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Can Day Trading Really Be Profitable? Evidence of Sustainable Long-term Profits from Opening Range Breakout (ORB) Day Trading Strategy vs. Benchmark in the US Stock Market
Zarattini, Carlo; Aziz, Andrew - 2023
The validity of day trading as a long-term consistent and uncorrelated source of income for traders and investors has always been a matter of debate. In this paper, we investigate the profitability of the well-known Opening Range Breakout (ORB) strategy during the period of 2016 to 2023. This...
Persistent link: https://www.econbiz.de/10014355221
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Essays on the performance evaluation of equity mutual funds : the choice of benchmark models
Breloer, Bernhard - 2014
Persistent link: https://www.econbiz.de/10010382671
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Benchmarkorientierte Portfolio-Strategien
Braun, Thomas; Reiß, Ariane - 2001
Persistent link: https://www.econbiz.de/10001682904
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Do investors experience heuristics in earnings forecasting?
Praditha, Riza; Haliah, Haliah; Habbe, Abdul Hamid; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 21 (2020) 2, pp. 686-694
This research aims to examine empirically the overreliance on representativeness heuristic and anchoring-adjustment influences experienced by investors in forecasting future earnings. This research was a laboratory experiment with a design of 2x2 full factorial between subject. The results...
Persistent link: https://www.econbiz.de/10012502444
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The Appeal of Risky Assets
Stolper, Anno - 2010
A fund's performance is usually compared to the performance of an index or other funds. If a fund trails the benchmark, the fund manager is often replaced. We argue that this may lead to excessive risk-taking if fund managers differ in ability and have the opportunity to take excessive risk. To...
Persistent link: https://www.econbiz.de/10010427567
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The appeal of risky assets
Stolper, Anno - 2010
A fund's performance is usually compared to the performance of an index or other funds. If a fund trails the benchmark, the fund manager is often replaced. We argue that this may lead to excessive risk-taking if fund managers differ in ability and have the opportunity to take excessive risk. To...
Persistent link: https://www.econbiz.de/10008757382
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Rafi Replication : Easier Done than Said?
Glabadanidis, Paskalis - 2013
We investigate whether adding fundamental indices to a portfolio provides increased diversification benefits. Our results show that equity investors who care only about portfolio mean and variance will benefit from including a fundamental index in their portfolios. This benefit is especially...
Persistent link: https://www.econbiz.de/10013083859
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Overvalued Equity, Benchmark Beating and Unexpected Accruals
Coulton, Jeffrey - 2014
We investigate the extent to which the overvaluation hypothesis provides incentives for managers to beat earnings benchmarks, and whether this benchmark beating can be reliably interpreted as evidence of earnings management. We carefully identify firms immediately above earnings benchmarks that...
Persistent link: https://www.econbiz.de/10013065526
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Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Buffa, Andrea M - 2018
these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and … benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy …
Persistent link: https://www.econbiz.de/10012910534