Can investors gain from investing in certain sectors?
Paresh Kumar Narayan,
Huson Ali Ahmed and
Seema Narayan ()
Journal of International Financial Markets, Institutions and Money, 2017, vol. 48, issue C, 160-177
In this paper, we analyse investor behaviour on the NYSE. We show that average returns from dynamic trading strategies, regardless of the different portfolio constraints, out-perform passive trading strategies in all sectors. In addition, the performance of dynamic strategies is much more impressive in some sectors than in others. We also undertake a profitability and safety analysis based on a portfolio of high-performing sectors and show that at higher levels of expected returns, a rise in profitability comes at the expense of less safety. Our results, on the whole, reveal that investors’ can gain substantially by investing in certain sectors.
Keywords: Mean-variance; Profitability; Dynamic trading strategies; Portfolio; Sectors (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:48:y:2017:i:c:p:160-177
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