Showing 1 - 10 of 162
attention, higher idiosyncratic volatility, and higher transaction costs, suggesting that investor underreaction and limits to …
Persistent link: https://www.econbiz.de/10012973043
In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...
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Our research on data for the S&P 500 ETF from 1993-2013 documents an intraday momentum pattern: the first half-hour return on the market (from the previous day's close) predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more...
Persistent link: https://www.econbiz.de/10012972249
We uncover a negative correlation between macroeconomic uncertainty and security analyst earning forecasts dispersion, and explain it through herding behavior bias of the analysts. We find that the herding firms, whose analysts suffer the herding bias, have greater firm-level uncertainty than...
Persistent link: https://www.econbiz.de/10014257970
Using time-series trends of a set of firms' major fundamentals, we find that there is a fundamentalmomentum in the stock market. Buying stocks in the top quintile of fundamental trends and selling stocks in the bottom quintile earns a monthly average return of 0.88%, whose magnitude is...
Persistent link: https://www.econbiz.de/10012902475
While common machine learning algorithms focus on minimizing the mean-square errors of model fit, we show that genetic programming, GP, is well-suited to maximize an economic objective, the Sharpe ratio of the usual spread portfolio in the cross-section of expected stock returns. In contrast to...
Persistent link: https://www.econbiz.de/10013242613
In this replication paper, we extend Kelly, Malamud, and Pedersen (2021)'s new asset pricing framework to allow incorporating multiple predictive signals into optimal principal portfolios. Empirically, we find that the multi-signal theory is valuable for combining signals, improving a naive...
Persistent link: https://www.econbiz.de/10014236524
What predicts returns on assets with "hard-to-value" fundamentals, such as Bitcoin and stocks in new industries? We propose an equilibrium model that shows how rational learning enables return predictability through technical analysis. We document that ratios of prices to their moving averages...
Persistent link: https://www.econbiz.de/10012852969