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  • Use of the TRP ratio in selected countries = Uporaba TRP indikatorjev v izbranih državah
    Munda, Gal ; Strašek, Sebastjan
    This article proposes a new way of using publically available information in order to outperform the market. We suggest that, under the assumption that the"target-to-real ratio" is stationary, it ... could be implemented in several trading and/or portfolio optimization techniques. We use the target price-the price analysts "predict" when issuing recommendations, which always includes a time frame-to develop the TRP ratio. In practice, almost all target prices are estimated prices for the subsequent 6 to 12 months. It should be emphasized that such research has only recently become feasible as the historic data became pub lically available at the end of 2008. We then test the stationarity of the TRP ratio using the Dickey-Fuller Unit Root test. Upon confirming stationarity, we develop an autoregressive (AR1) model to estimate the mean reverted target price. The final part of this research implements this information into the trading model. It uses deviation from the mean-reverted TRP ratio to indicate stock's future potential. Results of the research are astonishing, as our model outperforms the benchmark (a passive, equally weighted strategy) by 55%.
    Vir: Naše gospodarstvo : revija za aktualna gospodarska vprašanja = Our economy : review of current problems in economics. - ISSN 0547-3101 (Letn. 57, št. 1/2, 2011, str. 55-60)
    Vrsta gradiva - članek, sestavni del
    Leto - 2011
    Jezik - angleški
    COBISS.SI-ID - 10578716

    Povezava(-e):

    Digitalna knjižnica Univerze v Mariboru – DKUM
    Digitalna knjižnica Slovenije - dLib.si

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