Market Timing With Moving Averages

I present evidence that a moving average (MA) trading strategy has a greater average return and skewness as well as a lower variance compared to buying and holding the underlying asset using monthly returns of value‐weighted US decile portfolios sorted by market size, book‐to‐market, and momentum, and seven international markets as well as 18,000 individual US stocks. The MA strategy generates risk‐adjusted returns of 3–7% per year after transaction costs. The performance of the MA strategy is driven largely by the volatility of stock returns and resembles the payoffs of an at‐the‐money protective put on the underlying buy‐and‐hold return. Conditional factor models with macroeconomic variables, especially the default premium, can explain some of the abnormal returns. Standard market timing tests reveal ample evidence regarding the timing ability of the MA strategy.     

Revisiting the Profitability of Market Timing with Moving Averages

In a recent empirical study by Glabadanidis (“Market Timing with Moving Averages” (2015), International Review of Finance 15(13):387–425), the author reports striking evidence of extraordinarily good performance of the moving average trading strategy. In this paper, we demonstrate that this “too good to be true” reported performance of the moving average strategy is due to simulating trading with look‐ahead bias. We perform simulations without look‐ahead bias and report the true performance of the moving average strategy. We find that, at best, the performance of the moving average strategy is only marginally better than that of the corresponding buy‐and‐hold strategy. In statistical terms, the performance of the moving average strategy is indistinguishable from the performance of the buy‐and‐hold strategy.     

The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes

I present evidence that a moving average (MA) trading strategy dominates buying and holding the underlying asset in a mean‐variance sense using monthly returns of value‐weighted and equal‐weighted US REIT indexes over the period January 1980 until December 2010. The abnormal returns are largely insensitive to the four Carhart factors and produce economically and statistically significant alphas of between 10 and 15% per year after transaction costs. This performance is robust to different lags of the MA and in subperiods while investor sentiment, liquidity risks, business cycles, up and down markets, and the default spread cannot fully account for its performance. The MA strategy works just as well with randomly generated returns and bootstrapped returns. The substantial market timing ability of the MA strategy appears to be the main driver of the abnormal returns. The returns to the MA strategy resemble the returns of an imperfect at‐the‐money protective put strategy relative to the underlying portfolio. The lagged signal to switch has substantial predictive power over the subsequent return of the REIT index. The MA strategy avoids the sharp downturn at the beginning of 2008 and substantially outperforms the cumulative returns of the buy‐and‐hold strategy using all of the 20 REIT indexes. The results from applying the MA strategy with 274 individual REITs largely corroborate the findings for the REIT indexes.     

Further Mining the Predictability of Moving Averages: Evidence from the US Stock Market

Most studies on the predictability of moving average (MA) technical analysis use the discrete (buy/sell) trading recommendations. However, it is possibly incomplete or unreliable to explore the predictability of MA by only employing its generated trading signals. To further explore the forecastability of MA, we study its measurable impact on the stock market returns by using a conventional predictive regression framework. Our empirical study on the US stock market with respect to more detailed price information finds, (i) that the proposed predictor, MADP (MA based on daily prices) shows significant predictability in‐ and out‐of‐sample, and significantly outperforms the historical average (HA) benchmark as well as the MA based on monthly prices, (ii) that the predictability of MADP centers on the short‐term lags (within the most recent 10 days) and disappears when lags are beyond 20 days, and (iii) that the economic evaluation of the portfolios based on trading strategies confirms the superior performance of MADP with short‐term lags against the benchmark even though considering transaction costs.     

Drivers of Customers’ Adoption and Adoption Timing of a New Loyalty Card in the Grocery Retail Market

The authors study consumers’ process of adoption of a new loyalty card in a grocery retail context. More specifically, the authors simultaneously investigate the impact of attitudinal, behavioral, and socio-demographic variables on the likelihood of adoption and the time to adoption. They show that these variables differently affect the adoption likelihood and timing and demonstrate the importance of attitudinal measures of customer loyalty such as commitment to the store. This research confirms the so-called self-selection bias and extends it to the attitudinal dimension of loyalty. Some guidelines are proposed to increase the effectiveness of loyalty card program launches.     

The Canadian Hedge Fund Industry: Performance and Market Timing

We analyze the risk and return characteristics of Canadian hedge funds based on a comprehensive database we compiled. We find that Canadian hedge funds have higher risk‐adjusted performance and different distributional characteristics relative to the global hedge fund indices. We investigate market timing by Canadian hedge funds and find that they do not time the Canadian or global stock and bond markets, but hedge funds in the Managed Futures strategy group time the commodity market. These results are robust to parameter instability and structural changes in the model. We also illustrate the impact of using local and global risk factors to analyze the performance of local investment firms.     

川渝联手开拓南亚市场研究

川渝产业结构与南亚国家具有很强的互补性,川渝自身的区位优势明显,有必要联手拓展南亚国家市场。在此过程中,川渝政府应该进一步完善当前的物流市场,加快高层次外贸人才的培养和引进,并做好其他相关的外贸配套工作,充分将潜在的竞争优势转化现实的竞争力。     

Duration Dependence,Behavioral Restrictions,and the Market Timing Ability of Commodity Trading Advisors

This paper addresses a potential shortcoming in the work on the market timing ability of fund managers. We adapt the Henriksson‐Merton (1981) test for market timing by relaxing a behavioral assumption that is implicit in the use of daily data. To this end, we relax the assumption that managers base their market timing decisions on daily excess returns. Instead, we use results from the literature on bull and bear markets and test whether fund managers can successfully time such trends in financial markets. We make use of a proprietary dataset of daily Commodity Trading Advisors (CTAs) returns to show that CTAs, on average, are able to time the bull and bear markets we identify.     

我国开放式基金选股能力和择时能力的实证研究

本文运用T-M 模型和H-M 模型对我国开放式基金经理的选股能力和择时能力进行实证研究,结果表明,我国开放式基金经理不具备选股能力,但具备一定的择时能力。此外,选股能力和择时能力之间存在强烈的负相关性。     

To Drop or Add: Market Timing and Supermarket Decisions on Irradiated Ground Beef

ABSTRACT

This article investigates the sequential nature of supermarkets' decisions regarding irradiated ground beef using data collected from two separate supermarket surveys. We identify four mutually exclusive groups of supermarkets: those that adopted irradiated ground beef early and subsequently either continued or ceased offering the product–Early Adopters or Droppers, and those that at first chose not to adopt and subsequently either added or continued not offering the product–Adders or Never Adopters. We find that one set of store-level factors plays an important role in separating Early Adopters from Droppers, while a separate set of factors is important in separating Adders from Never Adopters.     

Optimal Timing of Advertising with Demand Spillovers

We construct a model of a horizontally differentiated duopoly with demand spillovers in which advertising influences the willingness-to-pay of consumers for products and thereby affects not only market share, but also the level of market demand. Furthermore, firms decide the timing as well as the level of advertising. We first derive a subgame perfect Nash equilibrium and Stackelberg equilibria in the advertising competition. Then, using the framework of an endogenous timing decision game with an observable delay (i.e., Hamilton and Slutsky, Games Econ Behavior 2: 29–46, 1990), we consider the optimal timing of advertising. We demonstrate that the optimal timing depends on the degree of demand spillovers and the product substitutability. In particular, if there are sufficient asymmetric demand spillovers between firms, there is a unique Stackelberg equilibrium in the advertising competition, in which the firm providing the product with small (large) demand spillovers chooses to invest in advertising early (late), regardless of the mode of competition.     

Natural Selection and Market Efficiency in a Futures Market with Random Shocks

Even when participants know very little about their environment, the market itself, by serving as a selection process of information, promotes an efficient aggregate outcome. To emphasize the role of the market and the importance of natural selection rather than the strategic actions of participants, an evolutionary model of a commodity futures market is presented, in which there is a continual inflow of unsophisticated traders with predetermined distributions of prediction errors with respect to the fundamental value of the spot price. The market acts as a selection process by constantly shifting wealth from traders with less accurate information to those with more accurate information. Consequently, with probability 1, if the volatility of the underlying spot market is sufficiently small, the proportion of time that the futures price is sufficiently close to the fundamental value converges to one. Furthermore, the width of the interval containing the fundamental value, where the futures price eventually lies, increases as the volatility of the underlying spot market increases. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:489–516, 2001     

Contracting in a Market with Differential Information

Today’s technology allows firms to collect, store and use different types of data. This has prompted a wide discussion on the effects of access to data on competition and consumer welfare. This discussion has also been present in the energy sector in which advanced technology has allowed for the collection of detailed energy consumption data. Prompted by this discussion on the energy sector, this paper studies an industry where two firms have access to the same technology and compete in prices, but one of them has access to better information about customers. The better informed firm obtains a customer contact advantage, whereas the uninformed firm can still offer a menu of prices without being able to pre-identify the customers. We show that the better informed firm is able to exclude the uninformed firm from the market. This result provides policy insights on the usefulness of considering data access models that can ensure non-discriminatory behaviour.

     

Anyuan Automobile： Moving Steadily Towards the Global Market——An Interview with Su Liqian, General Manager of Wuxi Anyuan Automobile Co., Ltd

Wuxi Anyuan Automobile Co., Ltd, located in Wuxi, China＇s Jiangsu Province,receives investment from Wuxi Anyuan Industry Joint Stock Co., Ltd as an R＆D （research and development） center and as a production base for the export of luxurious passenger buses. The company＇s facilities cover a large area of 90,000 square meters. During the first phase of construction, factory buildings with a floor area of 15,000 square meters were erected, enabling an annual production capacity of 1,500 buses, worth of RMB 0.5 billion. During the second phase, another 20,000 square meters were allocated for use as factory buildings, which brought the company＇s annual production capacity to 5,000 buses, worth of RMB 1.5 billion. Among the company＇s 1,200 employees, 196 are working as technical or managerial nersonn el.     

卫星导航系统授时精度分析与评估

阐述了高精度授时的重要性;详细研究了利用导航星座进行单向、双向授时的原理和测量方法,分析研究了影响授时精度的原因.利用实测数据对双向授时精度进行了评估,得出了有益的结论.     

中小船企“过冬”之借鉴篇——从行政干预到市场调节：韩国救助中小船厂政策走向分析

作为韩国经济发展重要支撑的造船业，目前由于受到航运市场低迷、船东撤单和资金流动性短缺等因素的影响，其发展受到较大冲击，特别是近年来新建的中小船厂的经营更是举步维艰。围绕该不该救助．如何救助，韩国政府进行了多次政策调整。     

构建我国多层次证券市场体系的思路与对策

本文认为,分层次的证券市场结构适应于企业不同成长阶段的融资需求,能促进资本市场及整个经济的快速发展;我国证券市场体系过于单一,无法满足不同类型融资者和投资者的需求,严重制约了我国经济的发展。文章提出了构建我国多层次证券市场体系的思路即尽快合并沪、深两个证券交易所,形成一个主板市场;推出创业板市场,完善资本市场结构;恢复和发展柜台交易市场,形成区域性的柜台交易市场与全国性证交所市场、创业板市场相互补充的多层次资本市场体系。     

Timing of trade liberalization

Abstract

This paper studies the effects of trade liberalization on growth and long-run global income inequality using a two-country model of human capital accumulation by credit-constrained households. I show that the timing of trade liberalization is a crucial determinant of its effects on growth. Moreover, I show that the size of the long-run income gap between the two countries depends on the difference in domestic income inequality when they open up to trade. Based on these results, I analyze the effects of redistributive policy within a country. I show that redistribution in one country may increase income per capita of its trading partner if it is undertaken in a steady state, while the opposite is true if the policy is undertaken during transition.     

略论政府对市场经济的干预

市场经济并非不要政府的干预 ,发达国家市场经济发展的历程表明 ,政府对经济的干预经历了一个回归与超越的过程 ,体现出某种必然性。这种干预的基础在于市场的确存在自身无法克服的缺陷