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Earnings Forecasting in a Global Stock Selection Model and Efficient Portfolio Construction and Management

Guerard, John Baynard - 2018

Stock selection models often use analysts' expectations, momentum, and fundamental data. We found support for composite modeling using these sources of data for global stocks during 1997-2011. We found additional evidence to support the use of SunGard APT and Axioma multi-factor models for...

Persistent link: https://www.econbiz.de/10012937536

Up and Down : Forecast Revisions, Forecast Dispersion and Momentum

Liao, Yun - 2017

This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22.7% per annum over the 1983-2015 periods. I find that the...

Persistent link: https://www.econbiz.de/10012955959

What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing

Haghani, Victor - 2019

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

Persistent link: https://www.econbiz.de/10012902324

Expected Returns and the Predictability of Equity Lending Fees

Andrews, Spencer - 2022

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

Persistent link: https://www.econbiz.de/10013491786

Technical Analysis as a Sentiment Barometer and the Cross-Section of Stock Returns

Ding, Wenjie; Mazouz, Khelifa; Ap Gwilym, Owain; Wang, … - 2022

This paper explores an unexamined sentiment channel through which technical analysis can add value. We use a spectrum of technical trading strategies to build a daily market sentiment indicator that is highly correlated with other commonly used sentiment measures. This technical-analysis-based...

Persistent link: https://www.econbiz.de/10014235811

Modern Currency Exchange Rate Behaviour and Proposed Trend-Like Forecasting Model

Tweneboah Senzu, Emmanuel - 2020

The study examined high volatile assets, specifically the currency exchange rate of the open financial market. Takes into consideration the five most traded paired currencies of the global financial market. And observed, generally, the data set of the unit currency exchange rate exhibit...

Persistent link: https://www.econbiz.de/10012835628

Price-Path Convexity, Extrapolation, and Short-Horizon Return Predictability

Da, Zhi; Gulen, Huseyin; Woeppel, Michael - 2021

The curvature of intramonth stock price paths, which is distinct from cumulative return over the same period, contains significant additional return predictive power. In the cross section, stocks with the least convex price paths subsequently outperform stocks with the most convex price paths....

Persistent link: https://www.econbiz.de/10013222180

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Factor Covariances Predict Factor Returns

Barradale, Nigel J. - 2013

We examine low-turnover zero-investment "factor" portfolios constructed from various stock characteristics previously shown to predict returns. The nine different factor portfolios all exhibit negative market betas. Our central result is that a more negative beta across factors predicts higher...

Persistent link: https://www.econbiz.de/10013080208

GFC-Robust Risk Management Strategies under the Basel Accord

McAleer, Michael - 2010

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

Persistent link: https://www.econbiz.de/10013137384