Pub Date : 2021-07-03DOI: 10.1080/10293523.2021.1991130
S. Sehgal, Asheesh Pandey
ABSTRACT Using data for 1 848 companies, we find that quality increases, not quality, drive stock returns in India. Profitability and safety seem to be relevant attributes for measuring quality. Our cross-sectional tests show that the role of quality in predicting returns is partially subsumed by momentum in short holding periods. Rational sources are not able to explain quality premiums. We find that quality premiums result from investor overreaction. At the same time, momentum profits are an outcome of investor underreaction, suggesting that investors pay more attention to fundamentals than past price trends. High investments by institutional investing may account for such behaviour.
{"title":"Firm quality and stock returns: Evidence from India","authors":"S. Sehgal, Asheesh Pandey","doi":"10.1080/10293523.2021.1991130","DOIUrl":"https://doi.org/10.1080/10293523.2021.1991130","url":null,"abstract":"ABSTRACT Using data for 1 848 companies, we find that quality increases, not quality, drive stock returns in India. Profitability and safety seem to be relevant attributes for measuring quality. Our cross-sectional tests show that the role of quality in predicting returns is partially subsumed by momentum in short holding periods. Rational sources are not able to explain quality premiums. We find that quality premiums result from investor overreaction. At the same time, momentum profits are an outcome of investor underreaction, suggesting that investors pay more attention to fundamentals than past price trends. High investments by institutional investing may account for such behaviour.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"189 - 208"},"PeriodicalIF":0.9,"publicationDate":"2021-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42069175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-07-03DOI: 10.1080/10293523.2021.1991129
R. S. Scalzer, Ana Carolina Santos Souza
ABSTRACT This study addresses the informativeness of accounting earnings in Brazil by analysing the impact of distributed dividends and the existence of financial constraints. Panel data regression with fixed effects and quantile regression estimated that the dividend informativeness in Brazil and the presence of financial constraints affect earnings informativeness, even when the different forms of earnings distribution in Brazil are considered. The main contribution of the study is to provide further evidence on the Brazilian market that adopts a rare mandatory minimum dividend rule, and moreover, defines the distribution of earnings under different tax regime categories.
{"title":"Earnings informativeness in the Brazilian market: the influence of dividends and financial constraints","authors":"R. S. Scalzer, Ana Carolina Santos Souza","doi":"10.1080/10293523.2021.1991129","DOIUrl":"https://doi.org/10.1080/10293523.2021.1991129","url":null,"abstract":"ABSTRACT This study addresses the informativeness of accounting earnings in Brazil by analysing the impact of distributed dividends and the existence of financial constraints. Panel data regression with fixed effects and quantile regression estimated that the dividend informativeness in Brazil and the presence of financial constraints affect earnings informativeness, even when the different forms of earnings distribution in Brazil are considered. The main contribution of the study is to provide further evidence on the Brazilian market that adopts a rare mandatory minimum dividend rule, and moreover, defines the distribution of earnings under different tax regime categories.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"176 - 188"},"PeriodicalIF":0.9,"publicationDate":"2021-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49167812","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-04-03DOI: 10.1080/10293523.2021.1898744
J. P. Steyn, L. Theart
ABSTRACT The historical skewness of stock return distributions could potentially affect future stock returns. Previous studies in developed markets have shown that investors prefer shares exhibiting positively skewed or ‘lottery-like’ payoff profiles. The higher demand for these shares results in a negative relationship between skewness and expected stock returns. This study investigates the extent to which asymmetrical returns are priced on the Johannesburg Stock Exchange over the period August 2002 to December 2019. Using portfolio-level analysis, this study analyses the returns of quintile portfolios sorted on past self-skewness. Risk-adjusted returns are evaluated against an equally weighted benchmark. In addition, the presence of a monotonic relationship between past self-skewness and future returns is tested with the monotonic relation test of Patton and Timmermann (2010), as well as the Wolak (1987, 1989) test. Unlike the developed market evidence, this study finds evidence of a positive relationship between past self-skewness and future returns on the JSE. This effect remains even after controlling for size and industry effects. The results suggest that positive skewness is rewarded on a risk-adjusted basis. Overall, the study provides insights for investors regarding the importance of considering the past asymmetry of stock return distributions in investment decision-making processes.
{"title":"The pricing of skewness: Evidence from the Johannesburg Stock Exchange","authors":"J. P. Steyn, L. Theart","doi":"10.1080/10293523.2021.1898744","DOIUrl":"https://doi.org/10.1080/10293523.2021.1898744","url":null,"abstract":"ABSTRACT The historical skewness of stock return distributions could potentially affect future stock returns. Previous studies in developed markets have shown that investors prefer shares exhibiting positively skewed or ‘lottery-like’ payoff profiles. The higher demand for these shares results in a negative relationship between skewness and expected stock returns. This study investigates the extent to which asymmetrical returns are priced on the Johannesburg Stock Exchange over the period August 2002 to December 2019. Using portfolio-level analysis, this study analyses the returns of quintile portfolios sorted on past self-skewness. Risk-adjusted returns are evaluated against an equally weighted benchmark. In addition, the presence of a monotonic relationship between past self-skewness and future returns is tested with the monotonic relation test of Patton and Timmermann (2010), as well as the Wolak (1987, 1989) test. Unlike the developed market evidence, this study finds evidence of a positive relationship between past self-skewness and future returns on the JSE. This effect remains even after controlling for size and industry effects. The results suggest that positive skewness is rewarded on a risk-adjusted basis. Overall, the study provides insights for investors regarding the importance of considering the past asymmetry of stock return distributions in investment decision-making processes.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"133 - 144"},"PeriodicalIF":0.9,"publicationDate":"2021-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2021.1898744","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44841171","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-04-03DOI: 10.1080/10293523.2021.1876815
Yung-Jang Wang, M. Mark Walker, Po-Hsiung Huang
ABSTRACT We find that firms in the growth and maturity stage generally have higher levels of institutional ownership, higher Tobin’s Q ratios, and are more likely to remain in their life cycle stage over the subsequent six-year period. Further analysis indicates a feedback effect between domestic and foreign institutional ownership. Finally, we find that the impact information transmission of foreign institutional ownership is faster than that of domestic institutional ownership. We conclude that Taiwan’s government has been successful in its efforts over the last 20 years to increase economic growth, strengthen corporate governance, and improve the country’s capital markets.
{"title":"Dynamic behaviour of institutional ownership and firm life cycle: Evidence from Taiwan","authors":"Yung-Jang Wang, M. Mark Walker, Po-Hsiung Huang","doi":"10.1080/10293523.2021.1876815","DOIUrl":"https://doi.org/10.1080/10293523.2021.1876815","url":null,"abstract":"ABSTRACT We find that firms in the growth and maturity stage generally have higher levels of institutional ownership, higher Tobin’s Q ratios, and are more likely to remain in their life cycle stage over the subsequent six-year period. Further analysis indicates a feedback effect between domestic and foreign institutional ownership. Finally, we find that the impact information transmission of foreign institutional ownership is faster than that of domestic institutional ownership. We conclude that Taiwan’s government has been successful in its efforts over the last 20 years to increase economic growth, strengthen corporate governance, and improve the country’s capital markets.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"77 - 98"},"PeriodicalIF":0.9,"publicationDate":"2021-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2021.1876815","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49388595","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-04-03DOI: 10.1080/10293523.2021.1886723
A. Hoffman
ABSTRACT Early forms of statistical arbitrage exploited the mean reversion of a model error extracted from pairs of instruments with a tendency to move together. Pairs trading was extended by Engle and Granger and by Johansen to include several co-integrated instruments. Partial co-integration was proposed by Clegg and Krauss to allow for model errors that contain both random walk and mean-reverting components. In this paper we implement a modified version of partial co-integration using a Kalman filter approach that allows the behaviour of the mean-reverting error component to be optimised. Co-integrated sets of shares are compiled over the period from January 1990 to November 2020 based on membership of sectors on the Johannesburg Stock Exchange. We demonstrate that optimal selection of the Kalman filter gain enables the improvement of risk-adjusted returns generated by the partial co-integration strategy. We optimise the parameters that define the partial co-integration trading strategy and find that it significantly outperforms market returns and a strategy based on normal co-integration. We observe higher returns during bear cycles compared with bull cycles, making statistical arbitrage based on partial co-integration an attractive option to combine with trading strategies that perform well during bull markets.
{"title":"Statistical arbitrage on the JSE based on partial co-integration","authors":"A. Hoffman","doi":"10.1080/10293523.2021.1886723","DOIUrl":"https://doi.org/10.1080/10293523.2021.1886723","url":null,"abstract":"ABSTRACT Early forms of statistical arbitrage exploited the mean reversion of a model error extracted from pairs of instruments with a tendency to move together. Pairs trading was extended by Engle and Granger and by Johansen to include several co-integrated instruments. Partial co-integration was proposed by Clegg and Krauss to allow for model errors that contain both random walk and mean-reverting components. In this paper we implement a modified version of partial co-integration using a Kalman filter approach that allows the behaviour of the mean-reverting error component to be optimised. Co-integrated sets of shares are compiled over the period from January 1990 to November 2020 based on membership of sectors on the Johannesburg Stock Exchange. We demonstrate that optimal selection of the Kalman filter gain enables the improvement of risk-adjusted returns generated by the partial co-integration strategy. We optimise the parameters that define the partial co-integration trading strategy and find that it significantly outperforms market returns and a strategy based on normal co-integration. We observe higher returns during bear cycles compared with bull cycles, making statistical arbitrage based on partial co-integration an attractive option to combine with trading strategies that perform well during bull markets.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"110 - 132"},"PeriodicalIF":0.9,"publicationDate":"2021-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2021.1886723","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44335927","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-04-03DOI: 10.1080/10293523.2021.1886722
Ling T. He, Haibo Yao, K. Michael Casey
ABSTRACT This study applies the sentiment endurance (SE) index developed by He (2012) to forecast excess returns of insurance stocks. With the exception of the 12-month rolling forecasts of the Fama-French three-factor model (FF), forecasts of the SE model persistently outperform that of the CAPM and FF models in terms of lower absolute percent forecasting error (APFE) and significantly lower standard deviation of APFE. The accuracy of 6-month rolling forecasts of SE model is significantly higher than that of the FF model. Further, this study finds that the inclusion of SMB and HML in the SE model significantly deteriorates the accuracy and stability of forecasts. To a lesser degree, the addition of the market risk factor to the SE model hurts more than it improves the quality of forecasts. The results clearly suggest that compared to global variables, the SE index, as a local variable, more accurately reflects insurance investor sentiment and response to news and therefore can better forecast excess returns of insurance stocks.
{"title":"Improvements in forecasting insurance stock excess returns: Comparing the investor sentiment endurance index with the CAPM and Fama-French models","authors":"Ling T. He, Haibo Yao, K. Michael Casey","doi":"10.1080/10293523.2021.1886722","DOIUrl":"https://doi.org/10.1080/10293523.2021.1886722","url":null,"abstract":"ABSTRACT This study applies the sentiment endurance (SE) index developed by He (2012) to forecast excess returns of insurance stocks. With the exception of the 12-month rolling forecasts of the Fama-French three-factor model (FF), forecasts of the SE model persistently outperform that of the CAPM and FF models in terms of lower absolute percent forecasting error (APFE) and significantly lower standard deviation of APFE. The accuracy of 6-month rolling forecasts of SE model is significantly higher than that of the FF model. Further, this study finds that the inclusion of SMB and HML in the SE model significantly deteriorates the accuracy and stability of forecasts. To a lesser degree, the addition of the market risk factor to the SE model hurts more than it improves the quality of forecasts. The results clearly suggest that compared to global variables, the SE index, as a local variable, more accurately reflects insurance investor sentiment and response to news and therefore can better forecast excess returns of insurance stocks.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"99 - 109"},"PeriodicalIF":0.9,"publicationDate":"2021-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2021.1886722","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44315564","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-02DOI: 10.1080/10293523.2021.1876826
Jaime González Maiz Jiménez, Adán Reyes Santiago, Francisco López-Herrera
ABSTRACT This study tests investors’ asymmetry level around the quarterly reports of 47 shares from 2010 to the second quarter of 2020. This asymmetry level was determined by analysing three measures: the Corwin and Schultz’s (2012) spread level, residual sum of squares (RSS) with the capital asset pricing model, and the illiquidity ratio, which were lower after the event for some cases. When discerning between good and bad surprises, statistical differences emerged only with the RSS measure. During the COVID-19 period, these measures were lower after the event for more cases. Thus, information asymmetry significantly reduces in periods of uncertainty, suggesting that quarterly reports are more useful for investors during these periods.
{"title":"Measuring the asymmetry level around quarterly reports in the Dow Jones, Nasdaq, and Standard & Poor’s: Before and during the COVID-19 pandemic","authors":"Jaime González Maiz Jiménez, Adán Reyes Santiago, Francisco López-Herrera","doi":"10.1080/10293523.2021.1876826","DOIUrl":"https://doi.org/10.1080/10293523.2021.1876826","url":null,"abstract":"ABSTRACT This study tests investors’ asymmetry level around the quarterly reports of 47 shares from 2010 to the second quarter of 2020. This asymmetry level was determined by analysing three measures: the Corwin and Schultz’s (2012) spread level, residual sum of squares (RSS) with the capital asset pricing model, and the illiquidity ratio, which were lower after the event for some cases. When discerning between good and bad surprises, statistical differences emerged only with the RSS measure. During the COVID-19 period, these measures were lower after the event for more cases. Thus, information asymmetry significantly reduces in periods of uncertainty, suggesting that quarterly reports are more useful for investors during these periods.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"50 - 59"},"PeriodicalIF":0.9,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2021.1876826","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47527969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-02DOI: 10.1080/10293523.2021.1876968
Liu Zi-long, Wang Su-sheng, Hu Ming-zhu
ABSTRACT With the accelerated opening up of China’s financial sector, international investors have increasingly become a key investment group. To describe the international investor sentiment towards Chinese stock assets, we select sentiment proxies from the transaction data in the China A-share market, the Hong Kong stock market, and the US market and aggregate the information from four proxies by principal component analysis. We propose this newly synthesized index as the International Investor Sentiment Composite Index for the Chinese stock market. The results show that international investor sentiment has significant predictive power for the future returns of the Chinese stock market. We also find that international investor sentiment has asymmetric prediction characteristics, and negative international investor sentiment has a more significant impact on stock returns than positive investor sentiment. Furthermore, using the copula model, we show that there is an asymmetric tail correlation between the International Investor Sentiment Index and future market returns, and international investor sentiment also has an early warning label effect on the extreme market conditions. Therefore, this paper will extend the existing literature about the role of international investor sentiment on asset prices on a global scale.
{"title":"International investor sentiment and stock returns: Evidence from China","authors":"Liu Zi-long, Wang Su-sheng, Hu Ming-zhu","doi":"10.1080/10293523.2021.1876968","DOIUrl":"https://doi.org/10.1080/10293523.2021.1876968","url":null,"abstract":"ABSTRACT With the accelerated opening up of China’s financial sector, international investors have increasingly become a key investment group. To describe the international investor sentiment towards Chinese stock assets, we select sentiment proxies from the transaction data in the China A-share market, the Hong Kong stock market, and the US market and aggregate the information from four proxies by principal component analysis. We propose this newly synthesized index as the International Investor Sentiment Composite Index for the Chinese stock market. The results show that international investor sentiment has significant predictive power for the future returns of the Chinese stock market. We also find that international investor sentiment has asymmetric prediction characteristics, and negative international investor sentiment has a more significant impact on stock returns than positive investor sentiment. Furthermore, using the copula model, we show that there is an asymmetric tail correlation between the International Investor Sentiment Index and future market returns, and international investor sentiment also has an early warning label effect on the extreme market conditions. Therefore, this paper will extend the existing literature about the role of international investor sentiment on asset prices on a global scale.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"60 - 76"},"PeriodicalIF":0.9,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2021.1876968","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42169408","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-02DOI: 10.1080/10293523.2020.1870863
B. Taljaard, E. Maré
ABSTRACT This paper considers the recent underperformance of the equal weighted portfolio of South African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the impact of the increased concentration of market capitalisation weights in the Top 40, which is currently at extreme levels. Furthermore, lower levels in the benefits of diversification, through higher average correlations, has reduced the positive impact of rebalancing. Finally, the turnover in index constituents has been higher than average in recent years and this has caused a further drag on performance. The combination of these effects has had a negative impact on the equal weighted portfolio’s relative performance. A rudimentary linear model, with these factors as inputs, that highlights the importance of monitoring these drivers to improve the equal weighted portfolio’s relative performance is presented.
{"title":"If the equal weighted portfolio is so great, why isn’t it working in South Africa?","authors":"B. Taljaard, E. Maré","doi":"10.1080/10293523.2020.1870863","DOIUrl":"https://doi.org/10.1080/10293523.2020.1870863","url":null,"abstract":"ABSTRACT This paper considers the recent underperformance of the equal weighted portfolio of South African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the impact of the increased concentration of market capitalisation weights in the Top 40, which is currently at extreme levels. Furthermore, lower levels in the benefits of diversification, through higher average correlations, has reduced the positive impact of rebalancing. Finally, the turnover in index constituents has been higher than average in recent years and this has caused a further drag on performance. The combination of these effects has had a negative impact on the equal weighted portfolio’s relative performance. A rudimentary linear model, with these factors as inputs, that highlights the importance of monitoring these drivers to improve the equal weighted portfolio’s relative performance is presented.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"32 - 49"},"PeriodicalIF":0.9,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2020.1870863","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41508072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-02DOI: 10.1080/10293523.2020.1870860
J. Han, Hyun-jung Kim
ABSTRACT It is difficult to predict future payoffs for initial public offerings (IPOs), since the multiple valuation method used to determine IPOs’ prices provides estimates by reflecting current sentiments in specific market environments. As our model reflects accounting information and stock price, we find that the mean absolute percentage error that verifies the accuracy of IPO stock valuation improves return on investment by 15% to 20%. This can help shareholders and investors accurately estimate stock prices and engage in efficient investment decision-making, while contributing to fintech by applying machine learning to traditional techniques to analyse investment opportunities and optimise trading strategies.
{"title":"Stock price prediction using multiple valuation methods based on artificial neural networks for KOSDAQ IPO companies","authors":"J. Han, Hyun-jung Kim","doi":"10.1080/10293523.2020.1870860","DOIUrl":"https://doi.org/10.1080/10293523.2020.1870860","url":null,"abstract":"ABSTRACT It is difficult to predict future payoffs for initial public offerings (IPOs), since the multiple valuation method used to determine IPOs’ prices provides estimates by reflecting current sentiments in specific market environments. As our model reflects accounting information and stock price, we find that the mean absolute percentage error that verifies the accuracy of IPO stock valuation improves return on investment by 15% to 20%. This can help shareholders and investors accurately estimate stock prices and engage in efficient investment decision-making, while contributing to fintech by applying machine learning to traditional techniques to analyse investment opportunities and optimise trading strategies.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"50 1","pages":"17 - 31"},"PeriodicalIF":0.9,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10293523.2020.1870860","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43829384","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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