Technical trading rules, loss avoidance, and the business cycle

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dc.citation.volume82
dc.contributor.authorErgun L
dc.contributor.authorMolchanov A
dc.contributor.authorStork P
dc.date.accessioned2024-06-21T03:07:49Z
dc.date.available2024-06-21T03:07:49Z
dc.date.issued2023-12
dc.description.abstractWe show that simple technical trading rule (TTR) strategies substantially reduce investment left tail risk. An investor following a TTR strategy can also avoid a high percentage of extremely negative returns. This percentage increases substantially during recessions. Interestingly, tail risk reduction does not come at a cost of lower performance – risk adjusted returns of TTR strategies are in fact higher than those of a buy-and-hold strategy. Our findings are robust to changes in trading strategy specifications. They hold in 38 international equity markets, as well as in a large sample of individual US stocks, and survive a reality check bootstrap.
dc.description.confidentialfalse
dc.edition.editionDecember 2023
dc.identifier.citationErgun L, Molchanov A, Stork P. (2023). Technical trading rules, loss avoidance, and the business cycle. Pacific Basin Finance Journal. 82.
dc.identifier.doi10.1016/j.pacfin.2023.102172
dc.identifier.eissn1879-0585
dc.identifier.elements-typejournal-article
dc.identifier.issn0927-538X
dc.identifier.number102172
dc.identifier.piiS0927538X23002433
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/69966
dc.languageEnglish
dc.publisherElsevier B V
dc.publisher.urihttps://www.sciencedirect.com/science/article/pii/S0927538X23002433
dc.relation.isPartOfPacific Basin Finance Journal
dc.rights(c) 2023 The Author/s
dc.rightsCC BY 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectTail risk
dc.subjectTechnical trading rules
dc.subjectLoss avoidance
dc.titleTechnical trading rules, loss avoidance, and the business cycle
dc.typeJournal article
pubs.elements-id481008
pubs.organisational-groupOther
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