IDEAS home Printed from https://ideas.repec.org/a/bla/finrev/v33y1998i2p161-75.html
   My bibliography  Save this article

A Test of the Investor's Daily Stock Ranking System

Author

Listed:
  • Olson, Dennis O, et al

Abstract

This paper examines the profitability of trading strategies derived from stock rankings published in Investor's Business Daily. The best system provides market-adjusted abnormal monthly returns of 1.81 percent from buying S&P 500 stocks, and a 3.18 percent abnormal return on an arbitrage portfolio. Stocks selected for trading have above average volatility, but a portion of abnormal return may be a reward for identifying stocks with short-run sustainable price momentum. Results seem indicative of market inefficiency, but the phenomena may be temporary since abnormal returns are lower during the second half of the data set. Copyright 1998 by MIT Press.

Suggested Citation

  • Olson, Dennis O, et al, 1998. "A Test of the Investor's Daily Stock Ranking System," The Financial Review, Eastern Finance Association, vol. 33(2), pages 161-175, May.
    • Handle: RePEc:bla:finrev:v:33:y:1998:i:2:p:161-75
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ray R. Sturm, 2017. "Schwab’s equity ratings: value added or old news?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 257-275, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:finrev:v:33:y:1998:i:2:p:161-75. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/efaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.