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Using Economic and Financial Information for Stock Selection

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Author Info
Ilir Roko (University of Geneva)
Manfred Gilli (University of Geneva and Swiss Finance Institute)

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Abstract

A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets fundamentals may help to make more appropriate choices. However the specification and parameterization of a model linking this exogenous information to the asset prices is not straightforward. Classification trees can be used to construct partitions of assets of forecasted similar behavior. We analyze the performance of this approach and apply it to different sectors of the S&P500.

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Publisher Info
Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 06-21.

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Length: 20 pages
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Handle: RePEc:chf:rpseri:rp0621

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Web page: http://www.SwissFinanceInstitute.ch
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Related research
Keywords: Portfolio optimization; Decision trees; Factor models;

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models

References listed on IDEAS
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  1. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
  2. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December. [Downloadable!] (restricted)
  3. Marina Velikova & Hennie Daniels, 2004. "Decision trees for monotone price models," Computational Management Science, Springer, vol. 1(3), pages 231-244, October. [Downloadable!] (restricted)
  4. Lehmann, Bruce N, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 105(1), pages 1-28, February. [Downloadable!] (restricted)
  5. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, 04. [Downloadable!] (restricted)
  6. Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2009-11-30.

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