Risk adjusted excess returns

This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results show that average risk premiums of an equal-weighted portfolio of most admired firms are economically superior than the market risk premiums from 2006 to 2011 (except 2010).

9p nguyenminhlong19 21-04-2020 15 2   Download

This paper analyzes the predictability and profitability of the candlesticks strategy, which is the most basic type of technical analysis in China's stock market. By analyzing matched candlesticks samples most similar to the candlesticks of the current stocks in the past six months, we can buy the portfolios best in performance and sell the worst to obtain significant excess returns. The result keeps robust after risk adjustment.

25p chauchaungayxua2 19-01-2020 16 1   Download