Timing the market: the economic value of price extremes
文献类型：期刊论文
| 作者 | Xie,Haibin1; Wang,Shouyang2
|
| 刊名 | Financial Innovation
 |
| 出版日期 | 2018-11-07 |
| 卷号 | 4期号:1 |
| 关键词 | Price extremes Return decomposition Asymmetry Return predictability |
| ISSN号 | 2199-4730 |
| DOI | 10.1186/s40854-018-0110-4 |
| 英文摘要 | AbstractBy decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML. PML significantly contributed to forecasting PMG but not vice versa. We further explored the power of this asymmetry for predicting asset returns and found it could significantly improve asset return predictability in both in-sample and out-of-sample forecasting. Investors who incorporate this asymmetry into their investment decisions can get substantial utility gains. This asymmetry remains significant even when controlling for macroeconomic variables, technical indicators, market sentiment, and skewness. Moreover, this asymmetry was found to be quite general across different countries. |
| 语种 | 英语 |
| WOS记录号 | BMC:10.1186/S40854-018-0110-4 |
| 出版者 | Springer Berlin Heidelberg |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/31208]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Wang,Shouyang |
| 作者单位 | 1. 2. |
| 推荐引用方式 GB/T 7714 | Xie,Haibin,Wang,Shouyang. Timing the market: the economic value of price extremes[J]. Financial Innovation,2018,4(1). |
| APA | Xie,Haibin,&Wang,Shouyang.(2018).Timing the market: the economic value of price extremes.Financial Innovation,4(1). |
| MLA | Xie,Haibin,et al."Timing the market: the economic value of price extremes".Financial Innovation 4.1(2018). |
入库方式： OAI收割
来源：数学与系统科学研究院
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