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| Tekijä: | Ciccone, S. J. |
| Otsikko: | Forecast Dispersion and Error versus Size, Book-To- Market Ratio and Momentum: a Comparison of Anomalies from 1992 to 2001 |
| Lehti: | Journal of Asset Management
2003 : MAR, VOL. 3:4, p. 333-344 |
| Asiasana: | FORECASTING MARKET EFFICIENCY STOCK RETURNS USA STOCKS |
| Kieli: | eng |
| Tiivistelmä: | Anomalies based on forecast properties, size, book-to- market ratio and momentum are evaluated during the period 1992-2001 for a sample of US stocks using an annual buy-and-hold strategy. The forecast property, book-to-market and momentum anomalies all clearly persist during the sample period, while the size anomaly disappears. Although the book-to-market anomaly is the most powerful in magnitude, the forecast property anomalies are the most consistent in year-by-year performance. Combining the forecast property anomalies with either the momentum or book-to-market anomalies results in spectacular return performance. Overall, investors should consider taking advantage of the forecast property anomalies when selecting their stock holdings. |
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