daily returns. Results show that signals can no explain the variance of returns. Finally, it is concluded that the market it is efficient because there is no proof that the contrary could be happening.

Spain, Ibex, futures, trading, MEFF, investment, strategies, España