期刊
PACIFIC-BASIN FINANCE JOURNAL
卷 39, 期 -, 页码 224-242出版社
ELSEVIER
DOI: 10.1016/j.pacfin.2016.06.008
关键词
BOS ratio; Combined investment strategy; Financial statement analysis; Fundamental analysis; Momentum strategies; Technical analysis; Trading volume
This study examines how fundamental accounting information can be used to supplement technical information to separate momentum winners from losers. We first introduce a ratio of liquidity buy volume to liquidity sell volume (BOS ratio) to proxy the level of information asymmetry for stocks and show that the BOS momentum strategy can enhance the profits of momentum strategy. We further propose a unified framework, produced by incorporating two fundamental indicators the-FSCORE (Piotroski, 2000) and the GSCORE (Mohanram, 2005) into momentum strategy. The empirical results show that the combined investment strategy includes stocks with a larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns. (C) 2016 Published by Elsevier B.V.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据