References 


Allen, F., Karjalainen, R. (1999), Using genetic algorithms to find technical trading rules, Journal of Financial Economics 51: 245-271.

Ang, A., Hodrick, R., Xing, Y., Zhang, X. (2009), High idiosyncratic volatility and low returns: International and further U.S. evidence, Journal of Financial Economics 61: 1-23.

Baker, M., Bradley, B., Wurgler, J. (2011a), Benchmark as limits to arbitrage: Understanding the low-volatility anomaly, Financial Analysts Journal 67: 1-15.

Baker, M., Bradley, B., Taliaferro, R. (2014), The Low-risk anomaly: a decomposition into micro and macro effects, Financial Analysts Journal 70: 45-58.

Baker, M., Wurgler, J. (2015), Do strict requirements raise the cost of capital? Bank regulation, capital structure, and the low-risk anomaly, American Economic Review: Papers & Proceedings 105: 315-320.

Bali, T., Cakici, N., Whitelaw, R. (2011), Maxing out: stock as lotteries and the crosssection of expected returns, Journal of Financial Economics 99: 427-446.

Barberis, N., Huang, M. (2008), Stocks as lotteries: The implications of probability weighting for security prices, American Economic Review 98: 2066-2100.

Ben-David, I., Graham, J., Harvey, C. (2013), Managerial miscalibration, Quarterly Journal of Economics 128: 1547-1584.

Black, F. (1972), Capital market equilibrium with restricted borrowing, Journal of Business 45: 444-455.

Black, F., Jensen, M., Scholes, M. (1972), The capital asset market model: some empirical tests. In: Jensen, Studies in the theory of capital markets, Praeger, New York, 79-121.

Brock, W., Lakonishok, J., LeBaron, B. (1992), Simple technical trading rules and the stochastic properties of stock returns, Journal of Finance 47: 1731-1764.

Brown, D., Jennings, R. (1989), On technical analysis, Review of Financial Studies 2: 527-551.

Campbell, J., Cochrane, J. (1999), By force of habit: Consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107: 205-251.

Cochrane, J. (2008), The dog that did not bark: A defense of return predictability, Review of Financial Studies 21: 1533-1573.

Daniel, K., Titman, S. (2006), Market reactions to tangible and intangible information, Journal of Finance 61: 1605-1643.

Fama, E. (1972), Components on investment performance, Journal of Finance 27: 551-568.

Fama, E. (2014), Two pillars of asset pricing, American Economic Review 104: 1467-1485.

Frazzini, A., Pedersen, L. (2014), Betting against betas, Journal of Financial Economics 111: 1-25.

Friesen, G., Sapp, T. (2007), Mutual fund flows and investor returns: An empirical examination of fund investor timing ability, Journal of Banking and Finance 31: 2796-2816.

Gartley, H. (1935), Profits in the Stock Markets, Washington: Lambert-Gann Publishing.

Henriksson, R., Merton R., (1981), On market timing and investment performance II: Statistical procedures for evaluating forecasting skills, Journal of Business 54: 513-533.

Hong, H., Sraer, D., (2016), Speculative betas, Journal of Finance 71: 2095-2144.

Jagannathan, R., Korajczyk, R. (2017), Market timing. In: Guerard, Portfolio Construction, Measurement and Efficiency, Springer International Publishing Switzerland, 49-71.

Jegadeesh, N., Titman, S. (1993), Returns to buying winners selling losers: Implications for stock market efficiency, Journal of Finance 48: 65-91.

Kahneman, D., Tversky, A. (1974), Judgement under uncertainty: Heuristics and biases, Science 185: 1124-1131.

Kim, A., Tse, Y., Wald, J. (2016), Time series momentum and volatility scaling, Journal of Financial Markets 30, 103-124.

Kumar, A. (2009), Who gambles in the stock markets? Journal of Finance 64: 1889-1933.

LeRoy, S. (1973), Risk aversion and the martingale property of stock prices, International Economic Review 14: 436-446.

Li, X., Sullivan, R., Garcia-Feijoo, L. (2016), The low-volatility anomaly: Market evidence on systematic risk vs. mispricing, Financial Analysts Journal 72: 36-47.

Lintner, J. (1965), The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.

Lo, A., Mamaysky, H., Wang, J. (2000), Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation, Journal of Finance 54: 1705-1770.

Lucas, R. (1978), Asset prices in an exchange economy, Econometrica 46: 1429-1445.

Markowitz, H. (1952), Portfolio selection, Journal of Finance 7: 77-91.

Malkiel, B. (2003), The efficient market hypothesis and its critics, Journal of Economic Perspectives 17: 59-82.

Marshall, B., Nguyen, N., Visaltanachoti, N. (2017), Time series momentum and moving average trading rules, Quantitative Finance 17: 405-421.

Merton, R. (1981), On market timing and investment performance. I. An equilibrium theory of value for market forecast, Journal of Business 54: 363-406.

Moskowitz, T., Ooi, Y., Pedersen, L. (2012), Time series momentum, Journal of Financial Economics 104: 228-250.

Munoz, F., Vicente, R. (2018), Hindsight effect: What are actual cash flow timing skills of mutual fund investors?, Journal of Empirical Finance 45: 181-193.

Neely, C., Rapach, D., Tu, J., Zhou, G. (2014), Forecasting equity risk premium: The role of technical indicators, Management Science 66: 1772-1791.

Samuelson, P. (1998), Summing up on business cycles: Opening address, in Beyond Shocks; What Causes Business Cycles? Edited by J. Fuhrer and S. Schuh, Boston: Federal Reserve Bank of Boston.

Sharpe, W. (1964), Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19: 425-442.

Sullivan, R., Timmermann, A., White, H. (1999), Data-snooping, technical trading rule performance and the bootstrap, Journal of Finance 53: 1647-1691.

Tobin, J. (1958), Liquidity preference as behavior towards risk, Review of Economic Studies 67: 65-86.

Zhu, Y., Zhou, G. (2009), Technical analysis: An asset allocation perspective on the use of moving averages, Journal of Financial Economics 91: 519-544.