Urquhart, A. and Zhang, H. orcid.org/0000-0002-8727-4906 (2019) The performance of technical trading rules in Socially Responsible Investments. International Review of Economics and Finance, 63. pp. 397-411. ISSN 1059-0560
Abstract
This study is the first to examine the performance of technical trading in tradeable Socially Responsible Investment (SRI) indices. We employ a number of popular trend-following and mean-reverting technical trading rules and find that trend-following technical trading rules offer very little predictive power or significant returns to investors. However the mean-reverting technical trading rules do offer significant returns, even after controlling for data-snooping, risk, transaction costs and out-of-sample testing. Therefore our results add to the literature by showing that mean-reverting technical trading rules offer substantial predictive power in SRI indices, but traditional trend-following rules offer very little predictive power.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2019 Elsevier. This is an author produced version of a paper subsequently published in International Review of Economics and Finance. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/). |
Keywords: | Socially responsible investments; Technical analysis; Data-snooping |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 04 Jun 2019 09:02 |
Last Modified: | 03 Dec 2021 10:47 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.iref.2019.05.002 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:146392 |
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