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来源类型Working Paper
规范类型报告
DOI10.3386/w17298
来源IDWorking 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
URLhttps://www.nber.org/papers/w17298
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/574973
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Christopher Avery,Judith A. Chevalier,Richard J. Zeckhauser. The \"CAPS\" Prediction System and Stock Market Returns. 2011.
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