Bonenkamp Combining Technical and Fundamental Trading Strategies

Profits, Market Reactions, and Use by Professional Investors
2010
ISBN: 978-3-8349-6076-4
Verlag: Betriebswirtschaftlicher Verlag Gabler
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Deutsch, 160 Seiten, eBook

Reihe: Quantitatives Controlling

Ute Bonenkamp focuses on the combination of two methods of investing: technical trading according to past changes in stock price and fundamental trading according to fundamental information. Using the technical momentum and the fundamental operating cash flow strategies as examples, she empirically shows that combining these two ways of investing is highly profitable.

Dr. Ute Bonenkamp received her doctoral degree at the University of Cologne. Her supervisor was Prof. Dr. Carsten Homburg from the Department of Management Accounting.

Zielgruppe

Research

Autoren/Hrsg.

Bonenkamp, Ute

Inhaltsverzeichnis

1;Geleitwort;6
2;Vorwort;8
3;Table of Contents;10
4;List of Figures;13
5;List of Tables;15
6;List of Abbreviations;17
7;List of Symbols;19
7.1;Latin Symbols;19
7.2;Greek Symbols;23
7.3;Further Symbols;24
8;1 Introduction;25
8.1;1.1 Motivation and Research Questions;25
8.2;1.2 Structure of the Thesis;28
9;2 Basics about Technical and Fundamental Trading;29
9.1;2.1 Efficient Markets versus Active Trading;29
9.2;2.2 Technical Trading Strategies;32
9.2.1;2.2.1 Technical Trading at a Glance;32
9.2.2;2.2.2 The Price Momentum Strategy Jegadeesh and Titman (1993);34
9.3;2.3 Fundamental Trading Strategies;37
9.3.1;2.3.1 Fundamental Trading at a Glance;37
9.3.2;2.3.2 The Operating Cash Flow Strategy Sloan (1996);39
9.4;2.4 Combination of Technical and Fundamental Trading;43
9.4.1;2.4.1 Potential of Combining Fundamental and Technical Trading;43
9.4.2;2.4.2 Related Literature;44
10;3 Combination of Momentum and Operating Cash Flow Strategies;46
10.1;3.1 Idea and Motivation;46
10.2;3.2 Profits of the Pure and Combination Strategies;48
10.2.1;3.2.1 Methodology and Sample;48
10.2.2;3.2.2 Empirical Results and Discussion;54
10.3;3.3 Decomposition of the Outperformance;59
10.3.1;3.3.1 Introduction and Methodology;59
10.3.2;3.3.2 Empirical Results and Discussion;63
10.4;3.4 Alternative Explanations for the Combination Effect;65
10.4.1;3.4.1 Extremity of Momentum and Operating Cash Flows;65
10.4.2;3.4.2 Earnings Surprises, Accrual Anomaly, and Idiosyncratic Risk;66
10.5;3.5 Practicability of the Trading Strategies;71
10.5.1;3.5.1 Portfolio Size;71
10.5.2;3.5.2 Stock Size;72
10.5.3;3.5.3 Stock Liquidity;74
10.5.4;3.5.4 Success after Trading Costs;75
10.6;3.6 Summary and Conclusion;77
11;4 A Closer Look at the Market Reactions;79
11.1;4.1 Introduction and Motivation;79
11.2;4.2 Preliminary Analysis: Reference Trading Strategy;81
11.3;4.3 Market Reactions in the Short Term;85
11.4;4.4 Returns Surrounding Earnings Announcements;91
11.5;4.5 Influence of Investor Attention;98
11.6;4.6 Market Reactions in the Long Term;104
11.7;4.7 Summary and Conclusion;110
12;5 Fundamental and Technical Trading by Mutual Funds;113
12.1;5.1 Introduction and Motivation;113
12.2;5.2 Framework for the Mutual Fund Analysis;115
12.3;5.3 Stock Universe of Mutual Funds;122
12.4;5.4 Pursuit of the Trading Strategies;127
12.5;5.5 Success of the Trading Strategies;144
12.6;5.6 Decomposition of Mutual Fund Returns;157
12.7;5.7 Summary and Conclusion;163
13;6 Concluding Remarks;165
13.1;6.1 Summary of Results;165
13.2;6.2 Limitations and Propositions for Future Research;167
14;References;169

Basics about Technical and Fundamental Trading.- Combination of Momentum and Operating Cash Flow Strategies.- A Closer Look at the Market Reactions.- Fundamental and Technical Trading by Mutual Funds.- Concluding Remarks.

Über Autor(innen)

Dr. Ute Bonenkamp received her doctoral degree at the University of Cologne. Her supervisor was Prof. Dr. Carsten Homburg from the Department of Management Accounting.