By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML. PML significantly contributed to forecasting PMG but...

This paper derives a new decomposition of stock returns using price extremes and proposes a conditional autoregressive shape (CARS) model with beta density to predict the direction of stock returns. The CARS model is continuously valued, which makes it different from binary classification...

Japanese candlestick has been widely used in investment practice, however its predicting power has not yet been scrutinized in academic literature. This paper investigates the forecasting power of Japanese candlestick augumented by Halloween effect in stock returns. Empirical studies performed...

The predictability of stock market is of great interest to both reseachers and investors. Despite voluminous evidence of in-sample predictability, the out-of-sample predictability of stock returns remains an ongoing debate. In this paper, motivated by both the financial theories and the well...

When trading, investors make decisions based on not only the security and market variances but also the technical price range. However, academic literature investigating its properties is scarce. Better understandings of this risk measurement candidate are supposed to provide guidance for...