Essays about: "The relative strength portfolio"

Found 4 essays containing the words The relative strength portfolio.

  1. 1. Making Use of the Factor Zoo: An unpretentious attempt to predict asset returns using machine learning methods.

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Line Clausen; Jesper Strömberg; [2022-02-15]
    Keywords : ;

    Abstract : Factor modeling with the purpose of estimating assets returns is a dynamic and ever changing subject within finance. Recent literature has presented over 300 different fac-tors that seem to have significance in predicting asset returns. This new phenomenon in factor modeling has been dubbed ”The Factor Zoo”. READ MORE

  3. 2. Profitability of Technical Trading Strategies in the Swedish Equity Market

    University essay from KTH/Matematisk statistik

    Author : Azmain Alam; Gustav Norrström; [2021]
    Keywords : Trading; Technical analysis; stocks; stonks; Equity markets; abnormal returns; moving average; RSI; relative strength index; MACD; moving average convergence divergence; Trading; teknisk analys; aktier; aktiemarknaden; överavkastning; glidande medelvärde; RSI; relative strength index; MACD; moving average convergence divergence;

    Abstract : This study aims to see if it is possible to generate abnormal returns in the Swedishstock market through the use of three different trading strategies based on technicalindicators. As the indicators are based on historical price data only, the study assumesweak market efficiency according to the efficient market hypothesis. READ MORE

  4. 3. Dreaming of Beating the Market : A Fundamental Analysis Study on the Stockholm Stock Exchange

    University essay from Företagsekonomiska institutionen

    Author : Emmy Andersson; Darko Draskovic; [2011]
    Keywords : Fundamental Analysis; Fundamental Signals; High Book-to-Market; Abnormal Returns; Piotroski; Rados and Lovric;

    Abstract : The aim of this paper is to test and further improve fundamental analysis models developed by Piotroski (2000) and Rados and Lovric (2009). The improvement seeks to reverse the information in the previous models by taking relative importance and strength of both positive and negative fundamental signals into consideration. READ MORE

  5. 4. Momentum and Contrarian Trading Strategies: Evidence from the Chinese stock market 2000-2010

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Chaoqiong Shi; [2011]
    Keywords : Contrarian effect; Momentum effect; The relative strength portfolio; CAPM model; Overreaction; Underreaction.; Business and Economics;

    Abstract : The paper employs Jegadeesh and Titman (1993)’s overlapping ranking period method to build winner-portfolio and loser-portfolio, and thereafter conducts empirical studies on the momentum and contrarian effects on the Chinese stock market from 2000 to 2010. One thing worth mentioning here is that the author processes the data using her own Matlab codes instead of doing tremendous manual work. READ MORE