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- W1552967530 abstract "We identified 4500 US stocks with year ending losses of 50 percent or more during the 2001-2011 period. We screened our falling knives for financial strength to promote a greater likelihood of recovery and minimize any survivorship bias. We added the constraints of Altman Z-Scores, debt/equity ratio, and current ratio to our data set. We use GARCH-in-mean model to control the risk of the strategies. The results show consistent improvement of risk-standardized return profiles of the strategies in comparison with buy and hold strategy." @default.
- W1552967530 created "2016-06-24" @default.
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- W1552967530 date "2012-01-01" @default.
- W1552967530 modified "2023-09-27" @default.
- W1552967530 title "Tactical allocation in falling stocks: Combining momentum and solvency ratio signals" @default.
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