The information content of technical trading rules: Evidence from US stock markets

This paper examines the predictive power of momentum indicators, a kind of technical trading rules measuring short-term momentum, on three popular US stock market indices, the Dow Jones Industrial Average, Standard & Poor´s 500 Composite Index, and NASDAQ Composite Index. Generally, the main findings indicate that returns conditional these trading rules are significantly different from unconditional returns. Null models, such as random walk, first-order autocorrelation, and GARCH-M, cannot explain the excess profit made by these rules.