Is the trend still your friend?

  • Miguel Duarte Pacheco Botelho Moniz (Student)

Student thesis: Master's Thesis

Abstract

This dissertation analyzes whether following moving average trading rules make it possible to achieve above the market returns, which would be against the semi-strong efficient market hypothesis. This dissertation analyzes the profitability of five different combinations of moving average rules for the Dow Jones Index and its stocks from 1940 to 2012. We find that the predictability of these strategies is still true, with a better performance during expansion periods.
Date of Award27 Jun 2013
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorJosé Faias (Supervisor)

Designation

  • Mestrado em Finanças

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