| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17298 |
| 来源ID | Working Paper 17298 |
| The \"CAPS\" Prediction System and Stock Market Returns | |
| Christopher Avery; Judith A. Chevalier; Richard J. Zeckhauser | |
| 发表日期 | 2011-08-18 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We study the predictive power of approximately 2.5 million stock picks submitted by individual users to the "CAPS" website run by the Motley Fool company (www.caps.fool.com). These picks prove to be surprisingly informative about future stock prices. Indeed, a strategy of shorting stocks with a disproportionate number of negative picks on the site and buying stocks with a disproportionate number of positive picks produces a return of over nine percent per annum over the sample period. These results are mostly driven by the fact that negative picks on the site strongly predict future stock price declines; positive picks on the site produce returns that are statistically indistinguishable from the market. A Fama French decomposition suggests that these results are largely due to stock-picking rather than style factors or market timing. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w17298 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574973 |
| 推荐引用方式 GB/T 7714 | Christopher Avery,Judith A. Chevalier,Richard J. Zeckhauser. The \"CAPS\" Prediction System and Stock Market Returns. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17298.pdf（429KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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