Browsing by Subject "Excess returns"

Now showing 1 - 2 of 2
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    Bidirectional relationship between investor sentiment and excessreturns : new evidence from the wavelet perspective
    (2015) Marczak, Martyna; Beißinger, Thomas
    This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead–lag relation between these variables. The wavelet phase angle allows for decoupling short– and long–run relations and is additionally capable of identifying time–varying comovement patterns. By applying this concept to excess returns of the monthly S&P500 index and two alternative monthly US sentiment indicators we find that in the short run (until 3 months) sentiment is leading returns whereas for periods above 3 months the opposite can be observed.
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    Testing market imperfections via genetic programming
    (2011) Jansen, Sebastian; Burghof, Hans-Peter
    The thesis checks the validity of the efficient markets hypothesis focusing on stock markets. Technical trading rules are generated by using an evolutionary optimization algorithm (Genetic Programming) based on training samples. The trading rules are subsequently applied to data samples unknown to the algorithm beforehand. The benchmark strategy consists of a classic buy-and-hold strategy in the DAX and the Hang Seng. The trading rules generally fail at consistently beating the benchmark thus indicating that market efficiency holds.