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On the Determinants of Pairs Trading Profitability
Jacobs, Heiko - 2016
We perform a large-scale empirical analysis of pairs trading, a popular relative-value arbitrage approach. We start with a cross-country study of 34 international stock markets and uncover that abnormal returns are a persistent phenomenon. We then construct a comprehensive U.S. data set to...
Persistent link: https://www.econbiz.de/10013005471
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Trading on Gender Heterogeneity in Analyst Recommendations : A Profitable Investment Strategy?
Bosquet, Katrien - 2011
cannot profit from the observed gender differences. Comparing monthly rebalanced portfolios of stocks recommended by female …
Persistent link: https://www.econbiz.de/10013119441
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Is Zero Return a Natural Benchmark for Investors? An Investigation with Individual Trading Records
Chhabra, Rahul - 2012
Using a unique and large dataset of trading records, we find that individual investors view zero returns as a natural benchmark for their trading performance. They increase both buy and sell trading volume if their past investment outcomes are positive, and decrease them if the outcomes are...
Persistent link: https://www.econbiz.de/10013114715
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In Search of Pairs using Firm Fundamentals : Is Pairs Trading Profitable?
Hong, Sungju; Hwang, Soosung - 2022
We investigate whether spurious pairs created by multiple hypothesis testing can be minimized when firm characteristics are used to identify pairs. The results show that the portfolios of pairs that have higher similarities in firm characteristics outperform those that are fundamentally less...
Persistent link: https://www.econbiz.de/10014351716
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Profitability of Portfolio Strategies Based on Analyst Consensus EPS Forecasts
Baule, Rainer - 2020
We introduce a new measure of stock misevaluation, 𝑄, which is consistent with the Gordon growth model for firm valuation. In our empirical application, we use 𝑄 to relate analyst forecasts to stock returns and measure the profitability of investment strategies that rely on information in...
Persistent link: https://www.econbiz.de/10012856424
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Earnings Response Coefficient : Applying Individual and Portfolio Methods
Al-Baidhani د. احمد البيضاني, Dr. Ahmed - 2017
This paper reports new findings from applying portfolio method, which shows a much bigger earnings impact on share prices (ERC) compared to the erstwhile reports of ERC using individual events, averaged over the sample. We estimate cumulative abnormal returns, CAR, across a test window for each...
Persistent link: https://www.econbiz.de/10012962038
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The Information in Book-to-Market Profits for Momentum
McKeon, Ryan - 2009
In this paper I examine the relation between profits from book-to-market strategies and momentum strategies. Specifically, I test two time-series hypotheses which are not mutually exclusive, but do have opposite predictions for subsequent momentum profits. First, if periods of large...
Persistent link: https://www.econbiz.de/10014218958
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Profit Index - Pertinent Risk of Financial Investment
Kauffmann, Amitay - 2012
extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index … complete order for all risk avers investors. We present a closed-form solution to the PROFIT Index, as a function of the return … moments. The PROFIT Index is dynamically calibrated to the market, becoming a live indicator suitable for investors perception …
Persistent link: https://www.econbiz.de/10013096329
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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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Low-beta investment strategies
Korn, Olaf; Kuntz, Laura-Chloé - 2015 - This version: September 2015
This paper investigates investment strategies that exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the investment...
Persistent link: https://www.econbiz.de/10011412647