Author: Hans-Peter Burghof Publisher: ISBN: Category : Languages : en Pages : 60
Book Description
This paper examines the driver of the 52-week high strategy, which is long in stocks close to their 52-week high price and short in stocks with a price far from their one-year high, and tests the hypothesis that its profitability can be explained by anchoring - a behavioral bias. To test the null, we examine whether the 52-week high criterion has more predictive power in cases of larger information uncertainty. This hypothesis is motivated by a psychological insight, which states that behavioral biases increase in uncertainty. For six proxies of ambiguity, we document a positive relationship to returns of 52-week high winner stocks and a negative relationship to returns of 52-week high loser stocks. The opposite effect of information uncertainty on winner and loser stocks implies that the 52-week high profits are increasing in uncertainty measures. Moreover, the study documents that the six variables have a similar impact on momentum profits. Hence, we cannot reject the hypothesis that anchoring explains the profits to the 52-week high strategy and that it is the driver of the momentum anomaly.
Author: Li-Wen Chen Publisher: ISBN: Category : Languages : en Pages : 60
Book Description
This study examines the interactions between trading strategies based on the nearness to the 52-week high, the nearness to the 52-week low, and past returns. We offer evidence that the nearness to the 52-week low has predictive power for future average returns. Our results also reveal that the nearness to the 52-week high as well as to the 52-week low and past returns each have certain exclusive unpriced information content in the cross-sectional pricing of stocks. Moreover, a trading strategy based on the nearness to the 52-week low provides an excellent hedge for the momentum strategy, thereby nearly doubling the Sharpe ratio of the momentum strategy.
Author: Luke L. Wiley Publisher: John Wiley & Sons ISBN: 1118853474 Category : Business & Economics Languages : en Pages : 240
Book Description
A new but timeless strategy and mindset that should greatly help investors lower downside risk while achieving market outperformance In The 52-Week Low Formula: A Contrarian Strategy that Lowers Risk, Beats the Market, and Overcomes Human Emotion, wealth manager Luke L. Wiley, CFP examines the principles behind selecting the outstanding companies and great investment opportunities that are being overlooked. Along the way, Wiley offers a melding of the strategies used by such investment giants as Warren Buffett, Howard Marks, Michael Porter, Seth Klarman, and Pat Dorsey. His proven formula helps investors get the upper hand by identifying solid companies that are poised for growth but have fallen out of the spotlight. Shows you how to investigate companies and identify opportunities Includes detailed discussions of competitive advantage, purchase value, return on invested capital, and debt levels Presents several case studies to examine companies that have overcome obstacles by trading around their 52-week lows The 52-Week Low Formula is a must-read for investors and financial advisors who want to break through conventional strategies and avoid common mistakes.
Author: Alexander Christen Publisher: ISBN: Category : Languages : en Pages :
Book Description
While there is a large body of literature about momentum and 52-week high investing, only few authors take into consideration feasibility criteria. Especially low daily turnover volumes, the limited availability of securities to sell short and high transaction costs should be taken into account when implementing a momentum or 52-week high strategy in practice. This thesis examines the profitability of different designs of such strategies in the Swiss stock market. Selling short the index instead of securities or the inclusion of a stop-loss strategy are extensions of momentum and 52-week high strategies, which to the authors knowledge not have been tested in the Swiss stock market so far. I find statistical significant returns for most momentum and 52-week high strategy designs. Returns are decreasing when increasing the number of invested securities. Similar to Herberger, Kohlert & Oehler (2009) I find also decreasing returns for strategies with longer holding periods. For strategies selling short the index, returns are lower and of poor statistical significance. The inclusion of a stop-loss rule slightly decreases volatility but comes at the cost of lower returns. Additionally, I show that winner and loser stocks, depending on the number of invested stocks, contribute differently to strategy's performance. Returns of selected momentum and 52-week high strategies persist after risk adjustments. Except strategies selling short the index, all other selected strategy designs are robust when omitting annual rebalancing, looking at different sub-periods or testing for seasonal patterns.
Author: Adam Zaremba Publisher: Springer ISBN: 3319915304 Category : Business & Economics Languages : en Pages : 325
Book Description
This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Author: Abol Jalilvand Publisher: Routledge ISBN: 1136644903 Category : Business & Economics Languages : en Pages : 496
Book Description
The asymmetry of responsibilities between management and corporate governance both for day-to-day operations and the board’s monthly or quarterly review and evaluation remains an unresolved challenge. Expertise in the area of risk management is a fundamental requirement for effective corporate governance, if not by all, certainly by some board members. This means that along with board committees such as "compensation", "audit", "strategy" and several others, "risk management" committees must be established to monitor the likelihood of certain events that may cause the collapse of the firm. Risk Management and Corporate Governance allows academics and practitioners to assess the state of international research in risk management and corporate governance. The chapters overlay the areas of risk management and corporate governance on both financial and operating decisions of a firm while treating legal and political environments as externalities to decisions undertaken.
Author: Omar Khlaif Gharaibeh Publisher: ISBN: Category : Languages : en Pages : 8
Book Description
Existing studies find that momentum can be explained by a strategy based on the 52wk high prices of individual stock and is able to predict returns. This paper uses Arabic market indices data to investigate whether there is momentum and 52wk high strategies and to evaluate the performance of these strategies to achieve the optimal portfolio. We find the 52wk high strategy is unprofitable when applied to Arabic market indices, while the momentum strategy is economically profitable than the 52wk high strategy. The 52wk high effect is not as pervasive and reliable as the momentum effect. After modifying the 52wk high strategy with long-term contrarian using a double sorting procedure, the modified 52wk high strategy has positive profits for all holding periods. However, the momentum strategy is still more profitable than this modified 52wk high strategy.
Author: Andrei Shleifer Publisher: OUP Oxford ISBN: 0191606898 Category : Business & Economics Languages : en Pages : 295
Book Description
The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Author: Leonard Zacks Publisher: John Wiley & Sons ISBN: 1118127765 Category : Business & Economics Languages : en Pages : 352
Book Description
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Author: Hans-Peter Burghof
Author: Li-Wen Chen
Author: Luke L. Wiley
Author: Alexander Christen
Author: 
Author: Adam Zaremba
Author: Abol Jalilvand
Author: Omar Khlaif Gharaibeh
Author: Andrei Shleifer
Author: Leonard Zacks