The Moving Average Ratio and Momentum

November 2010 CFA Digest
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Average: 3.8 (24 ratings)

CFA Digest
November 2010 | Vol. 40 | No. 4 | 3 pages
Source: CFA Institute
Seung-Chan Park
Ahmed Sule, CFA (Reviewer)



The author examines the predictive ability of the moving average ratio (MAR) for future returns. He discovers that the predictive power of the MAR for future returns is independent of past returns and of the nearness of the stock’s current price to its 52-week high.

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