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Lookup NU author(s): Professor Bartosz GebkaORCiD,
Professor Robert Hudson
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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.
Author(s): Gebka B, Hudson RS, Atanasova CV
Publication type: Article
Publication status: Published
Journal: Finance Research Letters
Print publication date: 01/08/2015
Online publication date: 26/06/2015
Acceptance date: 19/06/2015
ISSN (print): 1544-6123
ISSN (electronic): 1544-6131
Publisher: Academic Press
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