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Original Articles

Portfolio diversification and filter rule profits

Pages 171-175 | Published online: 22 Oct 2010

References

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  • Atchison , M. D. , Butler , K. C. and Simonds , R. R. 1987 . Nonsynchronous security trading and market index autocorrelation . Journal of Finance , 42 : 111 – 118 .
  • Chelley-Steeley , P. L. and Steeley , J. M. 1997 . The impact of portfolio diversification on trading rule profits: some evidence for the UK share portfolios . Journal of Business Finance and Accounting , 24 : 759 – 779 .
  • Dryden , M. M. 1970a . Filter tests of U.K. share prices . Applied Economics , 1 : 261 – 275 .
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  • Fama , E. F. and Blume , M. E. 1966 . Filter rules and stock market trading profits . Journal of Business , 39 : 226 – 241 .
  • Thomas , W. A. 1989 . The Securities Market , Hemel Hempstead : Philip Allan .

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