作为股票收益预测指标的移动平均距离

IF 1.2 Q3 BUSINESS, FINANCE Review of Financial Economics Pub Date : 2020-09-18 DOI:10.1002/rfe.1118

Doron Avramov, Guy Kaplanski, Avanidhar Subrahmanyam

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引用次数: 0

摘要

价格的短期和长期移动平均线（MAD）之间的距离可以预测横截面上的未来股票收益。配套对冲组合的年化价值加权阿尔法约为 9%，其可预测性超越了动量、52 周高点、盈利能力和其他突出的异常现象。基于 MAD 的投资收益在机构面临合理交易成本的情况下依然存在，而且多头相对于空头更为强劲。

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Moving average distance as a predictor of equity returns

The distance between short- and long-run moving averages of prices (MAD) predicts future equity returns in the cross-section. Annualized value-weighted alphas from the accompanying hedge portfolios are around 9%, and the predictability goes beyond momentum, 52-week highs, profitability, and other prominent anomalies. MAD-based investment payoffs survive reasonable trading costs faced by institutions, and are stronger on the long side relative to the short counterpart.

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来源期刊

Review of Financial Economics BUSINESS, FINANCE-

CiteScore

2.80

自引率

0.00%

发文量

期刊介绍： The scope of the Review of Financial Economics (RFE) is broad. The RFE publishes original research in finance (e.g. corporate finance, investments, financial institutions and international finance) and economics (e.g. monetary theory, fiscal policy, and international economics). It specifically encourages submissions that apply economic principles to financial decision making. For example, while RFE will publish papers which study the behavior of security prices and those which provide analyses of monetary and fiscal policies, it will offer a special forum for articles which examine the impact of macroeconomic factors on the behavior of security prices.