Time: 1:00 - 2:00pm Venue: 4.04/4.08 Bancroft Building
Speaker name and affiliation
Professor Robert Hudson, Professor of Finance - University of Hull
Specialism
Financial management, corporate finance, international finance, financial derivatives, risk and insurance and risk management.
Seminar title
“Can adaption beat hindsight? Evidence from investors’ adapting technical trading rules”
Abstract
We examine the performance of a hypothetical trader in the Dow (DJIA) who adapts their choice of simple moving average rule parameters over time based on past rules’ performance. We show that adapting the moving average rule over time to incorporate performance information over recent history outperforms both the best static moving average rule chosen with the benefit of hindsight, and the buy and old strategy. Further, we show that returns from following these rules are higher when corporate earnings and stock prices are lower, that they compensate investors for inflation, liquidity, volatility and default risk and persist throughout the sample period.