%0 Journal Article %1 https://doi.org/10.1111/irfi.12107 %A Glabadanidis, Paskalis %D 2017 %J International Review of Finance %K ba ma mkt_timing %N 3 %P 353-394 %R https://doi.org/10.1111/irfi.12107 %T Timing the Market with a Combination of Moving Averages %U https://onlinelibrary.wiley.com/doi/abs/10.1111/irfi.12107 %V 17 %X Abstract A combination of simple moving average trading strategies with several window lengths delivers a greater average return and skewness as well as a lower variance and kurtosis compared with buying and holding the underlying asset using daily returns of value-weighted US decile portfolios sorted by market size, book-to-market, momentum, and standard deviation as well as more than 1000 individual US stocks. The combination moving average (CMA) strategy generates risk-adjusted returns of 2\% to 16\% per year before transaction costs. The performance of the CMA 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 market dividend yield, short-term interest rates, and market conditions, can explain some of the abnormal returns. Standard market timing tests reveal ample evidence regarding the timing ability of the CMA strategy.

@article{https://doi.org/10.1111/irfi.12107, abstract = {Abstract A combination of simple moving average trading strategies with several window lengths delivers a greater average return and skewness as well as a lower variance and kurtosis compared with buying and holding the underlying asset using daily returns of value-weighted US decile portfolios sorted by market size, book-to-market, momentum, and standard deviation as well as more than 1000 individual US stocks. The combination moving average (CMA) strategy generates risk-adjusted returns of 2\% to 16\% per year before transaction costs. The performance of the CMA 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 market dividend yield, short-term interest rates, and market conditions, can explain some of the abnormal returns. Standard market timing tests reveal ample evidence regarding the timing ability of the CMA strategy.}, added-at = {2021-12-18T15:38:16.000+0100}, author = {Glabadanidis, Paskalis}, biburl = {https://puma.ub.uni-stuttgart.de/bibtex/2542d82c8c1bd8ff1a6845d332902b807/georglender}, description = {Timing the Market with a Combination of Moving Averages - Glabadanidis - 2017 - International Review of Finance - Wiley Online Library}, doi = {https://doi.org/10.1111/irfi.12107}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/irfi.12107}, interhash = {7866ea6f03d679c6984bb99436938845}, intrahash = {542d82c8c1bd8ff1a6845d332902b807}, journal = {International Review of Finance}, keywords = {ba ma mkt_timing}, number = 3, pages = {353-394}, timestamp = {2021-12-18T14:38:16.000+0100}, title = {Timing the Market with a Combination of Moving Averages}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/irfi.12107}, volume = 17, year = 2017 }