Filtering the piotroski portfolio: the roles of economic sector, small cap, and technical momentum
| dc.contributor.author | Rada, Roy | |
| dc.date.accessioned | 2020-11-13T16:16:39Z | |
| dc.date.available | 2020-11-13T16:16:39Z | |
| dc.description.abstract | Background and Objective: In one of the most cited, value-investing results, a portfolio of approximately 100 stocks is selected based on value and fundamental factors. If an investor wants to select 10 of those recommended stocks, then to what extent might economic sector diversification, market capitalization, and technical momentum indicators be useful? Method and Results: In this paper, several strategies produce the 10-stock portfolio that retains the performance of the 100-stock portfolio. Choosing the smallest market cap stocks tends to make the greatest, positive difference in gains, but deeper investigation reveals that those stocks may not be practically accessible investment vehicles. | en_US |
| dc.description.sponsorship | The author wishes to thank his former Ph.D. students, Dr. Jie Du and Dr. Hayden Wimmer, for discussions about semi-automated stock investing. | en_US |
| dc.description.uri | https://www.sciencepubco.com/index.php/IJAES/article/view/4371 | en_US |
| dc.format.extent | 6 pages | en_US |
| dc.genre | journal articles | en_US |
| dc.identifier | doi:10.13016/m2qd0y-i0gb | |
| dc.identifier.citation | Roy Rada, Filtering the piotroski portfolio: the roles of economic sector, small cap, and technical momentum, International Journal of Accounting and Economics Studies, 3 (1) (2015) 44-49, doi:10.14419/ijaes.v3i1.4371 | en_US |
| dc.identifier.uri | https://doi.org/10.14419/ijaes.v3i1.4371 | |
| dc.identifier.uri | http://hdl.handle.net/11603/20046 | |
| dc.language.iso | en_US | en_US |
| dc.publisher | Science Publishing Corporation | en_US |
| dc.relation.isAvailableAt | The University of Maryland, Baltimore County (UMBC) | |
| dc.relation.ispartof | UMBC Information Systems Department Collection | |
| dc.relation.ispartof | UMBC Faculty Collection | |
| dc.rights | This item is likely protected under Title 17 of the U.S. Copyright Law. Unless on a Creative Commons license, for uses protected by Copyright Law, contact the copyright holder or the author. | |
| dc.rights | Attribution 3.0 Unported | |
| dc.rights.uri | https://creativecommons.org/licenses/by/3.0/ | |
| dc.title | Filtering the piotroski portfolio: the roles of economic sector, small cap, and technical momentum | en_US |
| dc.type | Text | en_US |