(Research Project) M.B.A.
This paper expands on the work of Brock, Lakonishok, and LeBaron (1992) that studies whether a simple trading rule derived from technical analysis can outperform a ?buy-and-hold? investment strategy. Their results provided statistically significant support for a technical trading strategy. This paper extends their technical strategy to a different and more recent data set to test the robustness of the trading rule. This paper finds that the technical trading rules studied by Brock et al. have lost some of their predictive power in recent years due a loss of statistical significance. The loss of statistical significance is likely precipitated by an increase in volatility.
Research Project (M.B.A.) - Simon Fraser University
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Thesis advisor: Grauer, Robert
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