Predicting extreme performers in European equities
Authors: Becker, Ying L.1; J. Ochman, Richard2
Source: Journal of Asset Management, Volume 4, Number 6, 1 April 2004 , pp. 367-391(25)
Publisher: Palgrave Macmillan
Key:
- Free Content
- New Content
- Subscribed Content
- Free Trial Content
- Free Content
- New Content
- Subscribed Content
- Free Trial Content
Abstract:
Based on SSgA's previous research on predicting extreme stock performers in the US equity market, this paper extends the study to European equity markets. It investigates important characteristics of stocks in the MSCI Europe index predicted to experience extreme returns over the next three months. With a two-stage multivariate logistic model, these extreme performers are separated into winners and losers. For the entire test period, over 17 per cent of 60 predicted extreme performers experience extreme price movements in the subsequent three-month period. An average total three-month return of 4.5 per cent is obtained by going long (short) predicted extreme winners (losers) over the period September 1994-June 2001.Journal of Asset Management (2004) 4, 367-391; doi:10.1057/palgrave.jam.2240117Document Type: Research article
DOI: 10.1057/palgrave.jam.2240117
Affiliations: 1: 1State Street Global Advisors, State Street Financial Center, One Lincoln Street, Boston, MA, 02111-290, USA;, Tel: +1 617 664 2907, Fax: +1 617 664 6133, Email: Ying_Becker@ssga.com 2: 2principal of SSgA's Advanced Research Center
Key:
- Free Content
- New Content
- Subscribed Content
- Free Trial Content
- Free Content
- New Content
- Subscribed Content
- Free Trial Content
Click here for Page Help