Can profitable trading strategies be derived from investment best-sellers?

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Chow, W. and Ward, C. (2001) Can profitable trading strategies be derived from investment best-sellers? Journal of Asset Management, 2 (2). pp. 162-179. ISSN 1470-8272 doi: 10.1057/palgrave.jam.2240042

Abstract/Summary

A glance along the finance shelves at any bookshop reveals a large number of books that seek to show readers how to ‘make a million’ or ‘beat the market’ with allegedly highly profitable equity trading strategies. This paper investigates whether useful trading strategies can be derived from popular books of investment strategy, with What Works on Wall Street by James P. O'Shaughnessy used as an example. Specifically, we test whether this strategy would have produced a similarly spectacular performance in the UK context as was demonstrated by the author for the US market. As part of our investigation, we highlight a general methodology for determining whether the observed superior performance of a trading rule could be attributed in part or in entirety to data mining. Overall, we find that the O'Shaughnessy rule performs reasonably well in the UK equity market, yielding higher returns than the FTSE All-Share Index, but lower returns than an equally weighted benchmark

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/35994
Item Type	Article
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning Henley Business School > Finance and Accounting
Publisher	Palgrave Macmillan
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