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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Technical analysis and artificial neural networks as prediction tools in the equity markets

Mylonas, Petros January 2006 (has links)
This study investigates the possible forecast power of a wide spectrum of technical rules on the equity markets. Two equity indices (Nasdaq Composite and Athens General Index) have been chosen as case studies. The results of the tests show that there is evidence of forecast power for many of the technical strategies. The optimization methodology improves substantially the achieved returns. The performance is higher in the case of Nasdaq Composite which could be a paradox since it is a much more developed and efficient market. The performance of technical strategies deteriorates dramatically during the most recent period. When transaction costs are taken into account in a realistic way, the technical trading strategies fail in the majority of the cases to generate higher returns than a naIve buyand- hold strategy. It is proved that transaction costs generate an inflated effect on the total profits which can be more than double the nominal amount paid in these costs. The importance of trading cost has been underestimated by many previous studies mainly due to unrealistic ways for their calculation. The unsatisfactory performance of technical analysis during different time horizons and data is mainly due to its static nature that deprives the method from adjusting to the constantly changing market and economic conditions. The proposed solution is a trading model that combines artificial neural networks, genetic algorithms and technical analysis. The results are very optimistic since there is evidence for significant forecast power and consistent abnormal returns in a very difficult short term prediction as it is to predict next day's market direction.
2

Corporate performance measures and stocks' prices returns : the case of Greece, 1992-2001

Maditinos, Dimitrios I. January 2005 (has links)
This study aims first at examining the value relevance of traditional accounting (EPS, ROI, and ROE) and value-based (SVA and EVA®) performance measures, in explaining stock returns’ variation in the Athens Stock Exchange (ASE). Pooled time-series, cross sectional data on 163 Greek companies listed in the ASE over the period 1991-2001 have been employed to examine this question. Relative information content tests revealed EPS, followed by EVA®, to be more closely associated with stock returns than ROI, ROE or SVA. However, the incremental information content tests suggested that EVA® adds more explanatory power to EPS than ROI, ROE and SVA. The significant role or ROI was also revealed. Since the performance measures under examination could not explain more than 13 percent of the variation in stock returns, the second aim of this study was to examine the perceptions and the investment strategies of market participants investing in the ASE. An empirical survey conducted from December 2003 to June 2004 asking from all user groups (official Members of the ASE, Mutual Funds Management Companies, Portfolio Investment Companies, Listed Companies, brokers, and Individual Investors) participating in the ASE to determine their investing practices. Data from 435 returned questionnaires revealed that although the professional investors follow the international practices (use fundamental analysis mostly), the individual investors and the brokers were more short-term focussed. Additionally, individual investors showed that they rely more on their instinct/experience and information from rumours and from the newspapers/media. However, this empirical research revealed the dynamic that EVA® conveys and the increasing interest of market participants in Greece. Overall, the contribution of his study comes from the fact that introduces the shareholder value added approach in the Greek capital market, and moreover, from its two unique samples, the methodology, and the revealed findings. Finally, it serves as a market paradigm both for the Greek context and for the emerging markets with the same market characteristics as Greece.

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