Timing the market: the economic value of price extremes

doi:10.1186/s40854-018-0110-4

CSpace > 系统科学研究所

	Timing the market: the economic value of price extremes
	Xie,Haibin 1; Wang,Shouyang2
	2018-11-07
发表期刊	Financial Innovation
ISSN	2199-4730
卷号	4 期号:1
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.
关键词	Price extremes Return decomposition Asymmetry Return predictability
DOI	10.1186/s40854-018-0110-4
语种	英语
WOS记录号	BMC:10.1186/s40854-018-0110-4
出版者	Springer Berlin Heidelberg
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/31209
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).