Is Value Multidimensional? Implications for Style Management and Global Stock Selection

CFA Digest ◽  
1998 ◽  
Vol 28 (2) ◽  
pp. 79-79
Keyword(s):  
Stock Selection ◽  
Global Stock ◽  
Is Value

News volume information: Beyond earnings forecasting in a global stock selection model

2015 ◽  
Vol 31 (2) ◽  
pp. 575-581 ◽  
Author(s):  
Robert A. Gillam ◽  
John B. Guerard ◽  
Rochester Cahan
Keyword(s):  
Selection Model ◽  
Stock Selection ◽  
Earnings Forecasting ◽  
Global Stock

Global Stock Selection Modeling and Efficient Portfolio Construction and Management

2013 ◽  
Vol 22 (4) ◽  
pp. 121-128 ◽  
Author(s):  
John B. Guerard ◽  
Harry Markowitz ◽  
Ganlin Xu
Keyword(s):  
Portfolio Construction ◽  
Stock Selection ◽  
Global Stock

scholarly journals Global Stock Selection with Hidden Markov Model

Risks ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 9
Author(s):  
Nguyet Nguyen ◽  
Dung Nguyen
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Time Series Data ◽  
Hidden Markov ◽  
Series Data ◽  
Stock Selection ◽  
Weighted Score ◽  
Time Periods ◽  
Composite Scores ◽  
Global Stock

Hidden Markov model (HMM) is a powerful machine-learning method for data regime detection, especially time series data. In this paper, we establish a multi-step procedure for using HMM to select stocks from the global stock market. First, the five important factors of a stock are identified and scored based on its historical performances. Second, HMM is used to predict the regimes of six global economic indicators and find the time periods in the past during which these indicators have a combination of regimes that is similar to those predicted. Then, we analyze the five stock factors of the All country world index (ACWI) in the identified time periods to assign a weighted score for each stock factor and to calculate the composite score of the five factors. Finally, we make a monthly selection of 10% of the global stocks that have the highest composite scores. This strategy is shown to outperform those relying on either ACWI, any single stock factor, or the simple average of the five stock factors.

“No Social Scientist Is Value-Free”

PsycCRITIQUES ◽  
2009 ◽  
Vol 54 (32) ◽  
Author(s):  
William F. Flack
Keyword(s):  
Social Scientist ◽  
Is Value
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