Tactical allocation in falling stocks: Combining momentum and solvency ratio signals
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References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- I. Roko & M. Gilli, 2008.
"Using economic and financial information for stock selection,"
Computational Management Science,
Springer, vol. 5(4), pages 317-335, October.
- Ilir Roko & Manfred Gilli, "undated". "Using Economic and Financial Information for Stock Selection," Swiss Finance Institute Research Paper Series 06-21, Swiss Finance Institute.
- Bhandari, Laxmi Chand, 1988. " Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence," Journal of Finance, American Finance Association, vol. 43(2), pages 507-528, June.
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- repec:hrv:faseco:30721347 is not listed on IDEAS
More about this item
Keywordsfalling stocks; contrarian investing; financial strength ratios; GARCH in mean model; Augmented Dickey-Fuller test;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-08 (All new papers)
- NEP-FMK-2012-02-08 (Financial Markets)
- NEP-RMG-2012-02-08 (Risk Management)
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