Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 20, 2014 erstellt
Beschreibung:
Many so-called return predictability anomalies disappear over time. One theoretical explanation is that investors arbitrage profits away through their trading. But investors have used technical analysis strategies for ages, so this argument may not necessarily hold for seemingly profitable technical analysis trading strategies. To verify whether such an argument has merit, we investigate what would happen if a completely new technical trading rule appeared that investors had never used before but which became more popular over time. Bollinger Bands, introduced in 1983, provide a natural experiment. Before their introduction, trading on Bollinger Bands would have been an extremely profitable trading strategy in international stock markets. However, ever since their introduction, their predictive power seems to have gradually decreased and has largely disappeared since the influential publication on Bollinger Bands in 2001. Moreover, their predictability disappeared in the US market first, where Bollinger Bands originated, and then in other international markets