文章基本信息

标题：Last Year's Winners As This Year's Picks: An Analysis Of Recent Hindsight As A Mutual Fund Trading Rule?
本地全文：下载
作者：John B. ; White ; Morgan P. Miles 等
期刊名称：Journal of Financial & Strategic Decisions
印刷版ISSN：1065-1853
电子版ISSN：1065-1853
出版年度：1999
卷号：12
期号：1
出版社：Journal of Financial & Strategic Decisions
摘要：Financial theory has long postulated that financial markets are efficient in the semi-strong form [1]. This hypothesis suggests that market prices reflect all publicly held information. The result of semi-strong efficiency is that an investor cannot earn returns in excess of market returns without a greater risk. Furthermore, after adjusting for risk, there is no systematic method to "beat the market." However, numerous studies suggest that historical information does provide a guide for successful current investing. This study proposes a simple trading rule that does seem to "beat the market" and does so without increasing risk.