Earnings forecasting in a global stock selection model and efficient portfolio construction and management
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DOI: 10.1016/j.ijforecast.2014.10.003
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Citations
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Cited by:
- Etienne Theising, 2024. "Distributional Reference Class Forecasting of Corporate Sales Growth With Multiple Reference Variables," Papers 2405.03402, arXiv.org.
- Beheshti, Bijan, 2015. "A note on the integration of the alpha alignment factor and earnings forecasting models in producing more efficient Markowitz Frontiers," International Journal of Forecasting, Elsevier, vol. 31(2), pages 582-584.
- Etienne Theising & Dominik Wied & Daniel Ziggel, 2023. "Reference class selection in similarity‐based forecasting of corporate sales growth," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1069-1085, August.
- Moh’d, Shamis Said & Ozgur, Ceyhun & Mohd, Mohd Yaziz & Khalfan, Mohamed Hafidh, 2021. "The Combined Effects of Managerial and Operational Performance of Various Fundamental Components on Stock Selection," OSF Preprints mqh46, Center for Open Science.
- Masoud Rahiminezhad Galankashi & Farimah Mokhatab Rafiei & Maryam Ghezelbash, 2020. "Portfolio selection: a fuzzy-ANP approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-34, December.
- John B. Guerard & Ganlin Xu & Harry Markowitz, 2021. "A further analysis of robust regression modeling and data mining corrections testing in global stocks," Annals of Operations Research, Springer, vol. 303(1), pages 175-195, August.
- Buncic, Daniel & Stern, Cord, 2019.
"Forecast ranked tailored equity portfolios,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Buncic, Daniel & Stern, Cord, 2018. "Forecast ranked tailored equity portfolios," MPRA Paper 90382, University Library of Munich, Germany.
- Chen, Wei & Zhang, Haoyu & Jia, Lifen, 2022. "A novel two-stage method for well-diversified portfolio construction based on stock return prediction using machine learning," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Gillam, Robert A. & Guerard, John B. & Cahan, Rochester, 2015. "News volume information: Beyond earnings forecasting in a global stock selection model," International Journal of Forecasting, Elsevier, vol. 31(2), pages 575-581.
- Ganggang Guo & Yulei Rao & Feida Zhu & Fang Xu, 2020. "Innovative deep matching algorithm for stock portfolio selection using deep stock profiles," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
- John B. Guerard, Jr. & Robert A. Gillam & Harry Markowitz & Ganlin Xu & Shijie Deng & Ziwei (Elaine) Wang, 2018. "Data Mining Corrections Testing in Chinese Stocks," Interfaces, INFORMS, vol. 48(2), pages 108-120, April.
- Xiaoyu Ji & Hua Ke, 2017. "No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate," Fuzzy Optimization and Decision Making, Springer, vol. 16(2), pages 221-234, June.
- Qu, Li, 2021. "A new approach to estimating earnings forecasting models: Robust regression MM-estimation," International Journal of Forecasting, Elsevier, vol. 37(2), pages 1011-1030.
- Shao, Barret Pengyuan & Rachev, Svetlozar T. & Mu, Yu, 2015. "Applied mean-ETL optimization in using earnings forecasts," International Journal of Forecasting, Elsevier, vol. 31(2), pages 561-567.
- John B. Guerard & Harry Markowitz & Ganlin Xu & Ziwei Wang, 2018. "Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth," Annals of Operations Research, Springer, vol. 267(1), pages 203-219, August.
- Felix Divo & Eric Endress & Kevin Endler & Kristian Kersting & Devendra Singh Dhami, 2024. "Forecasting Company Fundamentals," Papers 2411.05791, arXiv.org.
- Xu, Peng, 2024. "Testing out-of-sample portfolio performance using second-order stochastic dominance constrained optimization approach," International Review of Financial Analysis, Elsevier, vol. 95(PA).
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Keywords
Earnings Forecasting; I/B/E/S; Portfolio optimization; Information ratio; Efficient frontier; Active returns;All these keywords.
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