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The performance of technical trading rules in Socially Responsible Investments

Urquhart, A. and Zhang, H. (2019) The performance of technical trading rules in Socially Responsible Investments. International Review of Economics and Finance, 63. pp. 397-411. ISSN 1059-0560

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To link to this item DOI: 10.1016/j.iref.2019.05.002

Abstract/Summary

This study is the first to examine the performance of technical trading in tradeable Socially Responsible Investment (SRI) indices. We employ a number of popular trend-following and mean-reverting technical trading rules and find that trend-following technical trading rules offer very little predictive power or significant returns to investors. However the mean-reverting technical trading rules do offer significant returns, even after controlling for data-snooping, risk, transaction costs and out-of-sample testing. Therefore our results add to the literature by showing that mean-reverting technical trading rules offer substantial predictive power in SRI indices, but traditional trend-following rules offer very little predictive power.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:83820
Publisher:Elsevier

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