Article ID Journal Published Year Pages File Type
5101004 Journal of International Financial Markets, Institutions and Money 2017 58 Pages PDF
Abstract
In this paper, we analyse investor behaviour on the NYSE. We show that average returns from dynamic trading strategies, regardless of the different portfolio constraints, out-perform passive trading strategies in all sectors. In addition, the performance of dynamic strategies is much more impressive in some sectors than in others. We also undertake a profitability and safety analysis based on a portfolio of high-performing sectors and show that at higher levels of expected returns, a rise in profitability comes at the expense of less safety. Our results, on the whole, reveal that investors' can gain substantially by investing in certain sectors.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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