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投资者日常股票排名系统的测试

John P. Nelson,博士 D.奥尔森 C.威特 C.莫斯曼
财务评论。 三月9,2005

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本文考察了从公布的股票排名中获得的交易策略的盈利能力 投资者业务 日常。 最好的系统通过购买标准普尔1.81股票,提供市场调整后的异常月收益500%,以及套利投资组合的3.18%异常收益。 选择进行交易的股票具有高于平均水平的波动性,但是部分异常收益可能是识别短期可持续价格动量股票的奖励。 结果似乎表明市场效率低下,但这种现象可能是暂时的,因为在数据集的后半部分,异常收益较低。

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