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Timing the market: the economic value of price extremes
Xie,Haibin1; Wang,Shouyang2
2018-11-07
Source PublicationFinancial Innovation
ISSN2199-4730
Volume4Issue:1
AbstractAbstractBy 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.
KeywordPrice extremes Return decomposition Asymmetry Return predictability
DOI10.1186/s40854-018-0110-4
Language英语
WOS IDBMC:10.1186/s40854-018-0110-4
PublisherSpringer Berlin Heidelberg
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/31209
Collection系统科学研究所
Affiliation1.
2.
Recommended Citation
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).
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