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

Beheshti, Bijan

doi:10.1016/j.ijforecast.2014.12.005

Cited by 8 publications

(2 citation statements)

References 7 publications

(4 reference statements)

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“…2 Other studies using earning forecasts includeDeng and Min (2013),Guerard, Markowitz, and Xu (2013) andBeheshti (2015). If, on the other hand, Google search volume is simply a proxy for news, one could question why it should be priced at all.…”

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Valuable information in early sales proxies: The use of Google search ranks in portfolio optimization

Kupfer

Zorn

2018

Journal of Forecasting

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We extract information on relative shopping interest from Google search volume and provide a genuine and economically meaningful approach to directly incorporate these data into a portfolio optimization technique. By generating a firm ranking based on a Google search volume metric, we can predict future sales and thus generate excess returns in a portfolio exercise. The higher the (shopping) search volume for a firm, the higher we rank the company in the optimization process. For a sample of firms in the fashion industry, our results demonstrate that shopping interest exhibits predictive content that can be exploited in a real‐time portfolio strategy yielding robust alphas around 5.5%.

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“…If, on the other hand, Google search volume is simply a proxy for news, one could question why it should be priced at all. 2 Other studies using earning forecasts includeDeng and Min (2013),Guerard, Markowitz, and Xu (2013) andBeheshti (2015). SeeRamnath, Rock, and Shane (2008) for a general overview on existing analyst forecasting literature.…”

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Valuable information in early sales proxies: The use of Google search ranks in portfolio optimization

Kupfer

Zorn

2018

Journal of Forecasting

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Risk and Return of Equity, the Capital Asset Pricing Model, and Stock Selection for Efficient Portfolio Construction

Guerard

Saxena

Gültekin

2022

Quantitative Corporate Finance

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Active Management in Portfolio Selection and Management Within Business Cycles and Present-Day COVID

Guerard

2022

The Leading Economic Indicators and Business Cycles in the United States

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

Cited by 8 publications

References 7 publications

Valuable information in early sales proxies: The use of Google search ranks in portfolio optimization

Valuable information in early sales proxies: The use of Google search ranks in portfolio optimization

Risk and Return of Equity, the Capital Asset Pricing Model, and Stock Selection for Efficient Portfolio Construction

Active Management in Portfolio Selection and Management Within Business Cycles and Present-Day COVID

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