Investing in the S&amp;P 500 index: Can anything beat the buy‐and‐hold strategy?

Dichtl, Hubert

doi:10.1002/rfe.1078

Cited by 9 publications

(3 citation statements)

References 109 publications

(221 reference statements)

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“…In this respect, an uncomplicated moving‐average (MA) method (Büyükşahin & Ertekin, 2019; Liu, Sun, et al, 2020) is expected to remove the strong assumptions created by statistical models through the process of component decomposition and become an alternative approach for multiscale preprocessing. The MA filter operates as an optimal indicator, decomposing a variable to its components, for example, random noise and trend, and revealing overreaction and underreaction effects (Dichtl, 2020). However, the

MA

filter functionality in the decomposition task that is, the smoothing process on impulsive interference, is not ideal with large response delay drawback as many low‐pass filters (de Almeida et al, 2016).…”

Section: Methodsmentioning

confidence: 99%

Sustainable economic development and geopolitics: The role of energy trilemma policies

Shirazi

Fuinhas

Silva

2023

Sustainable Development

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This study reveals and supports the existence of a three-way connection between sustainable economic development (SED), geopolitical risks (GPRI), and the energy trilemma (ET). The impacts of ET on SED, and GPRI were analyzed using a regimeswitching vector autoregressive model. Results reveal mostly a positive impact of ET on SED. Consequently, decision-makers should design policies that promote ET to enhance economic growth and sustainability. However, decision-makers should acknowledge that uncertainty regarding the impact of these policies on SED and the time lag until their effects are felt in economies varies widely across regimes. Geopolitical risk reveals a slightly positive short-term reaction to ET under the slightly downward regime and a durable cyclical pattern in the sharply upward one. The cyclical impact of energy equity and security on GPRI is positive, while environmental sustainability reduces geopolitical risk. This fluctuating pattern of the response of GPRI to ET policies is compatible with prior research that shows these policies may either foster or mitigate geopolitical risk. Detailed knowledge of the differing impacts of ET-related policies on geopolitical risk is fundamental for decision-makers if they want the counteract some of their adverse effects and enhance geopolitical stability.

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MA

Section: Methodsmentioning

confidence: 99%

Sustainable economic development and geopolitics: The role of energy trilemma policies

Shirazi

Fuinhas

Silva

2023

Sustainable Development

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“…The research concluded that the buy and hold strategy is also superior in seasonality aspects. The commonness of trading strategies using moving averages is understandable due to its ability to generate returns, which are adjusted to the risk and the ability to generate a positive alpha in comparison to other risk factors, especially when the market is highly volatile (Dichtl, 2020). Current literature indicates that there is a direct relation between the volume of stock traded and the prices of stocks in the Arab markets.…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

The effectiveness of technical trading strategies: Evidence from Indian equity markets

Tadas

Nagarkar

Malik

et al. 2023

Investment Management and Financial Innovations

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The purpose of the study was to analyze the effectiveness of technical trading strategies in trading stocks of selected Indian companies represented in the Nifty 50 Index. The research was done using secondary data from January 2022 to August 2022. Hourly share prices of 14 largest companies as per market capitalization from 14 different sectors from the Nifty 50 Index were considered as a part of the study. Simple Moving Average, Exponential Moving Average – Relative Strength Index and Bollinger Bands – Relative Strength Index – strategies considered in the study. It was found that strategy based on Bollinger Bands and Relative Strength Index performed the best. Performance was considered with respect to both the number of stocks having a net profit and the number of stocks that were able to outperform the buy-and-hold strategy for the time period considered. The study considered several combined strategies and performance indicators, whereas previous studies used limited indicators. Out of the 14 stocks considered, the Simple Moving Average strategy was able to generate net profit for 8 stocks and it outperformed the buy-and-hold strategy for 6 stocks, Exponential Moving Average – Relative Strength Index strategy generated net profit for 6 stocks and it outperformed the buy-and-hold strategy for 5 stocks, and the Bollinger Bands – Relative Strength Index generated net profit for 11 stocks and it outperformed the buy-and-hold strategy for 10 stocks. The Bollinger Bands – Relative Strength Index strategy was able to outperform as it was more dynamic and entered and exited positions actively.

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“…12 12 The performance of the S&P 500 is also a popular benchmark for technical trading strategies (see Dichtl, 2020). …”

mentioning

confidence: 99%

Implementation and profitability of sustainable investment strategies: An errors‐in‐variables perspective

Auer

2021

Business Ethics Env & Resp

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Firm‐level studies of sustainable investment performance are typically limited by an errors‐in‐variables bias (i.e., a distortion of estimated regression coefficients caused by measurement error in explanatory variables). Using recent advances in statistical methodology, we present the first cross‐sectional analysis of sustainable stock selection which adequately corrects for this bias and additionally answers the question of whether betas with respect to sustainable risk factors or sustainable characteristics (i.e., environmental, social, and governance ratings) are more relevant in portfolio selection. Within the universe of S&P 500 stocks, which is highly relevant from the investor attention and liquidity perspectives, we find that, after accounting for errors‐in‐variables bias, both types of variables become insignificant. Consequently, they do not add value to investment portfolios and are not vital in models explaining stock returns. Among classic predictors with a long history of use in the investment fund industry, only the market‐to‐book ratio provides independent investment and pricing information.

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Investing in the S&P 500 index: Can anything beat the buy‐and‐hold strategy?

Cited by 9 publications

References 109 publications

Sustainable economic development and geopolitics: The role of energy trilemma policies

Sustainable economic development and geopolitics: The role of energy trilemma policies

The effectiveness of technical trading strategies: Evidence from Indian equity markets

Implementation and profitability of sustainable investment strategies: An errors‐in‐variables perspective

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