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Individual Securities

In: Market Timing and Moving Averages

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  • Paskalis Glabadanidis

Abstract

In this chapter, I investigate the performance of the MA strategy relative to the performance of the BH strategy using individual US stocks with various market capitalizations. Specifically, I pick the components of the S&P 500 index as of December 31, 2013, with sufficiendy long available price histories to be representative of large capitalization stocks. Similarly, I choose the components of the S&P 400 index as of December 31, 2013, to be representative of mid-cap stocks. Finally, I use the components of the S&P 600 index as representative of small-cap stocks. The historical price data with dividends reinvested is obtained from the Center for Research in Security Prices at the University of Chicago.

Suggested Citation

  • Paskalis Glabadanidis, 2015. "Individual Securities," Palgrave Macmillan Books, in: Market Timing and Moving Averages, chapter 0, pages 157-168, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-35983-4_5
    DOI: 10.1057/9781137359834_5
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