Performance of technical trading rules: evidence from the crude oil market

ABSTRACT

This study investigates the debatable success of technical trading rules, through the years, on the trending energy market of crude oil. In particular, the large universe of 7846 trading rules proposed by Sullivan, Timmermann, and White (1999. “Data-Snooping, Technical Trading Rule Performance, and the Bootstrap.” The Journal of Finance 54 (5): 1647–1691. doi:10.1111/0022-1082.00163), divided into five families (filter rules, moving averages, support and resistance rules, channel breakouts, and on-balance volume averages), is applied to the daily prices of West Texas Intermediate (WTI) light, sweet crude oil futures as well as the United States Oil (USO) fund, from 2006 onwards. We employ the k-familywise error rate (k-FWER) and false discovery rate (FDR) techniques proposed by Romano, J. P., and M. Wolf. (2007. “Control of Generalized Error Rates in Multiple Testing.” The Annals of Statistics 35 (4): 1378–1408. doi:10.1214/009053606000001622) and Bajgrowicz, P., and O. Scaillet. (2012. “Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs.” Journal of Financial Economics 106 (3): 473–491. doi:10.1016/j.jfineco.2012.06.001) respectively, accounting for data snooping in order to identify significantly profitable trading strategies. Our findings explain that there is no persistent nature in rules performance, contrary to the in-sample outstanding results, although tiny profits can be achieved in some periods. Overall, our results seem to be in favor of interim market inefficiencies.     

Accounting conservatism and corporate social responsibility

We examine the association between accounting conservatism, expressed in the form of asymmetric timeliness of recognition of economic gains and losses, and corporate social responsibility (CSR). We provide evidence that, under unfavorable macroeconomic conditions and financial constraints, as well as increased levels of outside pressure from debtholders and equity holders, catering for capital providers through conservative reporting becomes a managerial priority over engagement in CSR. Our results overall indicate that, for our whole sample period (starting in the early 2000s), higher levels of conservatism are negatively associated with a CSR orientation shown by firms; however, our analysis also indicates a significant reversing trend regarding the effect of conservatism on CSR, coinciding with the post-financial-crisis period. The findings are robust to a number of specifications and tests, including the use of an instrumental variable approach explicitly addressing endogeneity biases related to reverse causality concerns. Our study suggests that, under monitoring pressure from financial stakeholders, firms prioritize commitment to accounting conservatism over the needs of non-financial stakeholders and other interest groups.     

Entrepreneurship,Income Inequality and Public Spending: A Spatial Analysis into Regional Determinants of Growing Firms in Greece

International Advances in Economic Research - One of the key determinants of economic growth, regional prosperity and sustainable development is entrepreneurship. This paper aims to identify...     

Foreign vs domestic ownership on debt reduction: An investigation of acquisition targets in Italy and Spain

This paper examines the role of foreign versus domestic ownership in reducing the debt levels of acquired firms in Italy and Spain over the period 2002–2010. Acknowledging that lower debt levels can mitigate the risk of failure and thus enhance the chances for a positive post-acquisition performance and survival, we particularly examine the causal effect of foreign and domestic acquisitions on two firm-level debt measures: gearing and short-term leverage. To estimate causal relationships, we control for selection bias by applying propensity score matching techniques. Our results indicate that foreign acquisition leads to a significant and steady reduction in the debt ratios of the target companies. In contrast, the relationship between domestic acquisition and debt reduction appears to be smaller and statistically less robust.     

Exchange rate determination: Empirical evidence for the Greek drachma

We examine the monetary approach to the exchange rate from several perspectives, using monthly data on five Greek bilateral exchange rates. Using the Johansen multivariate cointegration technique we demonstrate that the monetary model is validate as a long-run relationship. Moreover, upon imposing the long-run monetary model restrictions we find that the proportionality of the exchange rate to relative monetary aggregates is accepted for the bilateral exchange rate of the Greek drachma with respect to the US dollar, the deutschemark, the pound sterling, the French franc and the Italian lira. Finally, using the Hansen-Johansen (1993) testing procedure, we reject the hypothesis of sample independency of the dimension of the cointegration space in all cases, apart from the German one, but we accept the hypothesis that the estimated coefficients do not display instabilities in recursive estimations.     

The day-of-the-week effect is weak: Evidence from the European real estate sector

The day-of-the-week effect for the securitized real estate indices is investigated by employing daily data at the global, European and country level for the period 1990 to 2010. We test for daily seasonality in 12 countries using both full sample and rolling-regression techniques. While the evidence for the former is in line with the literature, the results for the latter cast severe doubts concerning the existence of any persistent day-of-the-week effects. Once we allow our sample to vary over time, the average proportion of significant coefficients per day ranges between 15 % and 24 %. We show that higher average Friday returns evident in previous literature, remain significant in 21 % of the rolling samples. We conclude that daily seasonality in the European Real Estate sector is subject to the data mining and sample selection bias criticism.     

Average Tax Rate Cyclicality in OECD Countries: A Test of Three Fiscal Policy Theories

This article investigates the cyclical properties of the average effective tax rate in 26 OECD countries over 1965–2003 to test the validity of three theories of fiscal policy: (i) the standard Keynesian theory, which recommends that tax policy should be countercyclical; (ii) the Tax Smoothing hypothesis, which implies that changes in GDP should be uncorrelated with tax rates; and (iii) the positive theory of Battaglini and Coate (2008), which predicts the average tax rate should be negatively correlated with GDP. Our main finding is that the correlations of tax rates with cyclical GDP are generally quite small and statistically indistinguishable from zero. This finding is quite robust and is more consistent with the implications of the Tax Smoothing hypothesis than either the recommendations of the standard Keynesian model or predictions of the political economy theory of Battaglini and Coate.     

New development: Managing and accounting for sustainable development across generations in public services—and call for papers

Social and environmental justice across generations is a fundamental attribute of sustainable development. In this article, which is also a call for papers for a future theme in Public Money & Management (PMM), we develop our case for further research on how governments and public service organizations seek to address sustainable development in their decision-making processes. We believe that accounting for social and environmental aspects is an underdeveloped area of research and practice that is worthy of further critical enquiry. We therefore call on researchers and practitioners to submit their research to a themed issue of PMM on managing and accounting for sustainable development in public services.     

The Degree of Ad–Brand Incongruity and the Distinction Between Schema-Driven and Stimulus-Driven Attitudes

Drawing on schema theory and advertising rhetoric, this article contributes to research on incongruent communication with three studies exploring consumer responses across different degrees of ad–brand incongruity. Study 1 reveals an inverted U-shaped pattern, indicating the superiority of moderate incongruity on ad processing time, recall, and attitude toward the ad (A_ad) and the brand (A_b). Studies 2A and 2B replicate this pattern and further demonstrate that the affect already stored in the brand schema drives brand attitude formation for congruent and extremely incongruent ads, whereas both schema- and stimulus-based affect determine brand attitude for moderately incongruent ads. Study 2B also shows that participants are able to resolve ad–brand incongruity and comprehend the ad unless discrepancies are extreme. Finally, it is revealed that comprehension of more cognitively challenging ads mediates the effect of incongruity on both A_ad and A_b.