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The profitability of equity trading strategies
Get PDFClassification based on the attributes of firms' or stocks' performance is one of the commonly used methods in stock selection. This is known as style investing. This thesis examines three style investing techniques that classify stocks in different ways: (a) historical return based trading strategies, (b) value versus growth trading strategies, and (c) corporate solvency based trading strategies. In the context of these strategies this thesis aims to address two main research questions (a) can these trading strategies generate superior profits?, and (b) can risk, business cycles, and/or investors' sentiment explain the profitability of these strategies? The three-factor model by Fama and French (1993) is mainly used to control for risk. The investors' sentiment introduced by Baker and Wurgler (2006) and CLI index compiled by OECD are employed as the factors to investigate the role of investors' sentiment and business cycles, respectively. Chapter 2 of the thesis deals with the historical return based trading strategies. Under this criteria portfolios are formed on the basis of trends in historical returns. The two commonly used trading strategies that involve analysis of historical return trends are momentum and contrarian trading. Going long (short) on winnerstocks and short (long) on loser stocks is called momentum (contrarian) trading. Momentum profit is generated if the return from the strategy of going long on winnerstocks and short on loser stocks is positive (i.e. returns from long position minus returns from short position are positive). The findings of this thesis, however, do not provide evidence of momentum profit when conventional methods of momentum trading strategies are applied. On the other hand, if the returns from the strategy of going long on loser stocks and short on winner stocks (i.e. contrarian) are positive, then contrarian profit exists. The finding of this thesis provides evidence of contrarian profit in the short-horizon and long-horizon when conventional contrarian trading strategies are applied. When the three-factor model is applied to control for risk, the intercept is statistically significant. This suggests contrarian profits are not explained by risk. Similar results are found after incorporating the investors' sentiment factor into the model. This suggests contrarian profit exists even when controlling for both risk and investors' sentiment - contrarian profit cannot be explained by risk and investors' sentiment. This thesis also employs the residual trading strategies, which form portfolios on the basis of residual returns. The residual contrarian profit, however, cannot be observed when portfolios are formed on the basis of residual returns. In Chapter 3 this thesis examines whether strategies involving going long on value stocks and short on growth stocks generate superior returns. Value investors believe that value stocks are undervalued while growth stocks are overvalued but they should be correctly priced in the future, leading to excess returns. The value versus growth trading strategies are expected to generate profits, which are called value premiums. The findings of this thesis provide evidence that value premiums are persistently observed for all holding periods. The observed value premium exists even after controlling for risk, suggesting that the value premium is not driven by risk. A positive and significant coefficient of business cycle factor is observed after the business cycle factor is incorporated into the three-factor model (i.e. after controlling for risk).;This finding suggests that the value premium is positively driven by stages of the business cycle. The value premium, however, cannot be explained by investors' sentiment. At the industry level, the value premium of some industries (i.e. Consumer Durables, Manufacturing, Business Equipment, Shops, and Health) can be explained by stages of the business cycle. The relationship between value premium and investors' sentiment is consistent with the aggregate level, i.e.investors' sentiment is unable to explain the value premium of any of the industries. Finally, in Chapter 4 this thesis investigates if strategy that takes a long position on high solvency stocks and a short position on low solvency stocks can generate abnormal returns. Solvency is the ability of firms to cover their financial obligations. The high solvency firms are those firms with sufficient cash flows (orbalance) to cover their debt obligations while low solvency firms refer to firms that are unlikely to meet their debt obligations. The profitability of this strategy is called the solvency premium. The findings of this thesis show evidence of the solvency premium in the short-horizon but it reverts to solvency discount in the long-horizon. When the three-factor model is applied to control for risk, the solvency premium disappears. This suggests the solvency premium can be explained by risk. Further analysis, however, shows that after controlling for risk, the solvency premium exists in economic contraction and disappears during economic expansion. The solvency discount, inversely, is observed only during economic expansion. When the investors' sentiment factor is incorporated into the three-factor model, the positive and significant coefficient of investors' sentiment is observed. This suggests that investors' sentiment is also relevant in explaining solvency premium, i.e. high investors' sentiment leads to higher solvency premium. This thesis shows that three styles of investing techniques can generate superior returns (i.e. conventional contrarian trading strategy, value versus growthtrading strategies, and corporate solvency based trading strategy). However, momentum trading fails to generate any significant return. The findings benefit both individual and institutional investors to identify the stocks that are likely to generate superior returns and allocate their funds efficiently. These styles still exist until the market is more efficient relative to these styles and superior returns cannot be earned(Cao, 2011). These styles, then, disappear.Classification based on the attributes of firms' or stocks' performance is one of the commonly used methods in stock selection. This is known as style investing. This thesis examines three style investing techniques that classify stocks in different ways: (a) historical return based trading strategies, (b) value versus growth trading strategies, and (c) corporate solvency based trading strategies. In the context of these strategies this thesis aims to address two main research questions (a) can these trading strategies generate superior profits?, and (b) can risk, business cycles, and/or investors' sentiment explain the profitability of these strategies? The three-factor model by Fama and French (1993) is mainly used to control for risk. The investors' sentiment introduced by Baker and Wurgler (2006) and CLI index compiled by OECD are employed as the factors to investigate the role of investors' sentiment and business cycles, respectively. Chapter 2 of the thesis deals with the historical return based trading strategies. Under this criteria portfolios are formed on the basis of trends in historical returns. The two commonly used trading strategies that involve analysis of historical return trends are momentum and contrarian trading. Going long (short) on winnerstocks and short (long) on loser stocks is called momentum (contrarian) trading. Momentum profit is generated if the return from the strategy of going long on winnerstocks and short on loser stocks is positive (i.e. returns from long position minus returns from short position are positive). The findings of this thesis, however, do not provide evidence of momentum profit when conventional methods of momentum trading strategies are applied. On the other hand, if the returns from the strategy of going long on loser stocks and short on winner stocks (i.e. contrarian) are positive, then contrarian profit exists. The finding of this thesis provides evidence of contrarian profit in the short-horizon and long-horizon when conventional contrarian trading strategies are applied. When the three-factor model is applied to control for risk, the intercept is statistically significant. This suggests contrarian profits are not explained by risk. Similar results are found after incorporating the investors' sentiment factor into the model. This suggests contrarian profit exists even when controlling for both risk and investors' sentiment - contrarian profit cannot be explained by risk and investors' sentiment. This thesis also employs the residual trading strategies, which form portfolios on the basis of residual returns. The residual contrarian profit, however, cannot be observed when portfolios are formed on the basis of residual returns. In Chapter 3 this thesis examines whether strategies involving going long on value stocks and short on growth stocks generate superior returns. Value investors believe that value stocks are undervalued while growth stocks are overvalued but they should be correctly priced in the future, leading to excess returns. The value versus growth trading strategies are expected to generate profits, which are called value premiums. The findings of this thesis provide evidence that value premiums are persistently observed for all holding periods. The observed value premium exists even after controlling for risk, suggesting that the value premium is not driven by risk. A positive and significant coefficient of business cycle factor is observed after the business cycle factor is incorporated into the three-factor model (i.e. after controlling for risk).;This finding suggests that the value premium is positively driven by stages of the business cycle. The value premium, however, cannot be explained by investors' sentiment. At the industry level, the value premium of some industries (i.e. Consumer Durables, Manufacturing, Business Equipment, Shops, and Health) can be explained by stages of the business cycle. The relationship between value premium and investors' sentiment is consistent with the aggregate level, i.e.investors' sentiment is unable to explain the value premium of any of the industries. Finally, in Chapter 4 this thesis investigates if strategy that takes a long position on high solvency stocks and a short position on low solvency stocks can generate abnormal returns. Solvency is the ability of firms to cover their financial obligations. The high solvency firms are those firms with sufficient cash flows (orbalance) to cover their debt obligations while low solvency firms refer to firms that are unlikely to meet their debt obligations. The profitability of this strategy is called the solvency premium. The findings of this thesis show evidence of the solvency premium in the short-horizon but it reverts to solvency discount in the long-horizon. When the three-factor model is applied to control for risk, the solvency premium disappears. This suggests the solvency premium can be explained by risk. Further analysis, however, shows that after controlling for risk, the solvency premium exists in economic contraction and disappears during economic expansion. The solvency discount, inversely, is observed only during economic expansion. When the investors' sentiment factor is incorporated into the three-factor model, the positive and significant coefficient of investors' sentiment is observed. This suggests that investors' sentiment is also relevant in explaining solvency premium, i.e. high investors' sentiment leads to higher solvency premium. This thesis shows that three styles of investing techniques can generate superior returns (i.e. conventional contrarian trading strategy, value versus growthtrading strategies, and corporate solvency based trading strategy). However, momentum trading fails to generate any significant return. The findings benefit both individual and institutional investors to identify the stocks that are likely to generate superior returns and allocate their funds efficiently. These styles still exist until the market is more efficient relative to these styles and superior returns cannot be earned(Cao, 2011). These styles, then, disappear
Impact of Oil and Gold Prices on Southeast Asian Stock Markets: Empirical Evidence from Quantile Regression Analysis
Get PDFAccording to Chang and Li (2022), the COVID-19 pandemic may have had an impact on the European and American capital markets’ dependence on crude oil. However, no studies have assessed the returns and impacts of crude oil and gold prices on Southeast Asian stock markets in conjunction with the COVID-19 pandemic. To address this gap, a quantile regression model was used to analyze data of Southeast Asia stock prices from 2016 to 2023, alongside the daily closing prices of Dubai crude oil and world gold. The findings suggest that crude oil has a large trickle-down impact on the Southeast Asian market returns. This highlights the importance of dynamic linkages over time by reporting dynamic spillover to be statistically significant in Southeast Asian stock returns. Most stock returns show that volatility shocks are enduring. In Singapore and Thailand, the gold returns significantly and favorably affect the stock returns at all quantiles. At various quantiles, the impact of gold returns is notably favorable in the remaining scenarios
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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