Similar Search Results

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Simple market timing with moving averages

Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018

average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …

Persistent link: https://www.econbiz.de/10011848115

Paper profits from value, size and momentum : Evidence from the Polish market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69

In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...

Persistent link: https://www.econbiz.de/10011455379

Stock Return Predictability and Seasonality

Kim, Keunsoo - 2018

An examination of the Shiller cyclically adjusted pricing-earnings (CAPE) ratio reveals its forecasting power for 12-month CRSP equally weighted (EW) excess returns and value weighted (VW) excess returns. The 12-month EW excess returns following low CAPE ratios are, on average, 20.7% higher than...

Persistent link: https://www.econbiz.de/10012918931

Choosing News Topics to Explain Stock Market Returns

Glasserman, Paul; Krstovski, Kriste; Laliberte, Paul-Robert - 2021

We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (sLDA) implemented through Gibbs sampling in a stochastic EM algorithm will often overfit returns to the detriment of...

Persistent link: https://www.econbiz.de/10013223749

Analyst Bias, Firm Characteristics, and Stock Returns in the Australian Stock Market

Sadique, Shibely - 2010

This study shows that (1) Australian analysts are optimistic in their forecasts and underreact to new information, (2) the continuous disclosure (CD) regime has a negative impact on forecast optimism and dispersion, (3) analyst forecast bias is associated with certain firm characteristics, (4)...

Persistent link: https://www.econbiz.de/10013145311

Firm Characteristics, Return Predictability, and Long-Run Abnormal Returns in Global Stock Markets

Bessembinder, Hendrik; Cooper, Michael J.; Jiao, Wei; … - 2022

We show that characteristics known to predict returns to U.S. stocks also predict returns for a broad sample of nearly 52,000 stocks from fifty-eight non-U.S. countries, and we evaluate the extent to which six prominent corporate events, including initial and secondary stock offerings, stock...

Persistent link: https://www.econbiz.de/10013403289

Another Look at Industry Momentum and the Cross Section of Expected Returns

Grobys, Klaus - 2015

This paper investigates whether industry affiliation matters to implementing industry momentum strategies. After discriminating between relevant and redundant industries it shows that only a subset corresponding to less than 50% of the overall market capitalization generates significant momentum...

Persistent link: https://www.econbiz.de/10013028033

Oil price shocks against stock return of oil- and gas-related firms in the economic depression : a new evidence from a copula approach

Thu Thuy Nguyen; Nguyen Van Chien; Tran Trong Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-20

This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019, in particular in the situation of oil price steadily...

Persistent link: https://www.econbiz.de/10013179488

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

Parigi, Bruno Maria - 2014

This paper analyzes why corporate governance matters for stock returns if the stock market prices the underlying managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash flows, but reduces incentives for managerial effort. In...

Persistent link: https://www.econbiz.de/10013063851

1
2
3
4
5
6
7
8
9
10
Next
Last