The Profitability of the Moving Average Strategy in the French Stock Market

2014 ◽  
pp. 21-38 ◽  
Author(s):  
Hung T. Nguyen ◽  
Hang V. D. Pham ◽  
Nguyen Hung
Keyword(s):  
Stock Market ◽  
Transaction Costs ◽  
Strong Evidence ◽  
Abnormal Return ◽  
Moving Average ◽  
Risk Exposure ◽  
Cross Sectional ◽  
The Cross ◽  
Better Than

This paper studies the cross-sectional profitability of moving average timing portfolios in the French stock market over the period from January 1, 1995 to December 31, 2012. The results provide strong evidence that the moving average timing outperforms the buy-and-hold strategy with higher returns and less risk exposure. On average, moving average portfolios generate an abnormal return of 3.72% per annum and always perform better than buy-and-hold benchmark portfolios across different lag length and volatility portfolios. Moreover, our results prevail after we control for transaction costs. Keywords:Technical analysis, moving average, cross-sectional profit

Single step estimation of ARMA roots for non-fundamental nonstationary fractional models

2022 ◽  
Author(s):  
Ignacio N Lobato ◽  
Carlos Velasco
Keyword(s):  
Stock Market ◽  
Strong Evidence ◽  
Long Memory ◽  
Trading Volume ◽  
Moving Average ◽  
Single Step ◽  
Arma Process ◽  
Dow Jones Industrial Average ◽  
Fractional Models ◽  
Stock Market Trading

Abstract We propose a single step estimator for the autoregressive and moving-average roots (without imposing causality or invertibility restrictions) of a nonstationary Fractional ARMA process. These estimators employ an efficient tapering procedure, which allows for a long memory component in the process, but avoid estimating the nonstationarity component, which can be stochastic and/or deterministic. After selecting automatically the order of the model, we robustly estimate the AR and MA roots for trading volume for the thirty stocks in the Dow Jones Industrial Average Index in the last decade. Two empirical results are found. First, there is strong evidence that stock market trading volume exhibits non-fundamentalness. Second, non-causality is more common than non-invertibility.

scholarly journals ЩОДО ПИТАННЯ ПРО РАЦІОНАЛЬНУ ФОРМУ ПРЕСОВАНОГО БУЛЬБОКОСИНЦЯ

2020 ◽  
pp. 165-172
Author(s):  
А. Г. Дибир ◽  
А. А. Кирпикин ◽  
Н. И. Пекельный
Keyword(s):  
Service Life ◽  
Residual Stresses ◽  
Cross Section ◽  
Transverse Load ◽  
Shear Stresses ◽  
Cross Sectional ◽  
The Cross ◽  
Sectional Shape ◽  
Aircraft Panels ◽  
Better Than

In airplane building and helicopter engineering a bulb angle bar  an angle bar with a bulb at the end of a wall are widespread. They are better than a simple angle bar, since they have higher critical stresses under compression more than the proportionality limit. They are better than T bar, as T bar are fastened with two rows of rivets, which impairs tightness. Bulb angle bar are better than Z bar. The latter are higher, which reduces the structural height of the cross section and increases the load on the panel and usually have an excess cross-sectional area. Bulb angle bars are widely used in the structure of metal fuselages of airplanes and helicopters, in the tail boom of helicopters, in the wing and tail unit of light aircraft, in flaps, ailerons and rudders. However, modern the bulb angle bar have a significant drawback.When a bulb angle bar is loaded by a transverse load from the skin in the wing structure, tail unit, fuselage, except of normal stresses from bending of the stringer with attached skin, supported by ribs or frames, additional normal and shear torsional stresses arise. This torsion is caused by the fact that the lateral load is not applied at the center of the bend. Additional stresses reduce the service life and tightness of the structure in this place. An altered cross-sectional shape of the bulb is proposed for use in light aircraft panels to increase their strength and service life. The change in shape had a significant impact on the location of the center of the bend in the cross section. The determination of the position of the center of the bend in the balloncube was carried out using the Wagner model with walls not working for shear stresses. The modified cross-sectional shape of the bulbogon allowed to reduce the level of residual stresses after the panels were assembled, to rationally transfer the load from the casing to the stringer and to improve the technology of their assembly in the panels. It is recommended to drill holes for rivets in the stringer in the middle of the entire width of its shelf, taking into account the wall.A modified cross-sectional shape of a corner with bulb is proposed for use in light aircraft panels. The change in shape had a significant impact on the location of the center of the bend in the cross section. This made it possible to reduce the level of residual stresses after the assembly of the panels, to rationally transfer the load from the casing to the stringer and to improve the technology of their assembly.

scholarly journals Experiences in the evaluation of carcass value of live pigs by ultrasonic photography

1975 ◽  
Vol 47 (6) ◽  
pp. 517-532
Author(s):  
Mikko Varo ◽  
Marjatta Perälä ◽  
Matti Ojala ◽  
Hannu Varo
Keyword(s):  
Mean Value ◽  
Area Measurement ◽  
Cross Sectional ◽  
A Value ◽  
Combined Use ◽  
Fat Thickness ◽  
The Cross ◽  
Thickness Measurements ◽  
Ultrasonic Thickness ◽  
Better Than

In the present study it was found that the mean cross-sectional lean area of three ultrasonic photographs has a closer correlation than any one of the three individual areas to the cross-sectional lean area measured from the carcass. The correlation of this mean value with the lean + bone amount of the most valuable part of the half carcass approached that of the cross-sectional area of the lean measured from the carcass. The correlation of the ultrasonic area measurements with the carcass amounts of fat and lean -f- bone and with the fat-lean ratio calculated from these was closer than that of the ultrasonic thickness measurements. The fat-lean ratio calculated from the areas was also slightly better correlated to carcass quality than was the ratio calculated from the thickness measurements. In other respects the fat thickness measurements appeared to be better than area measurement. Although the measurement of lean correlated to the carcass a value of the animal more poorly than the fat measurements, the highest correlations were nevertheless obtained by the combined use of the fat and lean measurements.

scholarly journals VAR AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS: AN EMERGING MARKET EVIDENCE

2014 ◽  
Vol 15 (3) ◽  
pp. 441-459 ◽  
Author(s):  
Dar-Hsin Chen ◽  
Chun-Da Chen ◽  
Su-Chen Wu
Keyword(s):  
At Risk ◽  
Risk Factor ◽  
Stock Market ◽  
Stock Returns ◽  
Value At Risk ◽  
Emerging Market ◽  
Explanatory Power ◽  
Cross Sectional ◽  
Expected Stock Returns ◽  
The Cross

In this paper we investigate the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in a less developed stock market – Taiwan's stock market. The main purpose is to examine whether the Value-at-Risk factor has marginal explanatory power related to the Fama-French three-factor model. The empirical results show that Value-at-Risk can account for the average stock returns at both 1% and 5% significance levels based on cross-sectional regression analysis. Moreover, from the perspective of the time series regression, the Value-at-Risk factor can also demonstrate the variation of the stock market, especially for the larger companies in the Taiwan stock market.

The Relationship Between Economic Characteristics and Alternative Annual Earnings Persistence Measures

1999 ◽  
Vol 74 (1) ◽  
pp. 105-120 ◽  
Author(s):  
Stephen P. Baginski ◽  
Kenneth S. Lorek ◽  
G. Lee Willinger ◽  
Bruce C. Branson
Keyword(s):  
Lower Order ◽  
Stock Exchange ◽  
Moving Average ◽  
Capital Intensity ◽  
Higher Order ◽  
Earnings Persistence ◽  
Barriers To Entry ◽  
Arima Models ◽  
Cross Sectional ◽  
The Cross

Accounting researchers (and potentially others) generally select rather simple, lower-order, time-series models to develop proxies for earnings persistence. However, measures of persistence produced by such models are not related to characteristics of the firm's economic environment that are expected to influence earnings persistence. Using a sample of 162 calendar year-end New York Stock Exchange firms, we document the cross-sectional relations between a set of relatively constant, firm-specific, economic characteristics that are theoretical determinants of persistence and measures of earnings persistence derived from both lower-order and higher-order Autoregressive, Integrated, Moving-Average (ARIMA) models. When lower-order ARIMA models are used to generate measures of earnings persistence, the cross-sectional regression models measuring the association between persistence and economic determinants of persistence yield very low adjusted R2s. In sharp contrast, when differenced, higher-order ARIMA models are used to measure earnings persistence, adjusted R2s are in the 10–12 percent range. Moreover, independent variables such as capital intensity, barriers-to-entry, and product-type are all significant in the directions suggested by economic theory. Our results are consistent with Lipe and Kormendi (1994) who argue that higher-order ARIMA models do a better job of capturing the valuerelevance of current period earnings than lower-order models.

Casting of Aluminum Alloy Rod by a Single Wheel with V-Groove

2018 ◽  
Vol 792 ◽  
pp. 53-58 ◽  
Author(s):  
Toshio Haga ◽  
Taisei Miyake
Keyword(s):  
Aluminum Alloy ◽  
Mild Steel ◽  
Molten Metal ◽  
Metal Stream ◽  
Convex Shape ◽  
Cross Sectional ◽  
Steel Wheel ◽  
The Cross ◽  
Sectional Shape ◽  
Better Than

Casting of a convex rod from 5182 aluminum alloy was attempted using a single wheel caster with a V-shape groove. The diameter of the mild steel wheel was 600 mm, the angle of the vortex was 90 degrees, and the width of the groove was 20 mm. Important factors to cast a rod with a convex shape are the speed of the molten metal ejected from a hole-nozzle and the collapse angle between the molten metal stream and the wheel. Important factors that affected the cross sectional shape of cast-bar were the speed of molten metal ejected from the hole-nozzle and the collapse angle of the molten metal against the wheel. A collapse angle close to 90° was better than an angle less than 90°. Casting speeds of 5 m/min and 15 m/min were employed, which resulted in convex cross sectional rod areas of 30 mm2 to 190 mm2.

Conditional multifactor asset pricing model and market anomalies

2013 ◽  
Vol 5 (4) ◽  
pp. 271-294 ◽  
Author(s):  
Saumya Ranjan Dash ◽  
Jitendra Mahakud
Keyword(s):  
Stock Market ◽  
Size Effect ◽  
Investment Strategy ◽  
Momentum Effect ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Content Type ◽  
Short Run ◽  
The Cross ◽  
Indian Stock Market

Purpose – The purpose of this paper is to investigate the firm-specific anomaly effect and to identify market anomalies that account for the cross-sectional regularity in the Indian stock market. The paper also examines the cross-sectional return predictability of market anomalies after making the firm-specific raw return risk adjusted with respect to the systematic risk factors in the unconditional and conditional multifactor specifications. Design/methodology/approach – The paper employs first step time series regression approach to drive the risk-adjusted return of individual firms. For examining the predictability of firm characteristics on the risk-adjusted return, the panel data estimation technique has been used. Findings – There is a weak anomaly effect in the Indian stock market. The choice of a five-factor model (FFM) in its unconditional and conditional specifications is able to capture the book-to-market equity, liquidity and medium-term momentum effect. The size, market leverage and short-run momentum effect are found to be persistent in the Indian stock market even with the alternative conditional specifications of the FFM. The results also suggest that it is naï argue for disappearing size effect in the cross-sectional regularity. Research limitations/implications – Constrained upon the data availability, certain market anomalies and conditioning variables cannot be included in the analysis. Practical implications – Considering the practitioners' prospective, the results indicate that the profitable investment strategy with respect to the small size effect is still persistent and warrants close-ended mutual fund investment portfolio strategy for enhancing the long-term profitability. The short-run momentum effect can generate potential profits given a short-term investment horizon. Originality/value – This paper provides the first-ever empirical evidence from an emerging stock market towards the use of alternative conditional multifactor models for the complete explanation of market anomalies. In an attempt to analyze the anomaly effect in the Indian stock market, this paper provides further evidence towards the long-short hedge portfolio return variations in terms of a wide set of market anomalies that have been documented in prior literature.

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