Universität zu Köln

Bonenkamp, Ute, Homburg, Carsten and Kempf, Alexander (2011). Fundamental Information in Technical Trading Strategies. J. Bus. Finan. Account., 38 (7-8). S. 842 - 861. HOBOKEN: WILEY-BLACKWELL. ISSN 0306-686X

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Abstract

Technical trading strategies assume that past price trends predict future ones. Their application may be profitable if the past trend reflects fundamental information that has not yet been fully priced. However, if the trend merely reflects temporary pricing pressures, technical trading will presumably fail. We argue that using financial statements as an additional source of information helps to avoid such failure. We implement a trading strategy that uses operating cash flows to identify enduring past price upturns. This strategy outperforms a purely technical momentum strategy, seems to be practicable, and its profits exceed transactions costs.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Bonenkamp, Ute UNSPECIFIED UNSPECIFIED UNSPECIFIED Homburg, Carsten UNSPECIFIED UNSPECIFIED UNSPECIFIED Kempf, Alexander UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-489381
DOI:	10.1111/j.1468-5957.2011.02252.x
Journal or Publication Title:	J. Bus. Finan. Account.
Volume:	38
Number:	7-8
Page Range:	S. 842 - 861
Date:	2011
Publisher:	WILEY-BLACKWELL
Place of Publication:	HOBOKEN
ISSN:	0306-686X
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language EARNINGS-ANNOUNCEMENT DRIFT; EXPECTED STOCK RETURNS; CROSS-SECTION; CASH FLOWS; MOMENTUM PROFITS; LIQUIDITY RISK; ACCRUALS; MANAGEMENT; ILLIQUIDITY; ANOMALIES Multiple languages Business, Finance Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/48938