[PDF] Top 20 Factor analysis in the stock market: an application to statistical arbitrage

... After the discussion that the contrarian strategy follows the reasoning of overreaction due to the fact that people tend to give more importance to the new ... See full document

... is to assume that the log-prices are normally distributed. Stock returns are known to be leptokurtic and the volatility is not constant over time ...research in finance is ... See full document

... with the stock market. In this case, such hedge assets will not function as safe haven, although authors do not explicitly deny that an asset can have both properties ...simultaneously. ... See full document

... similar analysis to that presented by Elton and Gruber ...a factor of minimization of the specific risk (measured by the ...of the assets to compose portfolios and ... See full document

... is an unsupervised neural-network algorithm with topology preservation. The powerful visualization techniques for SOM models result from the useful and unique feature of SOM for detection of emergent ... See full document

... applications, the return on an asset or portfolio acts as the dependent variable and the variance of the return represents the risk level of those ...returns. The ... See full document

... enough to achieve stationarity. It is the case of the vast majority of stock market price series and ...interested in the long-run properties that rule the ... See full document

... provide an example assuming firm A and firm B have the same earnings amounting to 1 ...are in the same industry and stock market, however, the P/E ratio of company ... See full document

... from the modern portfolio theory (MPT) and the post-modern portfolio theory (PMPT) to analyse the differences in stock ...included in the EURO STOXX 50 index and ... See full document

... obtained the mean, mode or median of the pos- terior distribution and considering all the 50 replications we calculated the corresponding sample means and standard ...parameters. The ... See full document

... 19 The output of the regression is presented on table 5, appendix D and it allows us to take some interesting ...conclusions. The first factor considered, available liquidity, do ... See full document

... Despite the fact that our results provide new insights into the relation between returns and attention/sentiment especially in the Portuguese market, they should be seen with ...limit ... See full document

... is the assumption of a continuous price path, which is ...by the existence of opening gaps, which is the difference between opening day trade price and closing day trade price which is a direct ... See full document

... Esse modelo propõe a criação de uma série nova, a partir da série original, com o modelo AR(1)-GARCH(1,1) e a separação dos outliers com uma análise PCA (principal components analysis) para que a série criada seja ... See full document

... investment analysis, complementing the existing ones, oriented by the strategic information focus as a competitive differential at the financial market, based on the Information ... See full document

... is an adaptive procedure in which objects are clustered or grouped together, based on the principle of maximizing the intra-class similarity and minimizing the inter-class ...results ... See full document

... cases in the sample are settled either through non-prosecution agreements (most common) or guilty plea, which are most probably well received by ...due to poor anti-money-laundering and ... See full document

... forecasting stock data, such as technical indicators of the stock ...charts. The stock price charts demonstrate market peaks and troughs along with rising and declining trends ... See full document

... Challenging the notions of market efficiency and investors rationality, De Bondt and Thaler (1985, 1987) report that stocks with poor performance in the last three to five years earn ... See full document

... understand the herding concept in the real life, there is an example explained by Kleinberg and Easley (2010): a group of friends had decided to visit a city near their hometown where ... See full document