| Title: | Use of the TRP ratio in selected countries |
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| Authors: | ID Munda, Gal (Author)
ID Strašek, Sebastjan (Author) |
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| Files: |  http://www.dlib.si/details/URN:NBN:SI:DOC-ZBTODT9E
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| Language: | English |
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| Work type: | Not categorized |
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| Typology: | 1.01 - Original Scientific Article |
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| Organization: | EPF - Faculty of Business and Economics
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| Abstract: | This article proposes a new way of using publically available information in order to outperform the market. We suggest that, under the assumption that the"target-to-real ratio" is stationary, it could be implemented in several trading and/or portfolio optimization techniques. We use the target price-the price analysts "predict" when issuing recommendations, which always includes a time frame-to develop the TRP ratio. In practice, almost all target prices are estimated prices for the subsequent 6 to 12 months. It should be emphasized that such research has only recently become feasible as the historic data became pub lically available at the end of 2008. We then test the stationarity of the TRP ratio using the Dickey-Fuller Unit Root test. Upon confirming stationarity, we develop an autoregressive (AR1) model to estimate the mean reverted target price. The final part of this research implements this information into the trading model. It uses deviation from the mean-reverted TRP ratio to indicate stock's future potential. Results of the research are astonishing, as our model outperforms the benchmark (a passive, equally weighted strategy) by 55%. |
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| Keywords: | hipoteze, trg, učinkovitost, trg kapitala, cene |
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| Publisher: | Društvo ekonomistov Maribor |
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| Year of publishing: | 2011 |
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| Number of pages: | str. 55-60 |
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| Numbering: | Letn. 57, št. 1/2 |
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| PID: | 20.500.12556/DKUM-52277  |
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| UDC: | 336.76:336.67 |
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| ISSN on article: | 0547-3101 |
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| COBISS.SI-ID: | 10578716 |
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| NUK URN: | URN:SI:UM:DK:MS3V0NOR |
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| Publication date in DKUM: | 10.07.2015 |
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| Views: | 905 |
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| Downloads: | 43 |
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| Metadata: |    |
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| Categories: | Misc.
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