'" Assistant Professor and Director of Computing Services respectively at the College of Business Administration, University of Rochester. This Research was supported by the Security Trust Company, Rochester, New York. We wish to express our appreciation to David Besenfelder for his help in the computer programming effort. 1. Cf. Cootner (1964), Fama (1965), Mandelbrot (1966) and Samuelson (1965). 2. For example, d. Fama (1965), Roll (1968), and the papers in Cootner (1964). The Journal of Finance Jensen (1967) indicated that even these results were inconclusive because of the existence of a subtle form of selection bias. In his Ph.D. thesis, Levy (1966) reports the results of tests of the profitability of some 68 variations of various trading rules of which very few that were based only on past information yielded returns higher than that given by a buy-and-hold policy," All these rules were tested on the same body of data' used in showing the profitability of the additional rules reported by Levy (1967a). Likewise, given enough computer time, we are sure that we can find a mechanical trading rule which "works" on a table of random numbersprovided of course that we are allowed to test the rule on
The Journal of Finance – Wiley
Published: May 1, 1970
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