A Test of the Investor's Daily Stock Ranking System

Olson, Dennis O, et al
Authors registered in the RePEc Author Service: Dennis Olson

The Financial Review, 1998, vol. 33, issue 2, 161-75

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.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:33:y:1998:i:2:p:161-75

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