The Relationship Between Technical Analysis Generated Returns and the Fama and French Risk Factors as Applied to Individual Securities

• Other Authors: Peterson, Debra I. (authoraut)
• Format: Others
• Language: English; English
• Published: Florida State University
• Subjects: Finance; Management
• Online Access: http://purl.flvc.org/fsu/fd/FSU_migr_etd-1986

The purpose of this dissertation is to determine whether potential trading rule profits are unique to specific strategies or whether they are associated with factors already known to impact stock returns. In the course of examining this question, I explore: (1) whether successful technical trading strategies based on the financial literature can select individual firms that yield market-adjusted returns that differ from zero; (2) whether technical trading rules can yield abnormal returns after controlling for the three Fama and French factors of market return, size, and book-to-market equity; and (3) whether abnormal returns produced by technical trading rules are temporally consistent. I find that technical trading strategies can be devised that yield significant abnormal returns over the twenty-year period from 1984 through 2003 that are also temporally consistent over five-year time durations. In addition, these rules may also generate significant market-adjusted returns. These findings suggest that technical trading rule returns are not fully explainable by the Fama and French (1993) three-factor model. === A Dissertation Submitted to the Department of Finance in Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy. === Summer Semester, 2006. === May 16, 2006. === Technical Rules, Trading Rules, Technical Analysis === Includes bibliographical references. === Stephen E. Celec, Professor Directing Dissertation; Allen W. Bathke, Outside Committee Member; Gary A. Benesh, Committee Member; James M. Nelson, Committee Member.