Show simple item record

dc.contributor.authorModell, Håvard Løseth
dc.contributor.authorLynngård, Lars Magnus
dc.descriptionMaster's thesis Business Administration BE501 - University of Agder 2017nb_NO
dc.description.abstractIn this thesis we investigate the performance of moving average and momentum strategies by simulating returns, both in-sample and out-of-sample, while simultaneously taking into account important market frictions. We do so for two stock indices and four stock portfolios, at daily and monthly frequency, in the period from 1928 to 2015. This is carried out in order to examine if the active strategies outperform the passive benchmark on a risk-adjusted basis, and to see if the trading rules pro table when tested in-sample also are pro table out-of-sample. In addition, and for the rst time, we examine the relevance of data frequencies in out-of-sample testing. A stationary block bootstrap methodology is adopted in order to evaluate the statistical signi cance of the risk-adjusted performance, measured by the Sharpe ratio. We nd that in-sample pro table trading rules perform poorly when tested out-of-sample. However, we are able to nd statistically signi cant outperformance when trading in small-cap stocks; yet, the outperformance disappeared in recent past. Moreover, we investigate how the performance depends on the split point between the in- and out-of-sample period and the length of the in-sample period. We nd that the performance of an out-of-sample test highly depends on the choice of split point as well as in-sample period length. Consequently, the out-of-sample testing procedure is not a complete remedy for the \data mining bias". Finally, we are not able to nd conclusive evidence suggesting any bene t of trading more frequently. Key words: technical analysis, market timing, moving averages, time-series momentum, out-of-sample simulations, trading frequencynb_NO
dc.publisherUniversitetet i Agder ; University of Agdernb_NO
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.subjecttechnical analysisnb_NO
dc.subjectmarket timingnb_NO
dc.subjectmoving averagesnb_NO
dc.subjecttime-series momentumnb_NO
dc.subjectout-of-sample simulationsnb_NO
dc.subjecttrading frequencynb_NO
dc.titleTiming the US Stock Market Using Moving Averages and Momentum Rules: An Extensive Studynb_NO
dc.typeMaster thesisnb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210nb_NO
dc.source.pagenumber86 p.nb_NO

Files in this item


This item appears in the following Collection(s)

Show simple item record

Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal