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Current Issue

Journal Cover
Vol. 16 No. 2 (2014)
Home » Vol. 16 No. 2 (2014) » Article Detail
VOL. 16 NO. 2 (2014) DOI: 10.33301/2014.16.02.02

The Profitability of the Moving Average Strategy in the French Stock Market

Authors: Hung T. Nguyen, Hang V. D. Pham, Hung Nguyen

Abstract:

This paper studies the cross-sectional profitability of moving average timing portfolios in the French stock market over the period from January 1, 1995 to December 31, 2012. The results provide strong evidence that the moving average timing outperforms the buy-and-hold strategy with higher returns and less risk exposure. On average, moving average portfolios generate an abnormal return of 3.72% per annum and always perform better than buy-and-hold benchmark portfolios across different lag length and volatility portfolios. Moreover, our results prevail after we control for transaction costs.
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Other Articles in this Issue:

  • State Financial Transfers in Environmental Protection: The Case of Vietnam

    Authors: Tran Khanh Hung, Nguyen Duc Hung

  • An Investigation of the Relationships Between Internal Integration, Antecedents and Functional Performance in Vietnam

    Authors: Nguyen Thanh Hieu

  • Investigation on the Impact of US Anti-dumping Measures during the “Catfish War” on Vietnamese Pangasius Exports

    Authors: Tu Van Binh, Nguyen Huu Huy Nhut

  • Vulnerability and Adaptation of Coastal Livelihoods to the Impacts of Climate Change: A Case Study in Coastal Districts of Nam Dinh, Vietnam

    Authors: Tran Tho Dat, Vu Thi Hoai Thu, Pham Ngoc Toan

  • Provincial Total Factor Productivity in Vietnamese Agriculture and Its Determinants

    Authors: Ho Dinh Bao

JOURNAL OF ECONOMICS AND DEVELOPMENT - NATIONAL ECONOMICS UNIVERSITY
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ISSN: 1859-0012 (Print) | e-ISSN: 2815-5602 (Online)
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