Menachem Meni Abudy , Guy Kaplanski , Yevgeny Mugerman
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引用次数: 0
Abstract
We explore the ability of the distance between short- and long-run moving averages, called MAD, to predict future returns of international market-wide indices. MAD portfolios yield abnormal profits after transaction costs, which do not reverse in the long run. This suggests that anchoring to long-run moving averages is a global phenomenon that applies also to market-wide indices. The annualized MAD portfolios’ alpha values are double-digit, with Sharpe ratios significantly higher than the global benchmarks. Similar results for developed economies and developed markets indicate that international diversification is still effective and offers significant economic benefits even among developed countries.
期刊介绍：
International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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