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Analysts cover portfolios of firms. Firms in these analyst portfolios are thus in principle subject to common (integrated) production of information. Nonetheless, this paper documents significant stock return and forecast revision predictability across firms with common analyst coverage. Prices...
Persistent link: https://www.econbiz.de/10012967356
An essential motive for investing in commodities is to enhance the performance of portfolios traditionally including only stocks and bonds. We analyze the in-sample and out-of-sample portfolio effects resulting from adding commodities to a stock-bond portfolio for commonly implemented...
Persistent link: https://www.econbiz.de/10013033743
In this paper, we document that an application of a moving average strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that often outperform the buy-and-hold strategy substantially. For high volatility portfolios, the abnormal returns,...
Persistent link: https://www.econbiz.de/10013115819
intelligence (AI) and machine learning (ML).We discover using valuation theory from (SBS2, 2020) that algos generate superior …
Persistent link: https://www.econbiz.de/10013235784
There are three fundamental ways of testing the validity of an investment algorithm against historical evidence: a) the walk-forward method; b) the resampling method; and c) the Monte Carlo method. By far the most common approach followed among academics and practitioners is the walk-forward...
Persistent link: https://www.econbiz.de/10012862212
A large body of literature has tried to identify the relative information contributions of different characteristics - jointly or in isolation - to the cross-section of stock returns. These characteristics generally cover three data sources: market, fundamentals, and analyst recommendations. In...
Persistent link: https://www.econbiz.de/10013311569
This paper defines systematic value investing as an empirical optimization problem. Predictive modeling is introduced as a systematic value investing methodology with dynamic and optimization features. A predictive modeling process is demonstrated using financial metrics from Gray & Carlisle and...
Persistent link: https://www.econbiz.de/10012947854
We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...
Persistent link: https://www.econbiz.de/10012905055
This paper examines the impact of specification uncertainty on the performance of international mean-variance conditional asset allocation. This notion is defined as the uncertainty faced by the investor regarding the specification choices necessary to implement a conditional strategy. To assess...
Persistent link: https://www.econbiz.de/10013139826
), the theory of competitive storage (Deaton and Laroque 1992), and the combination of valuation estimates (Yee 2007 … article describes common pitfalls in fundamental analysis and comments on the role of theory in mitigating these pitfalls …
Persistent link: https://www.econbiz.de/10013141513