Stocks for the Long Run : the Definitive Guide to Financial Market Returns and Long-term Investment Strategies

If the market penetrates the trading range, options sellers are ex- posed to great risks. Recall that sellers of options (as lon ...

States the best time period for a moving average of weekly data is 45 weeks, just slightly longer than the 200-day moving averag ...

Back-Testing the 200-Day Moving Average In Figure 17-2 are the daily and 200-day moving averages of the Dow Jones Industrial Ave ...

298 FIGURE 17–2 Dow Jones Industrials and the 200-Day Moving-Average Strategy (Shaded Areas Are Out of the Market) 0 50 100 150 ...

years. In later years if this strategy is pursued with index futures or ETFs, the transactions costs would be lower. Each 0.1 pe ...

has returned 11.76 percent annually whereas the timing strategy has re- turned only 6.60 percent, even before transactions costs ...

daq market at 1,801 on November 2, 1998, and rode the market to the peak of 5,049 on March 10, 2000. After moving in and out of ...

often find themselves moving in and out of the market frequently, some- times incurring heavy transactions costs and trading los ...

pletely eliminated. In fact, an earlier study by Werner De Bondt and Richard Thaler found that stocks that performed poorly over ...

Yet this contention, once supported nearly unanimously by aca- demic economists, is cracking. Recent econometric research has sh ...

18 CHAPTER CALENDAR ANOMALIES October. This is one of the peculiarly dangerous months to speculate in stocks. The others are Jul ...

not. The results are surprising. Some anomalies have weakened and even reversed, while others remain as strong as they have alwa ...

1.9 percentage point difference in annual compound returns between large and small stocks. In other words, from February through ...

Also shown in Figure 18-1 is that if the large January small stock re- turns persist in the future, it could lead to some astoun ...

more than in the United States.^4 As you shall see later in the chapter, Jan- uary is the best month for both large and small st ...

vious year and should not be subject to tax-loss selling still rise in Janu- ary, although not by as much as stocks that have fa ...

There has, however, been a bit of revival of the January Effect in re- cent years. Since 2000 the return on small stocks has ris ...

312 FIGURE18–2 Monthly Returns on the Dow Jones Industrials and the S&P 500 ...

Shown in Figure 18-4 are the Dow Jones Industrial Averages from 1885 through 2006, both including and excluding the month of Sep ...

putting their assets in the stock market. Furthermore, in contrast to the January Effect, the September Effect has not only prev ...