Type of Document	Dissertation
Author	Peterson, Debra I.
Author's Email Address	dpeters49@comcast.net
URN	etd-05302006-185819
Title	The Relationship Between Technical Analysis Generated Returns and the Fama and French Risk Factors as Applied to Individual Securities
Degree	Doctor of Philosophy
Department	Finance, Department of
Advisory Committee	Advisor Name Title Stephen E. Celec Committee Chair Allen W. Bathke Committee Member Gary A. Benesh Committee Member James M. Nelson Committee Member
Keywords	Technical Rules Trading Rules Technical Analysis
Date of Defense	2006-05-16
Availability	unrestricted
Abstract The purpose of this dissertation is to determine whether potential trading rule profits are unique to specific strategies or whether they are associated with factors already known to impact stock returns. In the course of examining this question, I explore: (1) whether successful technical trading strategies based on the financial literature can select individual firms that yield market-adjusted returns that differ from zero; (2) whether technical trading rules can yield abnormal returns after controlling for the three Fama and French factors of market return, size, and book-to-market equity; and (3) whether abnormal returns produced by technical trading rules are temporally consistent. I find that technical trading strategies can be devised that yield significant abnormal returns over the twenty-year period from 1984 through 2003 that are also temporally consistent over five-year time durations. In addition, these rules may also generate significant market-adjusted returns. These findings suggest that technical trading rule returns are not fully explainable by the Fama and French (1993) three-factor model.
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