Active portfolio management: A case for technical analysis
This paper asks the question why technical analysis rather than other theoretical models in active portfolio management. Using the CRSP-Cap Based portfolio returns between 2008 and 2013 we check for the level of weak-form efficiency by using a serial correlation test and an Augmented Dickey –Fuller test. There was mixed evidence, but on the whole there was strong evidence of inefficient market. Also we analysed size effect using technical analysis but do not support the view that small-cap ...