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Filter Rules Based on Price and Volume in Individual Security Overreaction

Author: Michael Cooper

Abstract: I present evidence of predictability in a simple constructed to minimize concerns about time-varying risk premia and market-microstructure effects.I use filter rules on lagged return and lagged volume information to uncover weekly over-reaction profits on large-capitalization NYSE and AMEX securuties. I find that decreasing-volume stocks experience greater reversals.Increasing-volume stocks exhibit weaker reversals and positive autocorrelation. A real-time simulation of the filter strategies suggests that an investor who pursues the filter strategy with relatively low transaction costs will strongly outperform an investor who follows a buy-and-hold strategy.

Cooper 99 RFS.pdf

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