A test of the Investor's Business Daily stock ranking system
A test of the Investor's Daily stock ranking system
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% from buying S&P 500 stocks, and a 3.18% 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
A test of the Investor's Daily stock ranking system
Dennis O. Olson1,*, John Nelson2, Craig Witt3, Charles Mossman4
Article first published online: 9 MAR 2005
Click to view the paper: http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6288.1998.tb01375.x/abstract;jsessionid=8F9EC19219C7DF318D7063BC29CF07A1.d03t01
