The benefits of combining seasonal anomalies and technical trading rules

Gebka, Bartosz.; Hudson, Robert S..; Atanasova, Christina V..

doi:10.1016/j.frl.2015.06.001

Authors

Bartosz Gebka

Professor Robert Hudson Robert.Hudson@hull.ac.uk
Professor of Finance

Christina V. Atanasova

Abstract

Although many seasonal anomalies and technical trading rules have been shown to have predictive ability, investigations have focused only on them operating individually. We study the benefits of trading based on combinations of three of the best known effects: the moving average rule, the turn of the month effect, and the Halloween effect. We show that the rules can be combined effectively, giving significant levels of returns predictability with low risk and offering the possibility of profitable trading. This new investment approach is especially beneficial for a typical individual investor, who faces high transaction costs and is poorly diversified.

Journal Article Type	Article
Publication Date	2015-08
Journal	Finance research letters
Print ISSN	1544-6123
Publisher	Elsevier
Peer Reviewed	Peer Reviewed
Volume	14
Pages	36-44
Institution Citation	Gebka, B., Hudson, R. S., & Atanasova, C. V. (2015). The benefits of combining seasonal anomalies and technical trading rules. Finance research letters, 14, 36-44. https://doi.org/10.1016/j.frl.2015.06.001
DOI	https://doi.org/10.1016/j.frl.2015.06.001
Keywords	Technical trading; Calendar anomalies; Stock market predictability; Market efficiency
Publisher URL	http://www.sciencedirect.com/science/article/pii/S1544612315000628
Copyright Statement	© 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Additional Information	Author's accepted manuscript of article published in: Finance research letters, 2015, v.14

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Copyright Statement
© 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/