The relevance of trends for predictions of stock returns

T. Hellström, K. Holmström
{"title":"The relevance of trends for predictions of stock returns","authors":"T. Hellström, K. Holmström","doi":"10.1002/(SICI)1099-1174(200003)9:1%3C23::AID-ISAF178%3E3.0.CO;2-U","DOIUrl":null,"url":null,"abstract":"Whfkqlfdo suhglfwlrq ri vwrfn uhwxuqv lv nqrzq wr eh dq h{wuhpho| gl!fxow sureohp1 Lq wklv uhsruw zh xvh wkh frqfhsw ri wuhqgv dv suhglfwru yduldeohv1 D vwdwlvwlfdo lqyhvwljdwlrq ri wkh uhohydqfh ri d wuhqg frqfhsw iru suhglfwlrqv ri ixwxuh uhwxuqv lv suhvhqwhg iru lqglylgxdo vwrfnv rq wkh Vzhglvk vwrfn pdunhw1 Qhjdwlyh fruuhodwlrq iru vwurqj qhjdwlyh wuhqgv lv vkrzq1 Wkh ryhudoo fruuhodwlrq ehwzhhq wuhqgv dqg ixwxuh uhwxuqv lv krzhyhu irxqg wr eh yhu| zhdn1 Wuhqg yduldeohv duh ixuwkhu xvhg dv lqsxw yduldeohv lq d n0qhduhvw qhljkeru dqdo|vlv wr qg sdwwhuqv ri wuhqg ydoxhv wkdw uhvxow lq qrq0udqgrp ixwxuh uhwxuqv1 Wkh n0qhduhvw qhljkeru dojrulwkp lv h{whqghg zlwk d vhohfwlrq surfhgxuh wr qg uhjlrqv lq wkh lqsxw vsdfh zkhuh wkh ixwxuh uhwxuqv duh qrq0v|pphwulfdoo| glvwulexwhg1 Wkh qhz dojrulwkp lv vxffhvvixoo| whvwhg rq duwl fldo vwrfn gdwd zlwk wuhqglqj sdwwhuqv lqwurgxfhg1 Wkh dojrulwkp lv dovr dssolhg wr d qxpehu ri qdwlrqdo vwrfn lqgh{hv= wkh Dphulfdq Grz Mrqhv/ wkh Jhupdq GD[/ wkh Eulwlvk IWVH/ dqg wkh Vzhglvk Jhqhudolqgh{1 Wkh uhvxowv duh srvlwyh iru vrph ri wkh whvwhg lqgh{hv dqg qhjdwlyh iru rwkhuv1 Ixuwkhu whvwv pxvw eh frqgxfwhg lq rughu wr jlyh vwdwlvwlfdoo| vljql fdqw uhvxowv1 Wkh vxjjhvwhg dojrulwkp dovr kdv qdwxudo dssolfdwlrq lq duhdv rwkhu wkdq vwrfn suhglfwlrq1 Lw dgguhvvhv vlwxdwlrqv lq zklfk wkh ryhudoo suhglfwdelolw| lv orz dqg fdq rqo| eh h{shfwhg wr dsso| lq lqghwhuplqdwh uhjlrqv ri wkh lqsxw vsdfh1","PeriodicalId":153549,"journal":{"name":"Intell. Syst. Account. Finance Manag.","volume":"500 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2000-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"16","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Intell. Syst. Account. Finance Manag.","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1002/(SICI)1099-1174(200003)9:1%3C23::AID-ISAF178%3E3.0.CO;2-U","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 16

Abstract

Whfkqlfdo suhglfwlrq ri vwrfn uhwxuqv lv nqrzq wr eh dq h{wuhpho| gl!fxow sureohp1 Lq wklv uhsruw zh xvh wkh frqfhsw ri wuhqgv dv suhglfwru yduldeohv1 D vwdwlvwlfdo lqyhvwljdwlrq ri wkh uhohydqfh ri d wuhqg frqfhsw iru suhglfwlrqv ri ixwxuh uhwxuqv lv suhvhqwhg iru lqglylgxdo vwrfnv rq wkh Vzhglvk vwrfn pdunhw1 Qhjdwlyh fruuhodwlrq iru vwurqj qhjdwlyh wuhqgv lv vkrzq1 Wkh ryhudoo fruuhodwlrq ehwzhhq wuhqgv dqg ixwxuh uhwxuqv lv krzhyhu irxqg wr eh yhu| zhdn1 Wuhqg yduldeohv duh ixuwkhu xvhg dv lqsxw yduldeohv lq d n0qhduhvw qhljkeru dqdo|vlv wr qg sdwwhuqv ri wuhqg ydoxhv wkdw uhvxow lq qrq0udqgrp ixwxuh uhwxuqv1 Wkh n0qhduhvw qhljkeru dojrulwkp lv h{whqghg zlwk d vhohfwlrq surfhgxuh wr qg uhjlrqv lq wkh lqsxw vsdfh zkhuh wkh ixwxuh uhwxuqv duh qrq0v|pphwulfdoo| glvwulexwhg1 Wkh qhz dojrulwkp lv vxffhvvixoo| whvwhg rq duwl fldo vwrfn gdwd zlwk wuhqglqj sdwwhuqv lqwurgxfhg1 Wkh dojrulwkp lv dovr dssolhg wr d qxpehu ri qdwlrqdo vwrfn lqgh{hv= wkh Dphulfdq Grz Mrqhv/ wkh Jhupdq GD[/ wkh Eulwlvk IWVH/ dqg wkh Vzhglvk Jhqhudolqgh{1 Wkh uhvxowv duh srvlwyh iru vrph ri wkh whvwhg lqgh{hv dqg qhjdwlyh iru rwkhuv1 Ixuwkhu whvwv pxvw eh frqgxfwhg lq rughu wr jlyh vwdwlvwlfdoo| vljql fdqw uhvxowv1 Wkh vxjjhvwhg dojrulwkp dovr kdv qdwxudo dssolfdwlrq lq duhdv rwkhu wkdq vwrfn suhglfwlrq1 Lw dgguhvvhv vlwxdwlrqv lq zklfk wkh ryhudoo suhglfwdelolw| lv orz dqg fdq rqo| eh h{shfwhg wr dsso| lq lqghwhuplqdwh uhjlrqv ri wkh lqsxw vsdfh1
趋势与股票收益预测的相关性
Whfkqlfdo suhglwqlqqi vwwqlqv vwwqlqv v nqrzq wwqh {wuhpho| gl!zh型xvh fxow sureohp1 Lq wklv uhsruw wkh frqfhsw ri wuhqgv dv suhglfwru yduldeohv1 D vwdwlvwlfdo lqyhvwljdwlrq ri wkh uhohydqfh ri D wuhqg frqfhsw电位suhglfwlrqv ri ixwxuh uhwxuqv lv suhvhqwhg电位lqglylgxdo vwrfnv rq wkh Vzhglvk vwrfn pdunhw1 Qhjdwlyh fruuhodwlrq电位vwurqj Qhjdwlyh wuhqgv lv vkrzq1 wkh ryhudoo fruuhodwlrq ehwzhhq wuhqgv dqg ixwxuh uhwxuqv lv krzhyhu irxqg wr呃yhu | zhdn1 wuhqg yduldeohv咄ixuwkhu xvhg dv lqsxw yduldeohv Lq D n0qhduhvw qhljkeru dqdo | vlv wr路上sdwwhuqv riwhhqydoxhw / dqqhqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp / dhqqqgrp电位vrph ri wkh whvwhg lqgh{高压dqg qhjdwlyh电位rwkhuv1 Ixuwkhu whvwv pxvw呃frqgxfwhg lq rughu wr jlyh vwdwlvwlfdoo | vljql fdqw uhvxowv1 wkh vxjjhvwhg dojrulwkp dovr kdv qdwxudo dssolfdwlrq lq duhdv rwkhu wkdq vwrfn suhglfwlrq1 Lw dgguhvvhv vlwxdwlrqv lq zklfk wkh ryhudoo suhglfwdelolw | lv下跪dqg fdq rqo |嗯h {shfwhg wr dsso | lq lqghwhuplqdwh uhjlrqv ri wkh lqsxw vsdfh1
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信