VSE knjižnice (vzajemna bibliografsko-kataložna baza podatkov COBIB.SI)
  • Beating the market in less developed financial exchange
    Strašek, Sebastjan ; Munda, Gal
    The foundations of the efficient market hypothesis (EMH) are being tested in this article. We propose that using public information (consensus target price), one can develop a s strategy that will ... outperform the benchmark. The average of the target prices is compared to the security's current price in order to calculate the target-to-real-price (TRP) ratio. As the ratio is observed to be stationary, we build upon the feature and propose various ways to implement it into the trading strategy. We create clear and simple-to-implement rules which indicate whether the stock is over/undervalued. We simulate the value of the protfolio based on the buy/sellsignals. Backtesting is used in order to compare the return of the model to the benchmark. Results of the trading strategy are positive, as the model outperforms the passive portfolio by more that 50 %. The strategy is implemented on the emerging market securities, but we note that stationarity of the ratio has already been observed in the developed market, which indicates consistency of the results.
    Vir: Actual problems of economics = Aktualʹni problemi ekonomìki. - ISSN 1993-6788 (no. 1 (127), 2012, str. 425-433)
    Vrsta gradiva - članek, sestavni del
    Leto - 2012
    Jezik - angleški
    COBISS.SI-ID - 10971420

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