Back Again
I'm back from holidays.
A big thanks to everyone who has been holding the fort here, and I'll have more on that later, plus some posts. Digging out for now.
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Archives
July 30, 2008
Technical Analysis Sucks There. There Too. And There.
I'm glad it wasn't me who wrote the paper, but I was amused to see the following today. Nothing like definitely proving something doesn't work everywhere, as opposed to proving it in just a few places.
Technical Analysis Around the World: Does it Ever Add Value?
Abstract:
Technical analysis is not consistently profitable in the 49 countries that comprise the Morgan Stanley Capital Index once data snooping bias is accounted for. There is some evidence that technical trading rules perform better in emerging markets than developed markets, which is consistent with the finding of previous studies that these markets are less efficient, but this result is not strong. While we cannot rule out the possibility that technical analysis compliments other market timing techniques, we do show that it does not add value beyond what may be expected by chance when used in isolation.
Of course, I'm sure supporters will argue that only their proprietary variants of technical analysis work, not those other useless kinds. That may or may not be true, but let's just say that case is tougher to make given that the paper's authors considered more than 5,000 technical trading rules.
[via SSRN]
Sovereign Wealth Funds => Stocks Weaken Faster
There's further evidence today why SWFs (sovereign wealth funds) aren't exactly seen as smart money:
Using an event study parameter approach, we find the short-run market reaction to be statistically insignificant in 11 out of 12 announcements of SWF investments; but in the long-run SWF-targets underperform both the S&P500 and the Dow Jones Financial Services Index Fund.
[Jory, Surendranath, Perry, Mark J. and Hemphill, Thomas A.,Shanghai, Dubai, Mumbai or Goodbye?(July 26, 2008)]
Feel free to come up with your own re-translation of SWF, but I'm using Stocks Weaken Faster for now.
Seismographs Cause Earthquakes. Q.E.D.
In yammering with friends today about the merits of equity technical analysis I got to thinking about earthquakes and seismographs. Why? Because it is less well know than it should be, but seismographs cause earthquakes.
Number of earthquakes reported worldwide (Source: USGS):
- 1932: <3,000
- 2007: >23,000
Combine the preceding with the fact that the number of seismographs worldwide grew from under 350 to over 4,000 during the same period -- an 11-fold increase -- and you have all the proof any sober-minded person could need: Seismographs cause earthquakes. Q.E.D.
Technical Analysis Sucks There. There Too. And There.
I'm glad it wasn't me who wrote the paper, but I was amused to see the following today. Nothing like definitely proving something doesn't work everywhere, as opposed to proving it in just a few places.
Technical Analysis Around the World: Does it Ever Add Value?
Abstract:
Technical analysis is not consistently profitable in the 49 countries that comprise the Morgan Stanley Capital Index once data snooping bias is accounted for. There is some evidence that technical trading rules perform better in emerging markets than developed markets, which is consistent with the finding of previous studies that these markets are less efficient, but this result is not strong. While we cannot rule out the possibility that technical analysis compliments other market timing techniques, we do show that it does not add value beyond what may be expected by chance when used in isolation.
Of course, I'm sure supporters will argue that only their proprietary variants of technical analysis work, not those other useless kinds. That may or may not be true, but let's just say that case is tougher to make given that the paper's authors considered more than 5,000 technical trading rules.
[via SSRN]
Sovereign Wealth Funds => Stocks Weaken Faster
There's further evidence today why SWFs (sovereign wealth funds) aren't exactly seen as smart money:
Using an event study parameter approach, we find the short-run market reaction to be statistically insignificant in 11 out of 12 announcements of SWF investments; but in the long-run SWF-targets underperform both the S&P500 and the Dow Jones Financial Services Index Fund.
[Jory, Surendranath, Perry, Mark J. and Hemphill, Thomas A.,Shanghai, Dubai, Mumbai or Goodbye?(July 26, 2008)]
Feel free to come up with your own re-translation of SWF, but I'm using Stocks Weaken Faster for now.
Seismographs Cause Earthquakes. Q.E.D.
In yammering with friends today about the merits of equity technical analysis I got to thinking about earthquakes and seismographs. Why? Because it is less well know than it should be, but seismographs cause earthquakes.
Number of earthquakes reported worldwide (Source: USGS):
- 1932: <3,000
- 2007: >23,000
Combine the preceding with the fact that the number of seismographs worldwide grew from under 350 to over 4,000 during the same period -- an 11-fold increase -- and you have all the proof any sober-minded person could need: Seismographs cause earthquakes. Q.E.D.
