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Is the CRISMA technical trading system profitable?

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  • Marshall, Ben R.
  • Cahan, Jared M.
  • Cahan, Rochester H.

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  • Marshall, Ben R. & Cahan, Jared M. & Cahan, Rochester H., 2006. "Is the CRISMA technical trading system profitable?," Global Finance Journal, Elsevier, vol. 17(2), pages 271-281, December.
    • Handle: RePEc:eee:glofin:v:17:y:2006:i:2:p:271-281
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    References listed on IDEAS

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    1. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    2. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
    3. Alan Goodacre & Jacqueline Bosher & Andrew Dove, 1999. "Testing the CRISMA trading system: evidence from the UK market," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 455-468.
    4. Demir, Isabelle & Muthuswamy, Jay & Walter, Terry, 2004. "Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 143-158, April.
    5. Alan Goodacre & Tessa Kohn-Speyer, 2001. "CRISMA revisited," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 221-230.
    6. Ben Marshall & Rachael Cahan, 2005. "Is the 52-week high momentum strategy profitable outside the US?," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1259-1267.
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    Cited by:

    1. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
    2. Juan Benjamín Duarte Duarte & Juan Manuel Mascareñas Pérez-Iñigo, 2014. "¿Han sido los mercados bursátiles eficientes informacionalmente?," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, June.

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