University of St.Gallen
research platform alexandria
Publikationen durchsuchen
Publikationen filtern
nach Person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
nach Jahr

On the Predictability of Stock Prices: a Case for High and Low Prices

Massimiliano Caporin, Angelo Ranaldo & Paolo Santucci De Magistris

Kurzfassung Contrary to the common wisdom that asset prices are barely possible to forecast, we show that that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This model captures two fundamental patterns of high and low prices: their cointegrating relationship and the long memory of their difference (i.e. the range), which is a measure of realized volatility. Investment strategies based on FVECM predictions of high/low US equity prices as exit/entry signals deliver a superior performance even on a risk-adjusted basis.
   
Typ Artikel (wissenschaftliche Zeitschrift)
   
Schlagwörter (Tags) high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis
   
Sprache Englisch
Art des Artikels Journal Artikel
Erscheinungsdatum 12-2013
Zeitschrift Journal of Banking and Finance
Verlag Elsevier (Amsterdam)
ISSN 0378-4266
ISSN (online) 1872-6372
DOI 10.1016/j.jbankfin.2013.05.024
Jahrgang bzw. Volume 37
Nummer bzw. Issue 12
Seite(n) 5132-5146
Review Double-Blind Review
   
Zitation Caporin, Massimiliano ; Ranaldo, Angelo ; Santucci de Magistris, Paolo: On the Predictability of Stock Prices: a Case for High and Low Prices. In: Journal of Banking and Finance 37 (2013), Nr. 12, S. 5132-5146, DOI:10.1016/j.jbankfin.2013.05.024.