S&P 500 stocks
Searching for the Sustainably Profitable Stocks: Evidence on S&P 500 Companies
... winner stocks and short in recent loser stocks earns positive excess returns over horizons of 3-12 ...the stocks perform poorly in the past outperform the stocks perform well in the past over ...
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Kou Jump Diffusion Model: An Application to the S&P 500; Nasdaq 100 and Russell 2000 Index Options
... Poor 500 (SP 500), Nasdaq 100 and Russell 2000 for a total of 26, 968 call options (the reason is to check whether technology and or small stocks behave in a different manner than those stocks ...
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Investment Style Preference and its Effect Upon Performance of Tracking Portfolios
... Some stocks represented in the index at the end of the in‑sample period did not have a sufficiently long history to be contained fully in the in‑sample and out‑of‑sample ...some stocks were too fresh and ...
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Stock market efficiency in the S&P 500 with respect to day of the week
... individual stocks and the treasury bills on ...individual stocks and that treasury bills earn a below-average return on Monday” (Gibbons and Hess, ...
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Investment Performance of Machine Learning: Analysis of S&P 500 Index
... The foremost object of machine learning models is to predict stock price movement and buy stocks when prices rise and short stocks when prices fall, hoping to obtain profits both from rising and falling. ...
8
Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing
... the stocks in the ...when stocks are added or deleted, the divisor is adjusted to offset the change in market value of the ...the stocks included in the ...
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Shewhart methodology for modelling financial series : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Statistics at Massey University, Palmerston North, New Zealand
... from S&P 500 stocks and the findings show that in most of the scenarios, contradictory conclusions were made as a result of special cause ...
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Predictability of the daily high and low of the S&P 500 index
... Research of George and Hwang (2004) provide precedent for this type of model, when they suggest building portfolios with stocks whose prices are near their 52-week high as a way of generating superior returns. ...
13
The Turn-Of-The-Month Effect In The S&P 500 (2001-2011)
... riel (1987) first documents the monthly return anomaly in the US stock market. He finds that stocks exhibit positive returns only around the beginning and during the first half of the calendar months. Lakonishok ...
8
An Alternative Explanation for Stock Price Increases among the S&P 500 following a Stock Buyback Announcement
... the S&P 500 Index, which is a widely followed broad-based market index that “tracks the total market value of 500 of the largest ...of stocks and markets prior to 2005, and ...
10
Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm
... of stocks selected from a large pool of stocks listed in the single market ...of stocks selected in the ...of stocks by using a priority index function and optimization of the weights of the ...
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Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure
... This paper decomposes volatility proxies according to upward and downward price movements in high-frequency financial data, and uses this decomposition for forecasting volatility. The paper introduces a simple Garch-type ...
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Are Mispricings Long Lasting or Short Lived? Evidence from S & P 500 Index ETF Options
... The dataset used in this study differs from prior literatures. Most existing stu- dies are based on the historical end-of-day mid prices of index options, retrieved from Option Metric database. The data used in this ...
12
Co Movement of Pakistan Stock Exchange with India, S&P 500 and Nikkei 225: A Time frequency (Wavelets) Analysis
... Aguiar-Conraria et al. (2008) have pointed out the two very important features of the wavelets analysis. First, the (discrete) wavelet transform has often been applied in the in most of the economic applications as a low ...
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Mixed fractional Brownian motion, short and long term Dependence and economic conditions: the case of the S&P 500 Index
... the S&P-500 Index, sampled daily over the period ...The S&P-500 Index is characterized by both short and long-term ...
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A Quantitative Analysis of Integrated Reporting via CAGR on Publicly Traded U S Corporations Listed in the S & P 500
... Multiple Capital Model Leveraging the increased importance of stakeholder concerns and importance of reporting a more comprehensive view of the organization, including both short term fi[r] ...
17
Large cap versus small cap, a downside risk comparison
... 500 Index of -15.13%. Or, in other words, given a negative monthly return value, the probability of exceed it in any given year is higher in the Russell 2000 Index than the S&P 500 Index, ...
11
Financial Bubble Detection : A Non Linear Method with Application to S&P 500
... The modeling process of bubbles, using advanced mathematical and econometric techniques, is a young field of research. In this context, significant model misspecification could result from ignoring potential non- ...
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Forecasting S&P 500 Stock Index Using Statistical Learning Models
... In section 2, this paper calculates the correlation between different features and the moving directions of S&P 500. Due to the highest correlation between crude oil and the moving direction, it ...
9
Price Deviations of S&P 500 Index Options from the Black Scholes Formula Follow a Simple Pattern
... Using data on the prices of SPX options, Dumas, Fleming, and Whaley 1998 perform out-of-sample empirical tests of the deterministic volatility functions and find that they are outperform[r] ...
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