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Identifying Regularities in Stock Portfolio Tilting

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  • R. Susmaga
  • W. Michalowski
  • R. Slowinski
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    Abstract

    The paper deals with issues associated with identification of stocks generating abnormal returns. Following the findings of a finance theory regarding portfolio tilting, a set of price-related stocks' attributes was analyzed. The analysis was conducted with the help of rough sets methodology which allows to distinguish "important" attributes for problem description, and to generate decision rules which can be later used to predict stocks' performance. Validity of the approach was tested on the Toronto Stock Exchange data.

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    File URL: http://www.iiasa.ac.at/Publications/Documents/IR-97-066.pdf
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    File URL: http://www.iiasa.ac.at/Publications/Documents/IR-97-066.ps
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    Bibliographic Info

    Paper provided by International Institute for Applied Systems Analysis in its series Working Papers with number ir97066.

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    Date of creation: Sep 1997
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    Handle: RePEc:wop:iasawp:ir97066

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    1. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1575-617, December.
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    Cited by:
    1. Tay, Francis E. H. & Shen, Lixiang, 2002. "Economic and financial prediction using rough sets model," European Journal of Operational Research, Elsevier, Elsevier, vol. 141(3), pages 641-659, September.

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