Abstract
Market efficiency is often evaluated through the ability of fundamental analysis or technical trading rules to exploit predictable patterns in asset prices. The evidence following decades of empirical research is mixed. This paper reexamines the evidence using a novel database from the TV show “Talking Numbers.” We assess the performance of 1,599 investment recommendations, where each recommendation features a fundamental and a technical forecast. We show that technicians are able to predict individual stock returns to economically significant degrees up to a one-year horizon. Beyond that, the null hypothesis of market efficiency is not rejected for market-wide indices, equity sectors, bonds, or commodities.
| Original language | English |
|---|---|
| Pages (from-to) | 100-114 |
| Number of pages | 15 |
| Journal | Journal of Banking and Finance |
| Volume | 92 |
| DOIs | |
| State | Published - Jul 2018 |
Bibliographical note
Publisher Copyright:© 2018 Elsevier B.V.
Funding
List of assets and data sources This appendix lists all assets and describes their data source. The stock return and trading volume figures are from the Center of Research in Security Prices (CRSP). The firm accounting variables are from COMPUSTAT. The earnings surprises and analysts’ consensus variables are from I/B/E/S. Thomson-Reuters Institutional Holdings (13F) Database provides institutional holdings, and Insider Filings (Form 4) Database captures changes in ownership of corporate insiders. The Fama and French (1993) factors are provided by Kenneth R. French's library. The time-series momentum factor of Moskowitz et al. (2012) is taken from Pedersen's website. The stock indexes covered by “Talking Numbers” are provided by the S&P Dow Jones Indexes, Nasdaq OMX Global Indexes, Nikkei, Moscow Exchange, Bucharest Stock Exchange, and International Securities Exchange. The prices of precious metals, natural gas, and copper are from the London Bullion Market Association, the U.S. Energy Information Administration (EIA), and New York Mercantile Exchange, respectively. Agriculture prices are from CME Group and Intercontinental Exchange (ICE) and the source for the CRB Index is Thomson Reuters. All the other commodity prices are from the Federal Reserve Bank of St. Louis. The interest rates are from the Federal Reserve Bank of St. Louis. The 90-day Treasury bill rate serves as a proxy for the risk-free rate. To measure the performance of 10-year treasuries recommendations we employed two methods. First, the ten-year Treasury Constant Maturity Rates were used to calculate the price of a notional zero-coupon 10-year bond. Second, we employed the price of the iShares 7–10 Years Treasury Bond ETF. As the empirical evidence for the two methods is similar, we report the findings for the first approach. Below is the full list of all assets organized in groups according to their type. U.S. market. S&P 500, NYSE Composite Index. Equity sectors. S&P100, Dow Industrial, Dow Utilities, Dow Transportation, Nasdaq Composite, Nasdaq 100, Russel2000, Guggenheim Shipping ETF (SEA), KBW Bank Index (BKX), PHLX Housing Sector Index (HGX), MSCI REIT Index (RMZ), Alerian MLP (AMLP), Gold Miners ETF (GDX), Junior Gold Miner ETF (GDXJ), Broker Dealers ETF (IAI), IShares Nasdaq Biotech (IBB), Russel 2000 ETF (IWM), IShares US Real Estate ETF (IYR), IShares DJ Transportation AVR (IYT), SPDR KBW REG Banking (KRE), S&P400 MICAP (MDY), Oil Service Holders (OIH), Market Vectors Retails (RTH), ISE Homebuilders Index (RUF), Market Vectors Steal (SLX), Social Media ETF (SOCL), Vanguard REIT (VNQ), NYSE ARCA Airline Index (XAL), S&P Aerospace Defense (XAR), SPDR S&P Homebuilders (XHB), Energy SPDR (XLE), SPDR Financial ETF (XLF), Industrial Select Sector SPDR (XLI), Technology SPDR (XLK), Consumer Staple SPDR (XLP), Utilities SPDR ETF (XLU), Health Care Sector SPDR ETF (XLV), Consumer Dictionary (XLY), SPDR S&P MTLS&MNG ETF (XME), SPDR S&P Retail (XRT), IShares DJ US Home (ITB). Non-U.S. equity indexes . Nikkei 225, Shanghai Composite, S&P BSE Sensex, IShares MSCI India ETF (INDA), Hang Sang, Nigeria ETF (NGE), Romanian BET, Vietnam ETF (VNM), Wisdomtree (DXJ), IShares MSCI Emerging Markets (EEM), IShares MSCI Mexico (EWW), IShares MSCI Brazil (EWZ), IShares FTSE China 25 (FXI), Market Vector Russia (RSX), RTS Moscow (RTS), IShares MSCI Turkey ETF (TUR), Vanguard MSCI Europe (VGK). U.S. stocks. Alcoa (AA), Auto Parts (AAP), Apple (AAPL), Abbot Laboratories (ABT), Automatic Data Processing (ADP), American Eagle (AEO), Aflac (AFL), AIG (AIG), Allstate (ALL), Advanced Micro (AMD), Amgen (AMGN), Amazon (AMZN), Autonation (AN), Abercrombie & Fitch (ANF), AOL (AOL), Apache (APA), Anadarko Petroleum (APC), Apollo Group (APOL), Aeropostale (ARO), Athenahealth (ATHN), Activision Blizzard (ATVI), American Express (AXP), AstraZeneca (AZN), AutoZone (AZO), Boeing (BA), Bank OF America (BAC), Bed Bath & Beyond (BBBY), Blackberry (BBRY), Best Buy (BBY), Barclays (BCS), Sotheby's (BID), Biogen Idec (BIIB), Barnes & Noble (BKS), Burger King (BKW), Bristol Myers (BMY), British Petroleum (BP), Buffalo Wild Wings (BWLD), Citi Group (C), Cabela's (CAB), Conagra (CAG), Cheesecake Factory (CAKE), Caterpillar (CAT), Chubb (CB), CBS Corp (CBS), Carnival (CCL), Chesapeake Energy (CHK), Cliff Natural (CLF), Colony Financial (CLNY), Comcast (CMCSA), Chipotle (CMG), Cabot Oil and Gas (COG), Coach(COH), ConocoPhillips (COP), Costco (COST), Campbell Soup (CPB), Carter's (CRI), Salesforce (CRM), Cisco Systems (CSCO), Cintas (CTAS), CVS Caremark (CVS), Chevron (CVX), Caesars (CZR), Dominion Resources (D), Delta Air Lines (DAL), DuPont (DD), 3D Systems (DDD), Deere (DE), Dell (DELL), Diageo (DEO), Dollar General (DG), D.R. Horton (DHI), Walt Disney (DIS), Dish Network (DISH), Dunkin Brands (DNKN), Diamond Offshore (DO), DR Pepper (DPS), Domino's (DPZ), Darden Restaurant (DRI), DirecTV (DTV), Devon Energy (DVN), DreamWorks (DWA), Electronics ART (EA), EBAY (EBAY), Consolidated Edison (ED), Enterprise Products (EPD), Equity Residential (EQR), Expedia (EXPE), Ford (F), Facebook (FB), Freeport McMorran (FCX), Family Dollar (FDO), FEDEX (FDX), Freddie Mac (FMCC), Fannie Mae (FNMA), Fossil Group (FOSL), Twenty-First Century Fox (FOXA), First Solar (FSLR), General Dynamic (GD), General Electric (GE), Gilead Sciences (GILD), General Mills (GIS), General Motors (GM), Green Mountain (GMCR), Randgold Resources (GOLD), Google (GOOG), GoPro (GPRO), Gap (GPS), Garmin (GRMN), Groupon (GRPN), Goldman Sachs (GS), Halliburton (HAL), Home Depot (HD), Herbalife (HLF), Harley-Davidson (HOG), Hovnanian (HOV), Hewlett Packard (HPQ), H&R Block (HRB), Hertz Global (HTZ), Humana (HUM), IBM (IBM), Icahn Enterprises (IEP), Imax (IMAX), Intel (INTC), Invensense (INVN), Intuitive Surgical (ISRG), JetBlue (JBLU), J.C. Penney (JCP), Johnson & Johnson (JNJ), Juniper Networks (JNPR), Jos A Bank (JOSB), JPMorgan (JPM), Nordstrom (JWN), KB Home (KBH), Krispy Kreme (KKD), Coca-Cola (KO), Michael Kors (KORS), Kansas City Southern (KSU), Liberty Global (LBTYA), Lennar (LEN), Lions Gate (LGF), Lockheed Martin (LMT), LinkedIn (LNKD), Lorillard INC (LO), Lowe's (LOW), Lufkin Industries (LUFK), Lululemon (LULU), Southwest Airlines (LUV), Las Vegas Sands (LVS), Macy's (M), MasterCard (MA), Macerich (MAC), Mattel (MAT), McDonald's (MCD), Kraft (KFT/MDLZ), MGM Resorts (MGM), Monster Beverage (MNST), Altria (MO), Marathon Petroleum (MPC), Merck (MRK), Morgan Stanley (MS), Microsoft (MSFT), Madison Square (MSG), Micron Technology (MU), Murphy Oil (MUR), Navistar (NAV), Nasdaq OMX (NDAQ), Noodles (NDLS), Newmont Mining (NEM), Netflix (NFLX), Nice Systems (NICE), Nike (NKE), Nokia (NOK), Norfolk Southern (NSC), Nuance Communications (NUAN), NYSE Euronext (NYX), Old Dominion Freight (ODFL), Omnicom Group (OMC), Oracle (ORCL), Outerwall (OUTR), Orbitz (OWW), Occidental Petroleum (OXY), Pandora (P), Priceline (PCLN), PepsiCo (PEP), Pfizer (PFE), Proctor & Gamble (PG), PulteGroup (PHM), PVH (PVH), Qualcomm (QCOM), Royal Caribbean (RCL), Royal Dutch Shell (RDS-A), Revlon (REV), Transocean (RIG), Ralph Lauren (RL), Realigy Holdings (RLGY), Ross Stores (ROST), Sprint (S), Starbucks (SBUX), Solarcity (SCTY), SeaWorld (SEAS), Sears (SHLD), Sherwin Williams (SHW), Sirius XM Radio (SIRI), Six Flags (SIX), Saks (SKS), Sketchers (SKX), Schlumberger (SLB), SanDisk (SNDK), Sony (SNE), Sodastream (SODA), Sonic (SONC), Staples (SPLS), Constellation (STZ), AT&T (T), Molson Coors (TAP), Taser International (TASR), Taubman Centers (TCO), Target (TGT), Tiffany (TIF), Toyota (TM), Toll Brothers (TOL), TripAdvisor (TRIP), Trinity Industry (TRN), Travelers (TRV), Tesla (TSLA), Tesora (TSO), Take Two Inter (TTWO), Time Warner Cable (TWC), Twitter (TWTR), Time Warner (TWX), Texas Instruments (TXN), Under Armor (UA), United Continental (UAL), UBS (UBS), United Healthcare (UNH), Ultra Petroleum (UPL), United Parcel Service (UPS), Urban Outfitters (URBN), USB (USB), United Technologies (UTX), Visa (V), Viacom (VIAB), Valero Energy (VLO), Vodaphone (VOD), Verizon (VZ), Webmd Health (WBMD), Wendy's (WEN), Wells Fargo (WFC), Whole Foods (WFM), Antm (WLP), Wal-Mart (WMT), Weingarten REALITY Investors (WRI), World Wrestling (WWE), Wynn Resorts (WYNN), US Steal (X), Exxon Mobil (XOM), Yelp (YELP), Yahoo (YHOO), Yum Brands (YUM), Zillow (Z), Zynga (ZNGA). U.S. bonds. 10-YR T-Note (IShares 7–10 Years Treasury bond ETF –IEF) (94US10Y), IShares S&P National Muni (MUB), Barclays Muni Bond (TFI). Commodities. Gold (GCZ4), Silver (SIZ4), Copper (HGZ4), Natural Gas (NGV14), Palladium (PAL), Brent Crude Oil (BRENT), RBOB Gasoline (GASOLINE), WTI Crude Oil (WTI), Corn (CORN), Orange Juice (ORNG), Wheat (WHEAT), Deutsche Bank Commodities ETF (DBC), SPDR Gold ETF (GLD), IPATH DJ-UBS Coffee (JO), Silver ETF (SLV), Natural Gas Fund (UNG), CRP Index. Others. VIX, Renaissance IPO ETF (IPO), Bitcoin, NYC Real Estate, Luxury Houses, Junk Bonds ETF, Alibaba IPO, Mortgage Rates, Dollar Index, Yen-Dollar, Dollar-Euro, Dollar-Rupee.
Keywords
- Fundamental analysis
- Market anomalies
- Market efficiency
- Technical rules