The performance of technical trading rules in Socially Responsible Investments

Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 and Zhang, H. (2019) The performance of technical trading rules in Socially Responsible Investments. International Review of Economics and Finance, 63. pp. 397-411. ISSN 1059-0560 doi: 10.1016/j.iref.2019.05.002

Abstract/Summary

This study is the first to examine the performance of technical trading in tradeable Socially Responsible Investment (SRI) indices. We employ a number of popular trend-following and mean-reverting technical trading rules and find that trend-following technical trading rules offer very little predictive power or significant returns to investors. However the mean-reverting technical trading rules do offer significant returns, even after controlling for data-snooping, risk, transaction costs and out-of-sample testing. Therefore our results add to the literature by showing that mean-reverting technical trading rules offer substantial predictive power in SRI indices, but traditional trend-following rules offer very little predictive power.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/83820
Identification Number/DOI	10.1016/j.iref.2019.05.002
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Elsevier
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