Timing the market: the economic value of price extremes

Timing the market: the economic value of price extremes

Abstract By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML. PML significantly contributed to forecasting PM...

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Bibliographic Details
Main Authors: Haibin Xie, Shouyang Wang
Format: Article
Language:English
Published: SpringerOpen 2018-11-01
Series:Financial Innovation
Subjects:
Price extremes
Return decomposition
Asymmetry
Return predictability
Online Access:http://link.springer.com/article/10.1186/s40854-018-0110-4

Internet

http://link.springer.com/article/10.1186/s40854-018-0110-4

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