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The 52-Week High, Momentum, and Predicting Mutual Fund Returns

Sapp, Travis - 2011

The 52-week high share price has been shown by George and Hwang (2004) to carry significant predictive ability for individual stock returns, dominating other common momentum-based trading strategies. This study examines the performance of trading strategies for mutual funds based on (1) an...

Persistent link: https://www.econbiz.de/10013134408

Understanding Momentum and Reversals

Kelly, Bryan T. - 2020

Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation. We formalize this argument with a conditional factor pricing model. Using...

Persistent link: https://www.econbiz.de/10012832984

Payout Yields and Stock Return Predictability : How Important is the Measure of Cash Flow?

Eaton, Gregory W. - 2017

We compare the stock return forecasting performance of alternative payout yields. The net payout yield produces more … accurate forecasts relative to alternatives, including the traditional dividend yield. This remains true even after excluding … several years during the Great Depression when issuance was unusually high. The measure of cash flow used to form the yield …

Persistent link: https://www.econbiz.de/10012973823

Modified IR As a Predictor of Fund Performance

Livnat, Joshua - 2015

One of the most crucial decisions for investors and plan sponsors is the selection of funds among the thousands of available alternatives. We stress that an investor first needs to specify a target alpha, i.e., the expected fund return in excess of a benchmark, and that the target alpha...

Persistent link: https://www.econbiz.de/10013011561

Predicting Hedge Fund Performance When Fund Returns Are Skewed

Heuson, Andrea J. - 2019

We show that fund-specific return skewness is associated with managerial skill and future hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment skill that accounts for this managerial ability, we...

Persistent link: https://www.econbiz.de/10012904857

Hedge fund return predictability in the presence of model risk

Argyropoulos, Christos; Panopulu, Aikaterinē; … - In: The European journal of finance 28 (2022) 18, pp. 1892-1916

Persistent link: https://www.econbiz.de/10013532365

Liquidity risk, return predictability, and hedge funds' performance : an empirical study

Gibson, Rajna; Wang, Songtao - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 1, pp. 219-244

Persistent link: https://www.econbiz.de/10009772364

Liquidity Risk, Return Predictability, and Hedge Funds’ Performance : An Empirical Study

Gibson, Rajna; Wang, Songtao - 2021

This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo, we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...

Persistent link: https://www.econbiz.de/10013244188

Demystifying Time-Series Momentum Strategies : Volatility Estimators, Trading Rules and Pairwise Correlations

Baltas, Nick - 2019

Motivated by studies of the impact of frictions on asset prices, we examine the effect of key components of time-series momentum strategies on turnover and performance. We show that more efficient volatility estimation and price trend detection can significantly reduce portfolio turnover by more...

Persistent link: https://www.econbiz.de/10012905544

Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

Adcock, Christopher J. - 2013

Persistent link: https://www.econbiz.de/10013090404