In this paper, we apply a non-parametric rank-based technique to analyze nine asset pricing anomalies. We demonstrate that many anomalies are non-monotonic, i.e. the relations between anomalous characteristics and abnormal expected returns have statistically different signs for low and high values of characteristics. We argue that due to the presence of non-monotonicity the similarity between a...

In recent years, a great deal of attention has been devoted to the use neural networks in portfolio management, particularly prediction stock prices. Building more profitable with less risk always challenging task. this study, we propose model build according an equity-market-neutral (EMN) investment strategy. portfolio, selection stocks comprises two steps: individual returns using LSTM networ...

Potential for increased statistical power in stock discrimination gained through employing more polymorphic marker types such as microsatellites is attractive for applications in determining the distribution and migration of salmon in the high seas. Increased sampling requirements owing to the many character types (alleles) that typify microsatellites, however, raise question about accuracy. Wh...

University rankings generally present users with the problem of placing the results given for an institution in context. Only a comparison with the performance of all other institutions makes it possible to say exactly where an institution stands. In order to interpret the results of the SCImago Institutions Ranking (based on Scopus data) and the Leiden Ranking (based on Web of Science data), i...

Human qualitative judgments are often characterized by uncertainty and predictability. Decision-makers tend to be more confident in making linguistic decisions than crisp value judgments. MEREC is capable of achieving relative objective weights several conflicting criteria. This paper contains two parts, first, the extension method fuzzy circumstances based on terms which a parabolic measure ha...

this study examines the role of growth and value stocks in liquidity and tobin's q ratio, and also the validity of claims existing difference between tobin q ratio of the two types of stocks in companies accepted in tehran stock exchange has been examined. the study period is between the years 1381 to 1390. we use pooled panel-data regression and egls and gmm methods to estimate the model ...

Article history: Received June 2, 2011 Received in Revised form October, 19, 2011 Accepted 8 January 2012 Available online 11 January 2012 One of the main challenges in Stock Market is to choose an appropriate combinations of various assets. The aim of this study is to propose a hybrid method, which is able to survey one problem with some criteria that it is very good for investment problem. In...

Financial problems have been the subject of much research. A widely used approach in recent work on these problems is the use of fuzzy set theory, where fuzzy terms are used to model the uncertain environments. The purpose of this work is to combine the fuzzy analytic hierarchy process (AHP) with the portfolio selection problem. More specifically, the decision-making problem is to decide which ...

The hidden Markov model (HMM) is typically used to predict the hidden regimes of observation data. Therefore, this model finds applications in many different areas, such as speech recognition systems, computational molecular biology and financial market predictions. In this paper, we use HMM for stock selection. We first use HMM to make monthly regime predictions for the four macroeconomic vari...