Identifying Regularities in Stock Portfolio Tilting
AbstractThe 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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Bibliographic InfoPaper provided by International Institute for Applied Systems Analysis in its series Working Papers with number ir97066.
Date of creation: Sep 1997
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- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
- Tay, Francis E. H. & Shen, Lixiang, 2002. "Economic and financial prediction using rough sets model," European Journal of Operational Research, Elsevier, vol. 141(3), pages 641-659, September.
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