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A note on the integration of the alpha alignment factor and earnings forecasting models in producing more efficient Markowitz Frontiers

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  • Beheshti, Bijan

Abstract

There is a rich body of literature describing the association of earnings forecasting models with stock returns. We use an earnings forecasting model that employs the forecasted earnings yield, earnings per share forecast revisions, and breadth of earnings per share forecasts to serve as a stock selection model. The earnings forecasting model is an input to a portfolio optimization analysis in which fundamental and statistical-based risk models are used. Moreover, an alpha alignment factor is employed to aid in portfolio construction.

Suggested Citation

  • Beheshti, Bijan, 2015. "A note on the integration of the alpha alignment factor and earnings forecasting models in producing more efficient Markowitz Frontiers," International Journal of Forecasting, Elsevier, vol. 31(2), pages 582-584.
  • Handle: RePEc:eee:intfor:v:31:y:2015:i:2:p:582-584
    DOI: 10.1016/j.ijforecast.2014.12.005
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    References listed on IDEAS

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    1. Guerard, John B. & Markowitz, Harry & Xu, GanLin, 2015. "Earnings forecasting in a global stock selection model and efficient portfolio construction and management," International Journal of Forecasting, Elsevier, vol. 31(2), pages 550-560.
    2. Edwin J. Elton & Martin J. Gruber & Mustafa Gultekin, 1981. "Expectations and Share Prices," Management Science, INFORMS, vol. 27(9), pages 975-987, September.
    3. Ramnath, Sundaresh & Rock, Steve & Shane, Philip, 2008. "The financial analyst forecasting literature: A taxonomy with suggestions for further research," International Journal of Forecasting, Elsevier, vol. 24(1), pages 34-75.
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    Cited by:

    1. Xia, Hui & Min, Xinyu & Deng, Shijie, 2015. "Effectiveness of earnings forecasts in efficient global portfolio construction," International Journal of Forecasting, Elsevier, vol. 31(2), pages 568-574.
    2. Guerard, John B. & Markowitz, Harry & Xu, GanLin, 2015. "Earnings forecasting in a global stock selection model and efficient portfolio construction and management," International Journal of Forecasting, Elsevier, vol. 31(2), pages 550-560.

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    Keywords

    Background; Methodology; Results;

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