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A note on the integration of the alpha alignment factor and earnings forecasting models in producing more efficient Markowitz Frontiers

Published on Apr 1, 2015in International Journal of Forecasting3.39
· DOI :10.1016/j.ijforecast.2014.12.005
Bijan Beheshti1
Estimated H-index: 1
Abstract
There is a rich body of literature describing the association of earnings forecasting models with stock returns. We use an earnings forecasting model that employs the forecasted earnings yield, earnings per share forecast revisions, and breadth of earnings per share forecasts to serve as a stock selection model. The earnings forecasting model is an input to a portfolio optimization analysis in which fundamental and statistical-based risk models are used. Moreover, an alpha alignment factor is employed to aid in portfolio construction.
  • References (11)
  • Citations (5)
References11
Newest
#1J. B. GuerardH-Index: 1
#2Svetlozar T. Rachev (SBU: Stony Brook University)H-Index: 45
Last.Barret Pengyuan Shao (SBU: Stony Brook University)H-Index: 3
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#1Sundaresh Ramnath (UM: University of Miami)H-Index: 10
#2Steve Rock (CU: University of Colorado Boulder)H-Index: 11
Last.Philip B. Shane (University of Auckland)H-Index: 17
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#1Edwin J. Elton (NYU: New York University)H-Index: 46
#2Martin J. Gruber (NYU: New York University)H-Index: 44
Last.Mustafa N. Gultekin (NYU: New York University)H-Index: 10
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Cited By5
Newest
#1Milad Jasemi (State University of New York at Plattsburgh)H-Index: 1
#2Leslie Monplaisir (WSU: Wayne State University)H-Index: 12
Last.Pegah Amini Jam (IAU: Islamic Azad University)H-Index: 1
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#1Hui Xia (University of Electronic Science and Technology of China)H-Index: 1
#2Xinyu Min (Georgia Institute of Technology)H-Index: 1
Last.Shijie Deng (Georgia Institute of Technology)H-Index: 1
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