We empirically test predictability on asset price using stock selection rules based on maximum drawdown and its … weekly time scales, recovery-related stock selection rules are the best ranking criteria for detecting mean-reversion. For …-neutral intercepts for the alternative strategies are another evidence for the robust prediction by the alternative stock selection rules. …

We empirically test predictability on asset price using stock selection rules based on maximum drawdown and its … weekly time scales, recovery-related stock selection rules are the best ranking criteria for detecting mean-reversion. For …-neutral intercepts for the alternative strategies are another evidence for the robust prediction by the alternative stock selection rules. …

Stock selection rules are extensively utilized as the guideline to construct high performance stock portfolios. However … prediction based on the fundamental stock data, from which a set of stock selection rules was derived. The experimental results …