Managerial Finance: Volume 26 Issue 6

Using genetic programming to design a generalized trading system

Richard J. Bauer, F. Gregory Fitz‐Gerald

Lists eight criteria for designing a general trading system for investment, explains how the five steps of genetic (computer) programming work in practice and shows how they can…

Testing the contrarian investment strategy using holding period returns

Julie R. Dahlquist, John P. Broussard

Reviews previous research on contrarian investment strategy (i.e. buying “losers” and selling “winners”) and analyses the results of applying the strategy to US stocks 1928‐1992…

Value weighting and simple optimization of portfolios: an empirical examination

Richard T. Dye, John C. Groth

Reviews the previous research on the management of portfolio investment and compares the performance of a typical small investor’s portfolio of nine popular stocks (optimized…

The investment value of analysts’ recommendations: evidence from the dartboard contest

Steven R. Ferraro, Darrol J. Stanley

Briefly reviews previous research on the value of investment advisors’ recommendations and presents a study comparing portfolio returns from analysts’ recommendations in the Wall…

Can moving average technical trading strategies help in volatile and declining markets? a study of some emerging Asian markets

Parvez Ahmed, Kristine Beck, Elizabeth Goldreyer

Outlines previous research on stock market efficiency and technical trading rules in both developed and emerging markets. Uses variable moving average (VMA) models to develop five…